Structured Products Valuation for ExpressCertificates/Autocallables


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Documentation for package ‘fExpressCertificates’ version 1.3

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ArtihmeticBrownianMotion Simulate paths from a Arithmetic or Geometric Brownian Motion
BM Simulate paths from a Arithmetic or Geometric Brownian Motion
BrownianMotion Simulate paths from a Arithmetic or Geometric Brownian Motion
calcBMProbability Calculates probabilities for the Arithmetic Brownian Motion
calcBrownianMotionProbability Calculates probabilities for the Arithmetic Brownian Motion
calcGBMProbability Calculates probabilities for the Geometric Brownian Motion
calcRedemptionProbabilities Redemption Probabilities for Express Certificates
calcStopProbabilities Redemption Probabilities for Express Certificates
calculateProbabilityBrownianMotion Calculates probabilities for the Arithmetic Brownian Motion
calculateProbabilityGeometricBrownianMotion Calculates probabilities for the Geometric Brownian Motion
Conditional.MonteCarlo.ExpressCertificate.Classic Monte Carlo valuation of Classic Express Certificates
dBrownianBridgeMinimum Distribution of the Minimum of a Brownian Bridge
ExpressCertificate.Classic Analytical and numerical pricing of Classic Express Certificates
GBM Simulate paths from a Arithmetic or Geometric Brownian Motion
GeometricBrownianMotion Simulate paths from a Arithmetic or Geometric Brownian Motion
GeometricBrownianMotionMatrix Simulate paths from a Arithmetic or Geometric Brownian Motion
getRedemptionTime Redemption times
getRedemptionTimesForMatrix Redemption times
MonteCarlo.ExpressCertificate Monte Carlo valuation of Classic Express Certificates
MonteCarlo.ExpressCertificate.Classic Monte Carlo valuation of Classic Express Certificates
MonteCarloStopProbabilities Redemption Probabilities for Express Certificates
payoffExpressBonusType1 Defining payoff functions for Express Certificates
payoffExpressCappedBonusType1 Defining payoff functions for Express Certificates
payoffExpressClassic Defining payoff functions for Express Certificates
payoffExpressML0AN5 Defining payoff functions for Express Certificates
print.express.certificate Print method for express certificates
rBrownianBridgeMinimum Distribution of the Minimum of a Brownian Bridge
simExpressPriceMVN Monte Carlo Valuation of Express Certificates
simExpressPriceTMVN Monte Carlo Valuation of Express Certificates
simPricesAndMinimumFromGBM Simulation of the joint finite-dimensional distribution of the Geometric Brownian Motion and its minimum
simPricesAndMinimumFromGBM2 Simulation of the joint finite-dimensional distribution of the Geometric Brownian Motion and its minimum
simPricesAndMinimumFromTruncatedGBM Simulation of the joint finite-dimensional distribution of a restricted Geometric Brownian Motion and its minimum
simRedemptionProbabilities Redemption Probabilities for Express Certificates
SimulateExpressBonusCertificate Monte Carlo Valuation of Express Certificates
SimulateExpressClassicCertificate Monte Carlo Valuation of Express Certificates
SimulateGenericExpressCertificate Monte Carlo Valuation of Express Certificates