CashIndex: CashIndex class

In fmbasics: Financial Market Building Blocks

Description

This can be used to represent ONIA like indices (e.g. AONIA, FedFunds) and extends the InterestRateIndex class.

Usage

CashIndex(name, currency, spot_lag, calendar, day_basis, day_convention)

Arguments

name	the name of the index as a string
currency	the currency associated with the index as a Currency object
spot_lag	the period between the index's fixing and the start of the index's term
calendar	the calendar used to determine whether the index fixes on a given date as a Calendar
day_basis	the day basis associated with the index (e.g. "act/365")
day_convention	the day convention associated with the index (e.g. "mf")

Value

an object of class CashIndex that inherits from Index

Examples

library(lubridate)
library(fmdates)
# RBA cash overnight rate
CashIndex("AONIA", AUD(), days(0), c(AUSYCalendar()), "act/365", "f")

fmbasics documentation built on May 2, 2019, 6:22 a.m.