A Zero-Coupon Bond as a Contingent Claim

Summary

A contingent claim is a payoff defined at a specified future time. In the example, a zero-coupon bond promises to pay one unit at time two, so its payoff variable at that horizon is represented by X = 1. The payment is the claim’s value at maturity, rather than the bond’s price today; the latter would depend on discounting and market conditions.

The answer illustrates the basic notation with a single deterministic payment. It does not develop the broader mathematical definition of a contingent claim, discuss random payoffs, or explain valuation before maturity. It is therefore a concise notation example rather than a general treatment of claim pricing.

Key ideas

• A T-claim represents a payoff received at the specified horizon T.
• For a zero-coupon bond paying one unit at time two, the maturity payoff is X = 1.
• The payoff at maturity is distinct from the bond’s price before maturity.

Tags

# Definition of a contingent claim X


# Definition of a contingent claim X












I try to understand what a T-claim is and I am asking for an intuitive explanation?

For instance. Let’s say I buy a zero coupon bond that will pay me 1 in two years. In terms of expressing as a T-claim Where T=2: how wil X then look like? Maybe X=1?

## Answer by P. Carr (score 0, accepted)

https://quant.stackexchange.com/a/38682

yes, the claim payoff at time 2 is X=1

Shown in full with attribution under the source's licence. Licence: CC BY-SA 4.0 (Stack Exchange)

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.