as.spotrate: Coerce to SpotRate

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

Coerce to SpotRate

Description

Coerce character objects to SpotRate class

Usage

as.spotrate(x, ...)

## S4 method for signature 'character'
as.spotrate(x, simplify = TRUE)

## S4 method for signature 'SpotRateCurve'
as.spotrate(x, ...)

## S4 method for signature 'ForwardRate'
as.spotrate(x, ...)

Arguments

x	a character with SpotRate specification.
...	additional arguments
simplify	a boolean indicating whether to simplify SpotRate creation or not. Defaults to TRUE.

Details

The character representation of a SpotRate is as follows:

"RATE COMPOUNDING DAYCOUNT CALENDAR"

where:

• RATE is a numeric value

• COMPOUNDING is one of the following: simple, discrete, continuous

• DAYCOUNT is a valid day count rule, pex. business/252, see Daycount.

• CALENDAR is the name of a bizdays calendar.

simplify check if compounding, daycount and calendar are the same for all given characters. If it is true the returned object is a SpotRate otherwise a list with SpotRate objects is returned.

Value

A SpotRate object created from a string.

Examples

as.spotrate(c(
  "0.06 simple actual/365 actual",
  "0.11 discrete business/252 actual"
))

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