Pricing Equity Derivatives with Extensions of Black-Scholes

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Documentation for package ‘ragtop’ version 1.1.1

• DESCRIPTION file.
• User guides, package vignettes and other documentation.
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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
Quandl_df_fcn_UST	Get a US Treasury curve discount factor function
Quandl_df_fcn_UST_raw	Get a US Treasury curve discount factor function
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
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'