CouponBond-class {ragtop} | R Documentation |
Standard corporate or government bond
Description
A coupon bond is treated here as the entire collection of cashflows. In particular, coupons are included in the package even after they have been paid, accruing at the risk-free rate.
Fields
coupons
A data.frame of details for each coupon. It should have the columns
payment_time
andpayment_size
.
Methods
accumulate_coupon_values_before(t, discount_factor_fctn = discount_factor_fcn)
Compute the sum of coupon present values as of
t
according todiscount_factor_fctn
critical_times()
Important times in the life of this instrument for simulation and grid solvers
optionality_fcn(v, S, t, ...)
Return the notional value in the shape of
S
at any time on or after maturity, otherwise just returnv
total_coupon_values_between( small_t, big_t, discount_factor_fctn = discount_factor_fcn )
Compute the sum (as of
big_t
) of present values of coupons paid betweensmall_t
andbig_t
update_cashflows( small_t, big_t, discount_factor_fctn = discount_factor_fcn, include_notional = TRUE, ... )
Update last_computed_cash and return cashflow information for the given time period, valued at
big_t
[Package ragtop version 1.2.0 Index]