Description Usage Arguments Details Value See Also Examples

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

1 | ```
ZeroCurve(discount_factors, reference_date, interpolation)
``` |

`discount_factors` |
a |

`reference_date` |
a |

`interpolation` |
an |

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

Interpolation

1 |

```
<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
```

Embedding an R snippet on your website

Add the following code to your website.

For more information on customizing the embed code, read Embedding Snippets.