CouponBond-class: Standard corporate or government bond

In ragtop: Pricing Equity Derivatives with Extensions of Black-Scholes

Description

A coupon bond is treated here as the entire collection of cashflows. In particular, coupons are included in the package even after they have been paid, accruing at the risk-free rate.

Fields

coupons

A data.frame of details for each coupon. It should have the columns payment_time and payment_size.

Methods

accumulate_coupon_values_before(t, discount_factor_fctn = discount_factor_fcn)

Compute the sum of coupon present values as of t according to discount_factor_fctn

critical_times()

Important times in the life of this instrument for simulation and grid solvers

optionality_fcn(v, S, t, ...)

Return the notional value in the shape of S at any time on or after maturity, otherwise just return v

total_coupon_values_between( small_t, big_t, discount_factor_fctn = discount_factor_fcn )

Compute the sum (as of big_t) of present values of coupons paid between small_t and big_t

update_cashflows( small_t, big_t, discount_factor_fctn = discount_factor_fcn, include_notional = TRUE, ... )

Update last_computed_cash and return cashflow information for the given time period, valued at big_t

ragtop documentation built on March 26, 2020, 7:28 p.m.