Pricing Equity Derivatives with Extensions of Black-Scholes

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Documentation for package ‘ragtop’ version 1.2.0

• DESCRIPTION file.
• User guides, package vignettes and other documentation.
• Package NEWS.

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ragtop-package	Pricing schemes for derivatives using equity-linked default intensity
accelerated_coupon_value	Present value of coupons according to an acceleration schedule
adjust_for_dividends	Find the sum of time-adjusted dividend values and adjust grid prices according to their size in the given interval
american	Price one or more american-exercise options
AmericanOption	A standard option contract allowing for _early_ exercise at the choice of the option holder
AmericanOption-class	A standard option contract allowing for _early_ exercise at the choice of the option holder
american_implied_volatility	Implied volatility of an american option with equity-independent term structures
blackscholes	Vectorized Black-Scholes pricing of european-exercise options
black_scholes_on_term_structures	Black-Scholes pricing of european-exercise options with term structure arguments
CALL	Constant CALL for defining option contracts
CallableBond	Callable (and putable) corporate or government bond.
CallableBond-class	Callable (and putable) corporate or government bond.
construct_implicit_grid_structure	Structure of implicit numerical integration grid
construct_tridiagonals	Matrix entries for implicit numerical differentiation using Neumann boundary conditions
control_variate_pairs	Form instrument objects for vanilla options
ConvertibleBond	Convertible bond with exercise into stock
ConvertibleBond-class	Convertible bond with exercise into stock
CouponBond	Standard corporate or government bond
CouponBond-class	Standard corporate or government bond
coupon_value_at_exercise	Present value of coupons according to an acceleration schedule
detail_from_AnnivDates	Convert output of BondValuation::AnnivDates to inputd for Bond
EquityOption	An option contract with call or put terms
EquityOption-class	An option contract with call or put terms
equivalent_bs_vola_to_jump	Find straight Black-Scholes volatility equivalent to jump process with a given default risk
equivalent_jump_vola_to_bs	Find jump process volatility with a given default risk from a straight Black-Scholes volatility
EuropeanOption	A standard option contract
EuropeanOption-class	A standard option contract
find_present_value	Use a model to estimate the present value of financial derivatives
fit_to_option_market	Calibrate volatilities and equity-linked default intensity
fit_to_option_market_df	Calibrate volatilities and equity-linked default intensity making many assumptions
fit_variance_cumulation	Fit piecewise constant volatilities to a set of equity options
form_present_value_grid	Use a model to estimate the present value of financial derivatives on a grid of initial underlying values
GridPricedInstrument	Representation of financial instrument amenable to grid pricing schemes
GridPricedInstrument-class	Representation of financial instrument amenable to grid pricing schemes
implied_jump_process_volatility	Implied volatility of any instrument
implied_volatilities	Implied volatilities of european-exercise options under Black-Scholes or a jump-process extension
implied_volatilities_with_rates_struct	Find the implied volatility of european-exercise options with a term structure of interest rates
implied_volatility	Implied volatility of european-exercise option under Black-Scholes or a jump-process extension
implied_volatility_with_term_struct	Find the implied volatility of a european-exercise option with term structures
infer_conforming_time_grid	A time grid with extra times inserted for coupons, calls and puts
integrate_pde	Numerically integrate the pricing differential equation
is.blank	Return TRUE if the argument is empty, NULL or NA
iterate_grid_from_timestep	Iterate over a set of timesteps to integrate the pricing differential equation
penalty_with_intensity_link	Helper function (volatility-normalized pricing error) for calibration of equity-linked default intensity
price_with_intensity_link	Helper function (instrument pricing) for calibration of equity-linked default intensity
PUT	Constant PUT for defining option contracts
ragtop	Pricing schemes for derivatives using equity-linked default intensity
shift_for_dividends	Shift a set of grid values for dividends paid, using spline interpolation
spot_to_df_fcn	Create a discount factor function from a yield curve
take_implicit_timestep	Backwardate grid values one timestep
timestep_instruments	Take an implicit timestep for all the given instruments
time_adj_dividends	Find the sum of time-adjusted dividend values
TIME_RESOLUTION_FACTOR	Constant to define when times are considered so close to each other that they should be treated as simultaneous
TIME_RESOLUTION_SIGNIF_DIGITS	Constant to define when times are considered so close to each other that they should be treated as simultaneous, in terms of significant digits
treasury_df	Get a US Treasury curve discount factor function
treasury_df_raw	Get a US Treasury curve discount factor function
TSLAMarket	Market information snapshot for TSLA options
value_from_prior_coupons	Present value of past coupons paid
variance_cumulation_from_vols	Create a variance cumulation function from a volatility term structure
ZeroCouponBond	A simple contract paying the 'notional' amount at the 'maturity'
ZeroCouponBond-class	A simple contract paying the 'notional' amount at the 'maturity'