Present value of past coupons paid

Description

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

Usage

1
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

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