ZeroCouponBond-class: A simple contract paying the 'notional' amount at the...
In ragtop: Pricing Equity Derivatives with Extensions of Black-Scholes
Description
A simple contract paying the notional amount at the maturity
Fields
notionalThe amount that will be paid at maturity, conditional on survival
recovery_rateThe proportion of notional that would be expected to be paid to bond holders after bankruptcy court proceedings
discount_factor_fcnA function specifying how cashflows should generally be discounted for this instrument
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.
ragtop documentation built on March 26, 2020, 7:28 p.m.
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Description
A simple contract paying the notional amount at the maturity
Fields
notionalThe amount that will be paid at
maturity, conditional on survivalrecovery_rateThe proportion of notional that would be expected to be paid to bond holders after bankruptcy court proceedings
discount_factor_fcnA function specifying how cashflows should generally be discounted for this instrument
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.
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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