Term-class: Term class

In fixedincome: Fixed Income Models, Calculations, Data Structures and Instruments

Term class

Description

It is the time interval used in calculations with interest rates. The Term class represents the period used to discount or compound a spot rate.

Details

The Term object is defined by its numeric value and its unit, that can be "days", "months" or "years". For example:

term(6, "months")
#> [1] "6 months"

It represents a period of 6 months. The Term object can also be created from a string representation of a Term.

as.term("6 months")
#> [1] "6 months"

Since the Term object inherits from a numeric, it inherits all numeric operations. Numeric values can be summed or subtracted from a Term object numeric part.

term(1, "days") + 1
#> [1] "2 days"

Arithmetic and comparison operations between Term object are not implemented, so these operations raise an error.

try(term(1, "days") + term(2 , "days"))
#> Error in term(1, "days") + term(2, "days") : Not implemented

DateRangeTerm objects

The DateRangeTerm class inherits Term and defines start and end dates and a calendar to count the amount of working days between these two dates. This is a Term between two dates.

term(Sys.Date() - 5, Sys.Date(), "Brazil/ANBIMA")
#> [1] "3 days"

In financial markets it is fairly usual to evaluate interest rates between two dates.

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