IborIndex: IborIndex class

In fmbasics: Financial Market Building Blocks

Description

This can be used to represent IBOR like indices (e.g. LIBOR, BBSW, CDOR) and extends the Index class.

Usage

IborIndex(name, currency, tenor, spot_lag, calendar, day_basis, day_convention,
  is_eom)

Arguments

name	the name of the index as a string
currency	the currency associated with the index as a Currency object
tenor	the term of the index as a period
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")
is_eom	a flag indicating whether or not the maturity date of the index is subject to the end-to-end convention.

Value

an object of class IborIndex that inherits from Index

Examples

library(lubridate)
library(fmdates)
# 3m AUD BBSW
IborIndex("BBSW", AUD(), months(3), days(0), c(AUSYCalendar()),
  "act/365", "ms", FALSE)

Example output

Attaching package: ‘lubridate’

The following objects are masked from ‘package:base’:

    date, intersect, setdiff, union

<IborIndex> 3m AUD BBSW 

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