yc_zero_to_par: Convert Zero Rates to Par Rates

In yieldcurves: Yield Curve Fitting, Analysis, and Decomposition

Convert Zero Rates to Par Rates

Description

Compute par (coupon) rates from zero (spot) rates. The par rate for maturity T is the coupon rate that makes a bond price equal to par.

Usage

yc_zero_to_par(maturities, zero_rates, frequency = 1)

Arguments

maturities	Numeric vector of maturities in years.
zero_rates	Numeric vector of zero 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 par_rate.

Examples

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

# Semi-annual coupons
yc_zero_to_par(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.