That code looks very familiar! I see what you mean now. I don't think I've ever seen this implemented recursively though - can certainly see how this would end up being problematic if you tried to do this in Python!

ps Thanks so much for taking the time to set this out.

pps I've been working on something that implements a highly optimised version of this style of calculation - with a DSL to describe the calcs - can do 30 year cashflow projection for 1m contracts in about 1 min on quad core laptop. UK focus initially but might have wider application?