Compounding-class: Compounding class

Compounding-classR Documentation

Compounding class

Description

The Compounding class abstracts the compounding regime used to discount or compound a spot rate.

Details

There are 3 compoundings:

  • simple for simple interest rate compounding

    1 + rt

  • discrete for compounded interest rate compounding

    (1 + r)^t

  • continuous for continuous interest rate compounding

    exp(rt)

The Compounding class has 2 methods:

  • compound to compound the spot rate for a given term.

  • rates to compute the implied rate for a compound factor in a given term.


fixedincome documentation built on July 9, 2023, 7:28 p.m.