Create a variance cumulation function from a volatility term...

A simple contract paying the `notional`

amount at the `maturity`

`notional`

The amount that will be paid at

`maturity`

, conditional on survival`recovery_rate`

The proportion of notional that would be expected to be paid to bond holders after bankruptcy court proceedings

`discount_factor_fcn`

A function specifying how cashflows should generally be discounted for this instrument

`optionality_fcn(v, ...)`

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

ragtop documentation built on May 29, 2017, 2:53 p.m.

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