R: Pricing Equity Derivatives with Extensions of Black-Scholes

# Pricing Equity Derivatives with Extensions of Black-Scholes

## Documentation for package ‘ragtop’ version 1.2.0

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

## Help Pages

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'