buildCurve: Build Curve

In vamc: A Monte Carlo Valuation Framework for Variable Annuities

Description

Bootstrap discount factors from a yield curve.

Usage

buildCurve(
  swapRates,
  tenors,
  fixFreq = 6,
  fixDCC = "Thirty360",
  fltFreq = 6,
  fltDCC = "Thirty360",
  calendar = "General",
  bdc = c("Actual", "Preceding", "Following", "Modified_Prec", "Modified_Foll"),
  curveDate,
  numSetDay,
  yieldCurveDCC = "Thirty360",
  holidays = NULL
)

Arguments

swapRates	A vector of doubles of swap rates.
tenors	A vector of integers of corresponding tenors.
fixFreq	An integer of fixed leg frequency of payment in months. Default is 6, semi-annual payments.
fixDCC	A string of fixed leg day count convention from four options: "Thirty360", "ACT360", "ACT365", or "ACTACT". Default is "Thirty360".
fltFreq	An integer of floating leg frequency of payment in months. Default is 6, semi-annual payments.
fltDCC	A string of floating leg day count convention from four options: "Thirty360", "ACT360", "ACT365", or "ACTACT". Default is "Thirty360".
calendar	A string of the desired calendar convention from two options: "NY": New York holiday calendar "General": all weekdays are business days
bdc	A string of business day convention from five options: "Actual": No rolling on the date applied even if it is a non-business day "Preceding": 1st business day before holiday "Following": 1st business day after holiday "Modified_Prec": Same as "Preceding" unless it belongs to a different month, in which case 1st business day after holiday "Modified_Foll": Same as "Following" unless it belongs to a different month, in which case 1st business day before holiday Default is "Actual".
curveDate	A string in the format of "YYYY-MM-DD" of yield curve date.
numSetDay	An integer of settlement days from yield curve date.
yieldCurveDCC	A string of yield curve day count convention from four options: "Thirty360", "ACT360", "ACT365", or "ACTACT". Default is "Thirty360".
holidays	An optional vector dates of user-defined holidays. If provided, within the given holidays range, the calendar provided in the parameter "calendar" will not be applied; If the date is not in the given holidays range, it will follow the calendar provided in the "calendar" parameter

Value

Outputs a data frame of strings of discount dates and doubles of discount factors.

Examples

rate <- c(0.69, 0.77, 0.88, 1.01, 1.14, 1.38, 1.66, 2.15) * 0.01
tenor <- c(1, 2, 3, 4, 5, 7, 10, 30)
fixFreq <- 6
fixDCC <- "Thirty360"
fltFreq <- 6
fltDCC <- "ACT360"
calendar <- "NY"
bdc <- "Modified_Foll"
curveDate <- "2016-02-08"
numSetDay <- 2
yieldCurveDCC <- "Thirty360"
holidays <- NULL
buildCurve(rate, tenor, fixFreq, fixDCC, fltFreq, fltDCC, calendar, bdc,
           curveDate, numSetDay, yieldCurveDCC, holidays)

Example output

     obsDate discountFac    zeroRate forwardCurve  dayCount
1 2016-02-08   1.0000000 0.000000000  0.006912035  0.000000
2 2017-02-10   0.9930975 0.006888125  0.008520036  1.005556
3 2018-02-10   0.9847078 0.007683825  0.011060713  2.005556
4 2019-02-10   0.9739354 0.008787170  0.014146403  3.005556
5 2020-02-10   0.9603499 0.010100373  0.016846310  4.005556
6 2021-02-10   0.9444396 0.011420029  0.020451281  5.005556
7 2023-02-10   0.9073275 0.013882093  0.024514485  7.005556
8 2026-02-10   0.8451708 0.016812319  0.032098279 10.005556
9 2046-02-10   0.5147311 0.022132923  0.032098279 30.005556

vamc documentation built on Feb. 28, 2020, 5:08 p.m.