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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 ...


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