ZeroCouponBond-class {ragtop}

A simple contract paying the notional amount at the maturity

Description

A simple contract paying the notional amount at the maturity

Fields

notional

The amount that will be paid at maturity, conditional on survival

recovery_rate

The proportion of notional that would be expected to be paid to bond holders after bankruptcy court proceedings

discount_factor_fcn

A function specifying how cashflows should generally be discounted for this instrument

Methods

optionality_fcn(v, ...)

Return a version of v at time t corrected for any optionality conditions.

recovery_fcn(v, S, t, ...)

Return recovery value, given non-default values v at time t. Subclasses may be more elaborate, this method simply returns 0.0.