compound: Compound method

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

Compound method

Description

Computes the compounding (and discount) factor for spot rates and curves.

Usage

compound(x, t, val, ...)

discount(x, t, val, ...)

Arguments

x	can be a Compounding, a SpotRate, a SpotRateCurve, a ForwardRate and a character representing a Compounding.
t	represents the term to compound. Can be a numeric, a Term, a Date or even missing. See Details.
val	is the value of the spot rate to be compounded in the given term. Can be a numeric, a Date or missing. See Details.
...	additional arguments.

Details

For Compounding classes the arguments t and val must be provided.

For a SpotRate class, if the t argument is numeric, representing the term to be compounded, the argument val must be a character with the units of the Term class. If otherwise t is a Term object, val is missing.

For SpotRateCurve and ForwardRate classes, that already have terms associated, t and val are missing.

discount() method is the inverse of compound: 1 / compound().

Value

A numeric value that represents the compounding factor for the given spot rate.

Examples

compound("simple", 2, 0.05)
compound("discrete", 2, 0.05)
compound("continuous", 2, 0.05)

spr <- spotrate(0.06, "simple", "actual/365", "actual")
compound(spr, 10, "days")
discount(spr, 10, "days")
t <- term(10, "days")
compound(spr, t)
discount(spr, t)
d1 <- Sys.Date()
d2 <- Sys.Date() + 10
compound(spr, d1, d2)
discount(spr, d1, d2)

terms <- c(1, 11, 26, 27, 28)
rates <- c(0.0719, 0.056, 0.0674, 0.0687, 0.07)
curve <- spotratecurve(rates, terms, "discrete", "actual/365", "actual")
compound(curve)
discount(curve)

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