maturities: Get SpotRateCurve terms as Date objects

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

Get SpotRateCurve terms as Date objects

Description

Compute the SpotRateCurve terms as Date objects, according to the curve's reference date.

Usage

maturities(x)

Arguments

x	a SpotRateCurve object.

Value

A vector of Date objects that represent the curve's terms and using curve's refdate as a starting point.

Examples

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")
maturities(curve)

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