accelerated_coupon_value: Present value of coupons according to an acceleration...

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

Description

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).

Usage

accelerated_coupon_value(
  t,
  coupons_df,
  discount_factor_fcn,
  acceleration_t = Inf
)

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
acceleration_t	Time limit, up to which coupons will be accelerated

See Also

Other Bond Coupons: coupon_value_at_exercise(), value_from_prior_coupons()

Other Bond Coupon Acceleration: coupon_value_at_exercise()

brianboonstra/ragtop documentation built on March 7, 2020, 2:23 p.m.