zctable: G2 ++ model: construction of a zero coupon prices table.

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

Description

zctable computes the zero coupon prices table at time t under the t-forward measure.

Usage

zctable(.Object, t = 0, length = NULL)

Arguments

.Object	G2 object.
t	Numeric. Time for computation.
length	Numeric. Length of the curve, in time steps. If not given, the curve is given until the horizon of projection.

Value

The zero-coupon table at time t.

Examples

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")
g2model <- g2(curve, a=0.773511777, b=0.082013014,
sigma=0.022284644, eta=0.010382461, rho=-0.701985206)
g2model <- project(g2model)
zc10 <- zctable(g2model, 10)

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