OutperformanceCertificate
(Package: fCertificates) :
Outperformance Certificate valuation using pricing by duplication
values a Outperformance Certificate using pricing by duplication
● Data Source:
CranContrib
● Keywords: math
● Alias: OutperformanceCertificate
●
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CappedBonusCertificate
(Package: fCertificates) :
Capped Bonus Certificate valuation using pricing by duplication
This function values a Capped Bonus Certificate using pricing by duplication and the Generalized Black/Scholes formula.
● Data Source:
CranContrib
● Keywords: math
● Alias: CappedBonusCertificate
●
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values a Reverse Outperformance Certificate using pricing by duplication
● Data Source:
CranContrib
● Keywords: math
● Alias: ReverseOutperformanceCertificate
●
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ReverseConvertiblePlusPro
(Package: fCertificates) :
Reverse Convertible Plus Pro Certificate valuation using pricing by duplication
values a Reverse Convertible Plus Pro Certificate using pricing by duplication
● Data Source:
CranContrib
● Keywords: math
● Alias: ReverseConvertiblePlusPro
●
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The function implies the volatility of the certificate with one-dimensional Newton/Raphson method
● Data Source:
CranContrib
● Keywords: math
● Alias: implyVolatility
●
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ReverseConvertible
(Package: fCertificates) :
Reverse Convertible Certificate valuation using pricing by duplication
values a Reverse Convertible Certificate using pricing by duplication
● Data Source:
CranContrib
● Keywords: math
● Alias: ReverseConvertible
●
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SprintCertificate
(Package: fCertificates) :
Sprint Certificate valuation using pricing by duplication
This function values a Sprint Certificate using pricing by duplication and the Generalized Black/Scholes formula.
● Data Source:
CranContrib
● Keywords: math
● Alias: SprintCertificate
●
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valuation of a long Straddle strategy (one long call + one long put with same strike price) using pricing by duplication
● Data Source:
CranContrib
● Keywords: math
● Alias: Straddle
●
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TwinWinCertificate
(Package: fCertificates) :
Twin Win Certificate valuation using pricing by duplication
This function values a Twin Win Certificate using pricing by duplication and the Generalized Black/Scholes formula.
● Data Source:
CranContrib
● Keywords: math
● Alias: TwinWinCertificate
●
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CappedWarrant
(Package: fCertificates) :
Capped Warrant (Discount Call/Discount Put) valuation using pricing by duplication
This function values a Capped Warrant (Discount Call/Discount Put) Certificate using pricing by duplication and the Generalized Black/Scholes formula.
● Data Source:
CranContrib
● Keywords: math
● Alias: DiscountCall, DiscountPut
●
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