2
I took the liberty of modifying the title of your question, as it is not the zero coupon you want to replicate but the future value of the short rate, $S(T) = R(T)$ in your notation.
You have already given the answer yourself, namely
$$
S(t) = \lim_{\epsilon \rightarrow 0} \frac{B(t,T) - B(t, T+\epsilon)}{\epsilon}
$$
In practice it is not possible to trade ...
1
As Dimitri said, you can use the cashflows inspectors:
for cf in bond.cashflows():
print(cf.date().ISO(), cf.amount())
2019-07-30 1.4999999999999902
2020-01-30 1.4999999999999902
2020-07-30 1.4999999999999902
(...)
2029-01-30 1.4999999999999902
2029-07-30 1.4999999999999902
2030-01-30 1.4999999999999902
2030-01-30 100.0
This way your cashflows will ...
Only top voted, non community-wiki answers of a minimum length are eligible
