ZeroCurve: ZeroCurve class

In fmbasics: Financial Market Building Blocks

Description

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

Usage

ZeroCurve(discount_factors, reference_date, interpolation)

Arguments

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

Details

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.

Value

a ZeroCurve object

See Also

Interpolation

Examples

build_zero_curve()

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.