CallableBond-class

CallableBond

When a bond is emphcallable, the issuer may choose to pay the call
price to the bond holder and end the life of the contract.

Algorithms to price American and European
equity options, convertible bonds and a
variety of other financial derivatives. It uses an
extension of the usual Black-Scholes model in which
jump to default may occur at a probability specified
by a power-law link between stock price and hazard
rate as found in the paper by Takahashi, Kobayashi,
and Nakagawa (2001) <doi:10.3905/jfi.2001.319302>. We
use ideas and techniques from Andersen and
Buffum (2002) <doi:10.2139/ssrn.355308> and
Linetsky (2006) <doi:10.1111/j.1467-9965.2006.00271.x>.

Brian Boonstra

ragtop

Pricing Equity Derivatives with Extensions of Black-Scholes

CallableBond-class function

<dl class="dl-horizontal">
<dt><code>calls</code></dt><dd>A data.frame of details for each call. It should have the columns <code>call_price</code> and <code>effective_time</code>.</dd></dl><dt><code>puts</code></dt><dd>A data.frame of details for each put. It should have the columns <code>put_price</code> and <code>effective_time</code>.</dd>

Fields

<dl class="dl-horizontal">
<dt><code>critical_times()</code></dt><dd>Important times in the life of this instrument for simulation and grid solvers</dd>
</dl>

CallableBond-class: Callable (and putable) corporate or government bond.

Description

Arguments

Fields

Methods

Details