Representation of financial instrument amenable to grid pricing schemes

Share:

Description

Our basic instrument defines a tenor/maturity, a method to provide values in case of default, and a method to correct instrument prices in light of exercise decisions.

Fields

maturity

The tenor, expiration date or terminal date by which the value of this security will be certain.

last_computed_grid

The most recently computed set of values from a grid pricing scheme. Used internally for pricing chains of derivatives.

name

A mnemonic name for the instrument, not used by ragtop

Methods

optionality_fcn(v, ...)

Return a version of v at time t corrected for any optionality conditions.

recovery_fcn(v, S, t, ...)

Return recovery value, given non-default values v at time t. Subclasses may be more elaborate, this method simply returns 0.0.

terminal_values(v, ...)

Return a terminal value. defaults to simply calling optionality_fcn.

Want to suggest features or report bugs for rdrr.io? Use the GitHub issue tracker.