value_from_prior_coupons

The time toward which all coupons should be present valued

A data.frame of details for each coupon. It should have the
columns <code>payment_time</code> and <code>payment_size</code>.

coupons_df

A function specifying how the contract says future coupons should be discounted for this instrument in case the acceleration clause is triggered

discount_factor_fcn

The payment time beyond which coupons will be included in this computation

model_t

Present value as of time <code>t</code> for coupons paid since the <code>model_t</code>

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>.

value_from_prior_coupons: Present value of past coupons paid

Description

Usage

Arguments

See Also