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fExpressCertificates (version 1.3)
Structured Products Valuation for ExpressCertificates/Autocallables
Description
Provides pricing by duplication and Monte Carlo methods for Express Certificates products (also known as Autocallables).
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Version
Version
1.3
1.2
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Install
install.packages('fExpressCertificates')
Monthly Downloads
21
Version
1.3
License
GPL (>= 2)
Maintainer
Stefan Wilhelm
Last Published
January 10th, 2019
Functions in fExpressCertificates (1.3)
Search functions
getRedemptionTime
Redemption times
simPricesAndMinimumFromGBM
Simulation of the joint finite-dimensional distribution of the Geometric Brownian Motion and its minimum
Distribution of the Brownian Bridge Minimum
Distribution of the Minimum of a Brownian Bridge
ExpressCertificate.Classic
Analytical and numerical pricing of Classic Express Certificates
MonteCarlo.ExpressCertificate.Classic
Monte Carlo valuation of Classic Express Certificates
GeometricBrownianMotion
Simulate paths from a Arithmetic or Geometric Brownian Motion
SimulateExpressCertificate
Monte Carlo Valuation of Express Certificates
payoffExpress
Defining payoff functions for Express Certificates
calcGBMProbability
Calculates probabilities for the Geometric Brownian Motion
calcBMProbability
Calculates probabilities for the Arithmetic Brownian Motion
Express Certificates Redemption Probabilities
Redemption Probabilities for Express Certificates
print.express.certificate
Print method for express certificates
simPricesAndMinimumFromTruncatedGBM
Simulation of the joint finite-dimensional distribution of a restricted Geometric Brownian Motion and its minimum