zcp2rate: Rate computation
In ArnaudBu/esg2: Esg Based on a G2++ Model
Description
Usage
Arguments
Value
Examples
Description
zcp2rate computes the rate equivalent to a zero coupon price for a maturity.
Usage
1
zcp2rate(mat, zcp, method = "continuous")
Arguments
mat
Vector. Maturities of the bound.
zcp
Vector. Panel of zero coupon bonds prices for which the rates are to be computed.
method
Character. Computation method:
"continuous": continuous rate. Default value.
"actuarial": actuarial rate.
"libor": libor rate.
Value
The rates associated to the maturities.
Examples
1
zcp2rate(1, 0.9900498, "continuous")
ArnaudBu/esg2 documentation built on Oct. 20, 2021, 10:01 a.m.
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Description Usage Arguments Value Examples
Description
zcp2rate computes the rate equivalent to a zero coupon price for a maturity.
Usage
1 | zcp2rate(mat, zcp, method = "continuous")
|
Arguments
mat |
Vector. Maturities of the bound. |
zcp |
Vector. Panel of zero coupon bonds prices for which the rates are to be computed. |
method |
Character. Computation method:
|
Value
The rates associated to the maturities.
Examples
1 | zcp2rate(1, 0.9900498, "continuous")
|
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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