yc_discount: Compute Discount Factors
In yieldcurves: Yield Curve Fitting, Analysis, and Decomposition

yc_discount

R Documentation

Compute Discount Factors

Description

Calculate discount factors from a yield curve assuming continuous compounding.

Usage

yc_discount(
  curve,
  maturities = NULL,
  compounding = c("continuous", "annual", "semi_annual")
)

Arguments

`curve`	A `yc_curve` object.
`maturities`	Optional numeric vector of maturities. If NULL, uses the curve's own maturities.
`compounding`	Character. Compounding convention: `"continuous"` (default), `"annual"`, or `"semi_annual"`.

Value

A data frame with columns maturity and discount_factor.

Examples

maturities <- c(1, 2, 5, 10)
rates <- c(0.045, 0.043, 0.042, 0.040)
curve <- yc_curve(maturities, rates)
yc_discount(curve)
yc_discount(curve, compounding = "annual")

yieldcurves documentation built on March 26, 2026, 5:06 p.m.