yield_curve: Functions relating to making yield curves

In maRketSim: Market simulator for R

Description

connectTheDots - Interpolate between points on a yield curve and return a maturity. Used for the quoted yield.curve statements. read.yield.curve - Function to take a data.frame of columns (i,mat,t) and turn it into a market.history with yield curves

Usage

connectTheDots(mat, df, constant.max.mat = TRUE, ...)
read.yield.curve(df, drop.if.no.MMrate=FALSE, MM.mat=1/12, ...)

Arguments

mat	Maturity
df	Data.frame that contains yield curve information
constant.max.mat	Set to TRUE if you want it to return interest rates equal to the maximum maturity available if a mat is requested which exceeds the max maturity.
drop.if.no.MMrate	Whether or not to drop years with no money market rate
MM.mat	Consider times below this maturity to be money market
...	Pass-alongs

Value

yield.curve object

maRketSim documentation built on May 29, 2017, 10:54 p.m.