Representation of financial instrument amenable to grid pricing schemes


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.



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


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


A mnemonic name for the instrument, not used by ragtop


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.

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