value_from_prior_coupons: Present value of past coupons paid

In ragtop: Pricing Equity Derivatives with Extensions of Black-Scholes

Description

Present value as of time t for coupons paid since the model_t

Usage

value_from_prior_coupons(t, coupons_df, discount_factor_fcn, model_t = 0)

Arguments

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 the contract says future coupons should be discounted for this instrument in case the acceleration clause is triggered
model_t	The payment time beyond which coupons will be included in this computation

See Also

Other Bond Coupons: accelerated_coupon_value(), coupon_value_at_exercise()

ragtop documentation built on March 26, 2020, 7:28 p.m.