Package: ragtop 1.3.1

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 [aut, cre]

ragtop_1.3.1.tar.gz
ragtop_1.3.1.tar.gz(r-4.7-any)ragtop_1.3.1.tar.gz(r-4.6-any)
ragtop_1.3.1.tgz(r-4.6-emscripten)
manual.pdf |manual.html✨
DESCRIPTION |NEWS
card.svg |card.png
ragtop/json (API)

# Install 'ragtop' in R:

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

Datasets:

TSLAMarket - Market information snapshot for TSLA options

On CRAN:

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

3.93 score 85 scripts 380 downloads 49 exports 4 dependencies

Last updated from:0222a688a4. Checks:4 OK. Indexed: yes.

Target	Result	Time
linux-devel-x86_64	OK	163
source / vignettes	OK	369
linux-release-x86_64	OK	140
wasm-release	OK	117

Exports:accelerated_coupon_value adjust_for_dividends american american_implied_volatility AmericanOption black_scholes_on_term_structures blackscholes CALL CallableBond check_discount_factor_fcn check_survival_probability_fcn check_variance_cumulation_fcn construct_tridiagonals ConvertibleBond coupon_value_at_exercise CouponBond detail_from_AnnivDates EquityOption equivalent_bs_vola_to_jump equivalent_jump_vola_to_bs EuropeanOption find_present_value fit_to_option_market fit_to_option_market_df fit_variance_cumulation form_present_value_grid GridPricedInstrument implied_jump_process_volatility implied_volatilities implied_volatilities_with_rates_struct implied_volatility implied_volatility_with_term_struct integrate_pde is.blank iterate_grid_from_timestep pde_matrix_solve penalty_with_intensity_link price_with_intensity_link PUT spot_to_df_fcn take_implicit_timestep time_adj_dividends TIME_RESOLUTION_FACTOR TIME_RESOLUTION_SIGNIF_DIGITS treasury_df treasury_df_raw variance_cumulation_from_vols warn_once_negative_default_intensity ZeroCouponBond

Dependencies:formatR futile.logger futile.options lambda.r

ragtop: Pricing Equity Derivatives with Extensions of Black-Scholes

Rendered fromragtop_convertibles_in_r.Rmdusingknitr::rmarkdown

Last update: 2026-06-20
Started: 2016-09-28

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

Package: ragtop 1.3.1

ragtop: Pricing Equity Derivatives with Extensions of Black-Scholes

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