fExpressCertificates: Structured Products Valuation for ExpressCertificates/Autocallables

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

Version: 1.3
Depends: R (≥ 2.15.0), tmvtnorm, fCertificates
Imports: mvtnorm, Matrix, fExoticOptions, fOptions
Published: 2019-01-10
Author: Stefan Wilhelm
Maintainer: Stefan Wilhelm <stefan.wilhelm at financial.com>
License: GPL-2 | GPL-3 [expanded from: GPL (≥ 2)]
URL: https://www.r-project.org
NeedsCompilation: no
Materials: NEWS
CRAN checks: fExpressCertificates results

Downloads:

Reference manual: fExpressCertificates.pdf
Package source: fExpressCertificates_1.3.tar.gz
Windows binaries: r-devel: fExpressCertificates_1.3.zip, r-release: fExpressCertificates_1.3.zip, r-oldrel: fExpressCertificates_1.3.zip
OS X binaries: r-release: fExpressCertificates_1.3.tgz, r-oldrel: fExpressCertificates_1.2.tgz
Old sources: fExpressCertificates archive

Linking:

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