Keywords - Function Groups - @ A B C D E F G H I J K L M N O P Q R S T U V W X Y Z

finance

american
starting program to calculate option prices of american options on stocks or foreign exchange rates using the McMillan approximation
arbitrage
calculates an arbitrage table considering puts and calls with the same strike price
asset
calculates option prices using binomial trees
barrier
calculates barrier option prices.
BatesCall
calculates European call option prices in Bates model using FFT
BatesPut
calculates European call option prices in Bates model using FFT
beta2theta
auxiliary quantlet for spdest2 which reparametrises the beta parameters.
bitree
applying binomial model to calculate European and American option prices.
BlackScholes
calculates option prices using the Black and Scholes formula for no dividend European options
BlackScholesPathDependent1D
calculates the option price and its standard deviation for path dependent options in the Black Scholes model by Monte Carlo simulation.
BlackScholesPathDependent1DQMC
calculates the price for path dependent options in the Black Scholes model by applying Quasi-Monte Carlo simulation in connection with a Brownian Bridge construction.
BlackScholesPathIndependent1D
calculates the option price and its standard deviation for path independent options in the Black Scholes model by Monte Carlo simulation.
BlackScholesPathIndependent1DQMC
calculates the option price for path independent options in the Black Scholes model by Quasi-Monte Carlo simulation.
BlackScholesPathIndependentMD
calculates the option price and its standard deviation for path independent options in the multi-dimensional Black Scholes model by Monte Carlo simulation.
BlackScholesPathIndependentMDDiv
calculates the option price and its standard deviation for path independent options in the multi-dimensional Black Scholes model by Monte Carlo simulation.
BlackScholesPathIndependentMDDivQMC
calculates the option price for path independent options in the multi-dimensional Black Scholes model by Quasi-Monte Carlo simulation.
BlackScholesPathIndependentMDQMC
calculates the option price for path independent options in the multi-dimensional Black Scholes model by Quasi-Monte Carlo simulation.
BondCoupon
computes price of the coupon-bearing CAT bond for the given claim amount distribution and non-homogeneous Poisson process governing the flow of losses
BondOnlyCoupon
computes price of the CAT bond paying only coupons for the given claim amount distribution and the non-homogeneous Poisson process governing the flow of losses
BondZeroCoupon
computes price of the zero-coupon CAT bond for the given claim amount distribution and the non-homogeneous Poisson process governing the flow of losses.
BondZeroCouponHPP
computes price of the zero-coupon CAT bond for the given claim amount distribution and the homogeneous Poisson process governing the flow of losses
bs1
calculates option prices of a European option with different types of dividends using the Black and Scholes formula
callbull
calculates the results of a Bull Call Spread
cintplot2
auxiliary quantlet for spdest2, plots the confidence intervals.
cir
computes and displays the bond yield curve by using the model of Cox/Ingersoll/Ross (1985)
dpgp
Drees-Pickands estimator for the Generalized Pareto (GP) model.
dpgpdiag
Vector of Drees-Pickands estimators for the Generalized Pareto model
dpgpgamma
Shape parameter of the Drees-Pickands estimator.
empme
empme evalatues the empirical mean excess function of the data set x for each t
european
starting program to calculate option prices or implied volatilities for European options.
financemain
loads necessary libraries for the Quantlib finance
financetest
self test of extreme value module
fittail
transforms the location and scale parameters of a GP distribution from a fit to exceedances to a tail fit.
GarmanKohlhagen
calculates option prices using the Garman-Kohlhagen formula for European currency options.
gp1me
gp1me evaluates the mean excess function of the Pareto (GP1) distribution with shape parameter alpha for all elements of a vector.
gpme
gpme evaluates the mean excess function of the GP distribution with shape parameter gamma for all elements of a vector.
gpsigmaest
estimator for scale parameter within GP models
greeks
calculates or displays the different sensitivities (the so called greeks) which are used for trading with options.
greeksaux
auxiliary quantlet for greeks
grITTcrr
generates a trinomial tree built from the standard CRR tree and describes it with the given values.
grITTspd
generates a state price density of an implied trinomial tree
grITTstsp
generates the state space of an implied trinomial tree.
HestonCall
calculates European call option prices in Heston model using FFT
HestonCallMC
calculates European call option prices in Heston model using Monte Carlo method.
HestonPut
calculates European call option prices in Heston model using FFT
HestonVanilla
calculates option price in Heston's stochastic volatility model.
HestonVanillaFitSmile
fits the Heston model to the FX market implied volatility smile.
HestonVanillaInt
auxiliary quantlet used by HestonVanilla.
HestonVanillaSmile
determines the volatility smile implied by the Heston model.
HestonVanillaSSE
auxiliary function used by HestonVanillaFitSmile, computes the sum of squared errors (SSE) between the market and model implied volatilities.
hill
Estimates the tail index of fat-tailed distributions
hillgp1
Hill estimator for the GP1 model.
hillgp1diag
Vector of Hill estimator for GP1 model
IBTbc
starting program to calculate the stock price on the nodes in the implied binomial tree, the tree of transition probabilities and the tree of Arrow-Debreu prices using Barle and Cakici's method.
IBTcalimps
Auxiliary quantlet for IBTdk and IBTbc, executes the given string
IBTcrr
calculates the call or put option price, using CRR binomial tree method
IBTdk
starting program to calculate the stock price on the nodes in the implied tree, the transition probability tree and the Arrow-Debreu tree using Derman and Kani's method.
IBTlocsigma
estimates the implied local volatility of each node in the implied binomial tree
IBTnicemat
shows the title and a string representation of the input matrix where each element has a fixed number of digits. Zeros are replaced by blanks.
IBTresort
generates a new matrix using the upper part of the input matrix
IBTsdisplot
plots a smoothed estimation of the implied probability distribution estimated by implied binomial tree
IBTvolaplot
shows the implied local volatility surface sigma(S,tau) in the implied tree at different time and stock price levels
ImplVola
determines the implied volatilities assuming the Black Scholes model for a vector of European style options; uses either the method of bisections or the default Newton-Raphson method.
ImplVolaFX
determines the implied volatilities assuming the Garman-Kohlhagen model for a vector of European style currency options. Uses the bisection method.
influence
displays graphically the influence of the parameters entering the Black and Scholes formula on the option price.
ITT
main function for the Derman/Kani/Chriss method of implied trinomial trees (ITT). It computes the nodes of the ITT, the probability matrices, the Arrow-Debreu prices and the local volatility matrix.
ITTad
auxiliary quantlet for ITT. It computes the Arrow-Debreu prices of an Implied Trinomial Tree on a particular level.
ITTcrr
builds up a constant-volatility trinomial tree and computes the option price of a given option with a given strike price
ITTnewnodes
auxiliary quantlet for ITT. It computes the new level for an implied trinomial tree, so that the forward condition is not violated.
ITTnicemat
writes any matrix with the ITT convention style as a string where the central node is found in the middle.
ITTterm
auxiliary quantlet for ITT. It evaluates the left sides of the non-linear equation system at given points.
ITTtermder
auxiliary quantlet for ITT. It evaluates the Jacobian of the left sides of the non-linear equation system at given time points.
jarber
testing the normality of a data set
kpssnum
Calculates the KPSS statistics for I(0) processes against long-memory alternatives. We consider two tests, denoted by KPSS_mu and KPSS_t, based on a regression on a constant mu, and on a constant and a time trend t, respectively. The quantlet returns the value of the estimated statistic for two the
lochomest
calls the quantlet "lochomtest" and performs the estimation of the volatility for the whole time series at regular grid points.
lochomtest
computes the most recent interval of homogeneity of the volatilities of financial time series data and the local mean relative to this interval.
lowdiscrepancy
computes the first n d-dimensional sequence elements of the low-discrepancy generator seqnum.
lrseev
LRS estimator for an Extreme Value model
mcmillan
calculates option prices using the McMillan formula
MertonCall
calculates European call option prices in Merton model using FFT.
MertonCallMC
calculates European call option prices in Merton model using Monte Carlo method.
MertonPut
calculates European put option prices in Merton model using FFT.
mleev
Maximum likelihood estimator for EV model
mleev0
Maximum likelihood estimator for Gumbel (EV0) model
mlegp
Maximum likelihood estimator for GP model
mlegp0
Maximum likelihood estimator for exponential (GP0) model
mlegpdiag
Vector of the maximum likelihood estimator for the Generalized Pareto model.
momentgp
Moment estimator for GP model.
momentgpdiag
Vector of moment estimator for GP model.
nnls2
auxiliary quantlet for spdest2 used in the minimization of nonlinear least squares.
optstart
calculates option prices or implied volatilities
pdfHeston
computes the probability density function in Heston stochastic volatility model.
pdfHestonInt
auxiliary quantlet used by pdfHeston.
pickandsgp
Pickands estimator for the Generalized Pareto model.
pickandsgpdiag
Vector of Pickands estimator for GP model.
plotITT
plots desired components of an implied trinomial tree
resplots2
auxiliary quantlet for spdest2, plots the residuals.
spdbl
Uses the Breeden and Litzenberger (1978) method and a semiparametric specification of the Black-Scholes option pricing function to calculate the empirical State Price Density. The analytic formula uses an estimate of the volatility smile and its first and second derivative to calculate the State-pr
spdbs
Using the assumptions of the Black-Scholes call-option pricing formula this quantlet calculates the Black- Scholes State-Price Density, Delta and Gamma from call-options data
spdest2
estimates the state price density from the prices of European call and put options.
SPDlp
computes the State-Price Density for European options using the result of Breeden and Litzenberger.
spdopt
defines a list with optional parameters in spd functions. Note that spdopt does accept _any_ values for the parameters without checking validity.
sstern1
auxiliary quantlet for mcmillan
sstern2
auxiliary quantlet for mcmillan
stockest
estimates for a given dataset of a random process the parameters of the following two models: a Wiener Process (model 1) and a compounded Poisson Jump Process mixed with a Wiener Process (model 2)
stockestsim
using the given data stockestsim estimates the parameters for the following models: model 1, a Wiener Process, and model 2, a Wiener Process with jumps which are following a compounded Poisson Jump Process; after that both models are compared with the real dataset by a simulation.
stocksim
simulates random processes for a stock price by three different ways: 1. using a Wiener Process, 2. using a compounded Poisson Jump Process with a log normal distribution of jump height and 3. using a mixture of both.
taills
Estimates the tail index of fat-tailed distributions
tgarsim
plots the difference between call option prices calculated by the Black & Scholes model and between risk neutral GARCH or Treshold GARCH models.
volatility
calculates the implied volatility of given options.
volatilityaux
auxiliary quantlet for volatility
volsurf
volsurf computes the implied volatility surface using a Kernel smoothing procedure. Either a Nadaraya-Watson estimator or a local polynomial regression is employed. Both are computed with a quartic Kernel. The metric is either moneyness, i.e. strike devided by the (implied) forward price of the und
volsurfEBBS
computes the implied volatility surface using a local polynomial estimation with an automatic bandwidth selection algorithm. The metric is either moneyness, i.e. strike devided by the (implied) forward price of the underlying, or the original strikes.
volsurfplot
produces a graphic visualising the implied volatility surface computed by the quantlet volsurf. The original options are shown as red points.
xtremes
computes and displays extreme value (EV) and generalized Pareto (GP) estimators
xtremesaux
auxiliary quantlet for xtremes

Keywords - Function Groups - @ A B C D E F G H I J K L M N O P Q R S T U V W X Y Z

(C) MD*TECH Method and Data Technologies, 05.02.2006Impressum