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fExpressCertificates (version 1.2)
fExpressCertificates - Structured Products Valuation for ExpressCertificates/Autocallables
Description
Collection of pricing by duplication and Monte Carlo methods for Express Certificates products (also known as Autocallables)
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Version
1.3
1.2
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Install
install.packages('fExpressCertificates')
Monthly Downloads
24
Version
1.2
License
GPL (>= 2)
Maintainer
Stefan Wilhelm
Last Published
August 30th, 2013
Functions in fExpressCertificates (1.2)
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GeometricBrownianMotion
Simulate paths from a Arithmetic or Geometric Brownian Motion
Express Certificates Redemption Probabilities
Redemption Probabilities for Express Certificates
Distribution of the Brownian Bridge Minimum
Distribution of the Minimum of a Brownian Bridge
MonteCarlo.ExpressCertificate.Classic
Monte Carlo valuation of Classic Express Certificates
simPricesAndMinimumFromGBM
Simulation of the joint finite-dimensional distribution of the Geometric Brownian Motion and its minimum
simPricesAndMinimumFromTruncatedGBM
Simulation of the joint finite-dimensional distribution of a restricted Geometric Brownian Motion and its minimum
getRedemptionTime
Redemption times
payoffExpress
Defining payoff functions for Express Certificates
SimulateExpressCertificate
Monte Carlo Valuation of Express Certificates
calcBMProbability
Calculates probabilities for the Arithmetic Brownian Motion
calcGBMProbability
Calculates probabilities for the Geometric Brownian Motion
print.express.certificate
Print method for express certificates
ExpressCertificate.Classic
Analytical and numerical pricing of Classic Express Certificates