swap.rate: Interest Rate Swap
In FinancialMath: Financial Mathematics for Actuaries

Solves for the fixed interest rate given the variable interest rates (either as spot rates or zero coupon bond prices).

1	swap.rate(rates, type="spot_rate")

`rates`	vector of variable rates
`type`	rates as either "spot_rate" or "zcb_price"

For spot rates: 1=∑_{k=1}^n[\frac{R}{(1+rates_k)^k}]+\frac{1}{(1+rates_n)^n}

For zero coupon bond prices: 1=∑_{k=1}^n(R*rates_k)+rates_n

Where R= fixed swap rate.

The fixed interest rate swap.

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swap.rate(rates=c(.04, .05, .06), type = "spot_rate")

swap.rate(rates=c(.93,.95,.98,.90), type = "zcb_price")

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

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