treasury_df_raw

Get a US Treasury curve discount factor function

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_raw function

<dl><dt>on_date</dt>
<dd>Date for which to query for the curve, year-month-day format</dd></dl>

Arguments

Get a US Treasury curve discount factor function — treasury_df_raw

<dl>

<dt>on_date</dt>
<dd>Date for which to query for the curve, year-month-day format</dd>

</dl>

treasury_df_raw: Get a US Treasury curve discount factor function

Description

Usage

Value

Arguments