Quandl_df_fcn_UST_raw

<p>Date for which to query Quandl for the curve</p>

on_date

<p>Get a US Treasury curve discount factor function</p>

Algorithms to price American and European
equity options, convertible bonds and a
variety of other financial derivatives. It uses an
extension of the usual Black-Scholes model in which
jump to default may occur at a probability specified
by a power-law link between stock price and hazard
rate as found in the paper by Takahashi, Kobayashi,
and Nakagawa (2001) <doi:10.3905/jfi.2001.319302>.  We
use ideas and techniques from Andersen and
Buffum (2002) <doi:10.2139/ssrn.355308> and
Linetsky (2006) <doi:10.1111/j.1467-9965.2006.00271.x>.

Brian Boonstra

Quandl_df_fcn_UST_raw: Get a US Treasury curve discount factor function

Description

Usage

Arguments

Value