coupon_value_at_exercise {ragtop}

Present value of coupons according to an acceleration schedule

Description

Compute "present" value as of time t for coupons that would otherwise have been paid up to time acceleration_t, in the case of accelerated coupon provisions for forced conversions (or sometimes even unforced ones).

Usage

coupon_value_at_exercise(
  t,
  coupons_df,
  discount_factor_fcn,
  model_t = 0,
  accelerate_future_coupons = FALSE,
  acceleration_discount_factor_fcn = discount_factor_fcn,
  acceleration_t = Inf
)

Arguments

t

The time toward which all coupons should be present valued

coupons_df

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

discount_factor_fcn

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

model_t

Model timestamp passed to value_from_prior_coupons

accelerate_future_coupons

If TRUE, future coupons will be accelerated on exercise to pad present value

acceleration_discount_factor_fcn

A function specifying how future coupons should be discounted for this instrument under coupon acceleration conditions

acceleration_t

The maximum time up to which future coupons will be counted for acceleration, passed on to accelerated_coupon_value

Value

A scalar equal to the present value

See Also

Other Bond Coupons: accelerated_coupon_value(), value_from_prior_coupons()

Other Bond Coupon Acceleration: accelerated_coupon_value()