Representation of financial instrument amenable to grid pricing schemes
Our basic instrument defines a tenor/maturity, a method to provide values in case of default, and a method to correct instrument prices in light of exercise decisions. class
maturity: The tenor, expiration date or terminal date by which the value of this security will be certain.last_computed_grid: The most recently computed set of values from a grid pricing scheme. Used internally for pricing chains of derivatives.name: A mnemonic name for the instrument, not used by ragtopoptionality_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.terminal_values(v, ...): Return a terminal value. defaults to simply calling optionality_fcn.Useful links