Package: ragtop 1.1.1

Brian K. Boonstra

ragtop: Pricing Equity Derivatives with Extensions of Black-Scholes

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>.

Authors:Brian K. Boonstra

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ragtop.pdf |ragtop.html✨
ragtop/json (API)
NEWS

# Install 'ragtop' in R:
install.packages('ragtop', repos = c('https://cran.r-universe.dev', 'https://cloud.r-project.org'))

Peer review:

Datasets:
  • TSLAMarket - Market information snapshot for TSLA options

This package does not link to any Github/Gitlab/R-forge repository. No issue tracker or development information is available.

3.41 score 52 scripts 238 downloads 44 exports 8 dependencies

Last updated 5 years agofrom:41384b6fd7. Checks:OK: 1 WARNING: 1. Indexed: yes.

TargetResultDate
Doc / VignettesOKOct 30 2024
R-4.5-linuxWARNINGOct 30 2024

Exports:accelerated_coupon_valueadjust_for_dividendsamericanamerican_implied_volatilityAmericanOptionblack_scholes_on_term_structuresblackscholesCALLCallableBondconstruct_tridiagonalsConvertibleBondcoupon_value_at_exerciseCouponBonddetail_from_AnnivDatesEquityOptionequivalent_bs_vola_to_jumpequivalent_jump_vola_to_bsEuropeanOptionfind_present_valuefit_to_option_marketfit_to_option_market_dffit_variance_cumulationform_present_value_gridGridPricedInstrumentimplied_jump_process_volatilityimplied_volatilitiesimplied_volatilities_with_rates_structimplied_volatilityimplied_volatility_with_term_structintegrate_pdeis.blankiterate_grid_from_timesteppenalty_with_intensity_linkprice_with_intensity_linkPUTQuandl_df_fcn_USTQuandl_df_fcn_UST_rawspot_to_df_fcntake_implicit_timesteptime_adj_dividendsTIME_RESOLUTION_FACTORTIME_RESOLUTION_SIGNIF_DIGITSvariance_cumulation_from_volsZeroCouponBond

Dependencies:formatRfutile.loggerfutile.optionslambda.rlimSolvelpSolveMASSquadprog

ragtop: Complex Derivatives Pricing

Brian K. Boonstra

Rendered fromragtop_convertibles_in_r.Rmdusingknitr::rmarkdownon Oct 30 2024.

Last update: 2020-03-03
Started: 2016-09-28

Readme and manuals

Help Manual

Help pageTopics
Present value of coupons according to an acceleration scheduleaccelerated_coupon_value
Find the sum of time-adjusted dividend values and adjust grid prices according to their size in the given intervaladjust_for_dividends
Price one or more american-exercise optionsamerican
Implied volatility of an american option with equity-independent term structuresamerican_implied_volatility
A standard option contract allowing for _early_ exercise at the choice of the option holderAmericanOption AmericanOption-class
Black-Scholes pricing of european-exercise options with term structure argumentsblack_scholes_on_term_structures
Vectorized Black-Scholes pricing of european-exercise optionsblackscholes
Constant CALL for defining option contractsCALL
Callable (and putable) corporate or government bond.CallableBond CallableBond-class
Structure of implicit numerical integration gridconstruct_implicit_grid_structure
Matrix entries for implicit numerical differentiation using Neumann boundary conditionsconstruct_tridiagonals
Form instrument objects for vanilla optionscontrol_variate_pairs
Convertible bond with exercise into stockConvertibleBond ConvertibleBond-class
Present value of coupons according to an acceleration schedulecoupon_value_at_exercise
Standard corporate or government bondCouponBond CouponBond-class
Convert output of BondValuation::AnnivDates to inputd for Bonddetail_from_AnnivDates
An option contract with call or put termsEquityOption EquityOption-class
Find straight Black-Scholes volatility equivalent to jump process with a given default riskequivalent_bs_vola_to_jump
Find jump process volatility with a given default risk from a straight Black-Scholes volatilityequivalent_jump_vola_to_bs
A standard option contractEuropeanOption EuropeanOption-class
Use a model to estimate the present value of financial derivativesfind_present_value
Calibrate volatilities and equity-linked default intensityfit_to_option_market
Calibrate volatilities and equity-linked default intensity making many assumptionsfit_to_option_market_df
Fit piecewise constant volatilities to a set of equity optionsfit_variance_cumulation
Use a model to estimate the present value of financial derivatives on a grid of initial underlying valuesform_present_value_grid
Representation of financial instrument amenable to grid pricing schemesGridPricedInstrument GridPricedInstrument-class
Implied volatility of any instrumentimplied_jump_process_volatility
Implied volatilities of european-exercise options under Black-Scholes or a jump-process extensionimplied_volatilities
Find the implied volatility of european-exercise options with a term structure of interest ratesimplied_volatilities_with_rates_struct
Implied volatility of european-exercise option under Black-Scholes or a jump-process extensionimplied_volatility
Find the implied volatility of a european-exercise option with term structuresimplied_volatility_with_term_struct
A time grid with extra times inserted for coupons, calls and putsinfer_conforming_time_grid
Numerically integrate the pricing differential equationintegrate_pde
Return TRUE if the argument is empty, NULL or NAis.blank
Iterate over a set of timesteps to integrate the pricing differential equationiterate_grid_from_timestep
Helper function (volatility-normalized pricing error) for calibration of equity-linked default intensitypenalty_with_intensity_link
Helper function (instrument pricing) for calibration of equity-linked default intensityprice_with_intensity_link
Constant PUT for defining option contractsPUT
Get a US Treasury curve discount factor functionQuandl_df_fcn_UST
Get a US Treasury curve discount factor functionQuandl_df_fcn_UST_raw
Pricing schemes for derivatives using equity-linked default intensityragtop-package ragtop
Shift a set of grid values for dividends paid, using spline interpolationshift_for_dividends
Create a discount factor function from a yield curvespot_to_df_fcn
Backwardate grid values one timesteptake_implicit_timestep
Find the sum of time-adjusted dividend valuestime_adj_dividends
Constant to define when times are considered so close to each other that they should be treated as simultaneousTIME_RESOLUTION_FACTOR
Constant to define when times are considered so close to each other that they should be treated as simultaneous, in terms of significant digitsTIME_RESOLUTION_SIGNIF_DIGITS
Take an implicit timestep for all the given instrumentstimestep_instruments
Market information snapshot for TSLA optionsTSLAMarket
Present value of past coupons paidvalue_from_prior_coupons
Create a variance cumulation function from a volatility term structurevariance_cumulation_from_vols
A simple contract paying the 'notional' amount at the 'maturity'ZeroCouponBond ZeroCouponBond-class