ZCCurve-class: Zero Coupon Curve

In ArnaudBu/esg2: Esg Based on a G2++ Model

Description

A S4 class to represent a zero coupon curve.

Usage

## S4 method for signature 'ZCCurve,missing'
plot(x, y)

## S4 method for signature 'ZCCurve'
print(x)

## S4 method for signature 'ZCCurve'
show(object)

Arguments

x	the Zero Coupon Curve object to plot
y	classical plot parameters. Useless here.
object	the Zero Coupon Curve object to show

Methods (by generic)

• plot: plot method for ZCCurve

• print: print method for ZCCurve

• show: show method for ZCCurve

Slots

method

Character. Method for discounting the curve:

• "continuous": continuous rate. Default value.

• "actuarial": actuarial rate.

• "libor": libor rate.

rates

Vector. List of rates from maturity 1 to horizon.

zcp

Vector. List of corresponding zero coupon bonds prices.

ifr

Vector. Instant forward rates at time 0.

ArnaudBu/esg2 documentation built on Oct. 20, 2021, 10:01 a.m.