coupon_value_at_exercise: Present value of coupons according to an acceleration...
In ragtop: Pricing Equity Derivatives with Extensions of Black-Scholes

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).

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 `payment_time` and `payment_size`.
`discount_factor_fcn`	A function specifying how future cashflows should generally be discounted for this instrument
`model_t`	Model timestamp passed to `value_from_prior_coupons`
`accelerate_future_coupons`	If `TRUE`, future coupons will be accelerated on exercise to pad present value
`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 `accelerated_coupon_value`