Description Usage Arguments Value See Also
Compute "present" value as of time t for coupons that
would otherwise have been paid up to time acceleration_t
, in the
case of accelerated coupon provisions for forced conversions (or
sometimes even unforced ones).
1 2 3 4 5 6 7 8 9 | coupon_value_at_exercise(
t,
coupons_df,
discount_factor_fcn,
model_t = 0,
accelerate_future_coupons = FALSE,
acceleration_discount_factor_fcn = discount_factor_fcn,
acceleration_t = Inf
)
|
t |
The time toward which all coupons should be present valued |
coupons_df |
A data.frame of details for each coupon. It should have the
columns |
discount_factor_fcn |
A function specifying how future cashflows should generally be discounted for this instrument |
model_t |
Model timestamp passed to |
accelerate_future_coupons |
If |
acceleration_discount_factor_fcn |
A function specifying how future coupons should be discounted for this instrument under coupon acceleration conditions |
acceleration_t |
The maximum time up to which future coupons will be counted for acceleration, passed on to |
A scalar equal to the present value
Other Bond Coupons:
accelerated_coupon_value()
,
value_from_prior_coupons()
Other Bond Coupon Acceleration:
accelerated_coupon_value()
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