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.
couponsA data.frame of details for each coupon. It should have the
columns payment_time and payment_size.
accumulate_coupon_values_before(t, discount_factor_fctn = discount_factor_fcn)Compute the sum of coupon present values as of t according to discount_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 return v
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 between small_t and big_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