fExpressCertificates

Structured Products Valuation for ExpressCertificates/Autocallables

Provides pricing by duplication and Monte Carlo methods for Express Certificates products (also known as Autocallables).

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Description file content

Package
fExpressCertificates
Type
Package
Title
Structured Products Valuation for ExpressCertificates/Autocallables
Version
1.3
Date
2019-01-08
Author
Stefan Wilhelm
Maintainer
Stefan Wilhelm
Depends
R (>= 2.15.0), tmvtnorm, fCertificates
Imports
mvtnorm, Matrix, fExoticOptions, fOptions
Encoding
latin1
Description
Provides pricing by duplication and Monte Carlo methods for Express Certificates products (also known as Autocallables).
License
GPL (>= 2)
LazyLoad
yes
URL
NeedsCompilation
no
Packaged
2019-01-09 22:08:18 UTC; stefan
Repository
CRAN
Date/Publication
2019-01-10 00:10:03 UTC

install.packages('fExpressCertificates')

1.3

5 months ago

https://www.r-project.org

Stefan Wilhelm

GPL (>= 2)

Depends on

R (>= 2.15.0), tmvtnorm, fCertificates

Imports

mvtnorm, Matrix, fExoticOptions, fOptions

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