yc_par_to_zero: Convert Par Rates to Zero Rates

In yieldcurves: Yield Curve Fitting, Analysis, and Decomposition

Convert Par Rates to Zero Rates

Description

Bootstrap zero (spot) rates from par (coupon) rates using iterative stripping.

Usage

yc_par_to_zero(maturities, par_rates, frequency = 1)

Arguments

maturities	Numeric vector of maturities in years (must be positive integers or half-years).
par_rates	Numeric vector of par rates as decimals.
frequency	Integer. Coupon frequency per year: 1 for annual (default) or 2 for semi-annual.

Value

A data frame with columns maturity and zero_rate.

Examples

maturities <- c(1, 2, 3, 5, 10)
par_rates <- c(0.040, 0.042, 0.043, 0.044, 0.045)
yc_par_to_zero(maturities, par_rates)

# Semi-annual coupons
yc_par_to_zero(c(0.5, 1, 2), c(0.04, 0.042, 0.043), frequency = 2)

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