Description Usage Arguments Details Value
View source: R/term_structures.R
The BondValuation package provides day count convention treatments superior to quantmod or any other R package known (as of May 2019). This function takes output from BondValuation::AnnivDates(...) and parses it into notionals, maturity time, and coupon times and sizes.
1 2 3 4 5 | detail_from_AnnivDates(
anvdates,
as_of = Sys.time(),
normalization_factor = 365.25
)
|
anvdates |
Output of BondValuation::AnnivDates(), which must have included a 'Coup' argument so that the resulting list contains an entry for 'PaySched' |
as_of |
Date or time from whose perspective times should be computed |
normalization_factor |
Factor by which raw R time differences should be multiplied. If volatilites are going to be annualized, then this should typically be 365 or so. |
Note: volatilities used in 'ragtop' must have compatible time units to these times.
A list with some of the arguments appropriate for defining a Bond as follows: maturity - maturity notional - notional amount coupons - 'data.frame' with 'payment_time', 'payment_size'
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