treasury_df

This is a caching wrapper for <code>treasury_df_raw</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>.

Brian Boonstra

ragtop

Pricing Equity Derivatives with Extensions of Black-Scholes

treasury_df function

<dl><dt>...</dt>
<dd>Arguments passed to <code>treasury_df_raw</code></dd>
<dt>envir</dt>
<dd>Environment passed to <code>treasury_df_raw</code></dd></dl>

Arguments

Get a US Treasury curve discount factor function — treasury_df

<dl>

<dt>...</dt>
<dd>Arguments passed to <code>treasury_df_raw</code></dd>


<dt>envir</dt>
<dd>Environment passed to <code>treasury_df_raw</code></dd>

</dl>

treasury_df: Get a US Treasury curve discount factor function

Description

Usage

Value

Arguments