forwardrate: Create a ForwardRate object

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

Create a ForwardRate object

Description

forwardrate() creates a ForwardRate object.

Usage

forwardrate(x, ...)

## S3 method for class 'numeric'
forwardrate(
  x,
  terms,
  compounding,
  daycount,
  calendar,
  .copyfrom = NULL,
  refdate = NULL,
  ...
)

## S3 method for class 'SpotRateCurve'
forwardrate(x, t1 = NULL, t2 = NULL, ...)

Arguments

x	a numeric or a SpotRateCurve object.
...	additional arguments.
terms	a numeric vector with positive values representing terms of the forward rates.
compounding	a character with the compouning name.
daycount	a character representing the daycount.
calendar	a calendar object.
.copyfrom	a SpotRate object that is used as reference to build the SpotRateCurve object.
refdate	the curve reference date.
t1	initial term
t2	final term

Value

A ForwardRate object.

The arguments t1 and t2 define initial and final term used to extract a ForwardRate from a SpotRateCurve.

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