Linear APR model

The linear APR model is a pricing model for a Principal Token quoted in underlying. It assumes that the price of the PT is a unit of underlying discounted by a non-compounded implied rate that stays constant during the term. More specifically, is assumes

P(t,T)=PT.previewRedeem(1)11+r(Tt)P(t,T) =\text{PT.previewRedeem(1)}\frac{1}{1+r(T-t)}

where previewRedeem(1)\text{previewRedeem(1)} gives the redemption rate of the PT, TT is the maturity timestamp, while tt is the current timestamp.

Last updated