ZeroCurve: ZeroCurve class

Description Usage Arguments Details Value See Also Examples


A class that defines the bare bones of a zero-coupon yield curve pricing structure.


ZeroCurve(discount_factors, reference_date, interpolation)



a DiscountFactor object. These are converted to continuously compounded zero coupon interest rates with an act/365 day basis for internal storage purposes


a Date object


an Interpolation object


A term structure of interest rates (or yield curve) is a curve showing several yields or interest rates across different contract lengths (2 month, 2 year, 20 year, etc...) for a similar debt contract. The curve shows the relation between the (level of) interest rate (or cost of borrowing) and the time to maturity, known as the "term", of the debt for a given borrower in a given currency. For example, the U.S. dollar interest rates paid on U.S. Treasury securities for various maturities are closely watched by many traders, and are commonly plotted on a graph. More formal mathematical descriptions of this relation are often called the term structure of interest rates. When the effect of coupons on yields are stripped away, one has a zero-coupon yield curve.

The following interpolation schemes are supported by ZeroCurve: ConstantInterpolation, LinearInterpolation, LogDFInterpolation and CubicInterpolation. Points outside the calibration region use constant extrapolation on the zero rate.


a ZeroCurve object

See Also




Example output

<ZeroCurve> @ 31 December 2015 
# A tibble: 27 x 2
    Years  Zeros
    <dbl>  <dbl>
 1 0.0110 0.0200
 2 0.0329 0.0300
 3 0.0521 0.0253
 4 0.0986 0.0224
 5 0.184  0.0211
 6 0.263  0.0205
 7 0.345  0.0202
 8 0.436  0.0199
 9 0.512  0.0197
10 0.764  0.0192
# ... with 17 more rows

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