curvezc: Zero Coupon Curve: constructor

Description Usage Arguments Details Value Examples

View source: R/ZCCurve-class.R

Description

curvezc creates a zero coupon curve object.

Usage

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curvezc(rates, method)

Arguments

rates

Vector. List of rates from maturity 1 to horizon continuously.

method

Character. Computation method:

  • "continuous": continuous rate. Default value.

  • "actuarial": actuarial rate.

  • "libor": libor rate.

Details

Rates are assumed to go from period time 1 to period time equal to the length of the vector. For example, for a rate curve equal to c(0.01, 0.015, 0.02), the period considered are c(1,2,3).

Value

The curve object.

Examples

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 rates <- c(-0.00316,-0.00269,-0.00203,-0.00122,-0.00022,
 0.00092,0.00215,0.00342,0.00465,0.00581,0.00684,0.00777,
 0.00861,0.00933,0.00989,0.0103,0.01061,0.01092,0.01127,
 0.0117,0.01222,0.01281,0.01345,0.01411,0.01478,0.01546,
 0.01613,0.01679,0.01743,0.01806,0.01867,0.01926,0.01983,
 0.02038,0.02092,0.02143,0.02192,0.02239,0.02285,0.02329,
 0.02371,0.02411,0.0245,0.02488,0.02524,0.02558,0.02592,
 0.02624,0.02655,0.02685)
 curve <-curvezc(rates, "continuous")

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