rate.conv: Interest, Discount, and Force of Interest Converter

In FinancialMath: Financial Mathematics for Actuaries

Description

Converts given rate to desired nominal interest, discount, and force of interest rates.

Usage

rate.conv(rate, conv=1, type="interest", nom=1)

Arguments

rate	current rate
conv	how many times per year the current rate is convertible
type	current rate as one of "interest", "discount" or "force"
nom	desired number of times the calculated rates will be convertible

Details

1+i=(1+\frac{i^{(n)}}{n})^n=(1-d)^{-1}=(1-\frac{d^{(m)}}{m})^{-m}=e^δ

Value

A matrix of the interest, discount, and force of interest conversions for effective, given and desired conversion rates.

The row named 'eff' is used for the effective rates, and the nominal rates are in a row named 'nom(x)' where the rate is convertible x times per year.

Author(s)

Kameron Penn and Jack Schmidt

Examples

rate.conv(rate=.05,conv=2,nom=1)

rate.conv(rate=.05,conv=2,nom=4,type="discount")

rate.conv(rate=.05,conv=2,nom=4,type="force")

FinancialMath documentation built on May 1, 2019, 11:16 p.m.