CashflowCalculation: A function that calculates the main set of dates for a given...
In DavideMagno/SwapPricer: Pricing of Financial Interest Rate Swaps
Description
Usage
Arguments
Value
Description
This function calculates the following set of dates (then converted into year
fractions from the valuation date if needed): 1) future cashflows 2) starting
date of the current accrual period 3) the fixing date for the variable rate
Usage
1
2
CashflowCalculation(today, start.date, maturity.date, type, time.unit, dcc,
calendar, currency)
Arguments
today
The Date at which the analysis is being carried out
start.date
The settlement date of the contract
maturity.date
The maturity date of the contract
type
Type of leg (ie. floating or fixed)
time.unit
Number of months for the frequency of the leg (ie. monthly
would have a time.unit of 1, quarterly of 3, semiannual of 6 and annual of 12)
dcc
Day Count Convention as per the RQuantLib doc
calendar
Character with the holiday's calendar as per the RQuantLib doc
currency
The ISO code of the swap's currency
Value
A list which contains 1) future cashflows 2) starting date
of the current accrual period 3) the fixing date for the variable rate
DavideMagno/SwapPricer documentation built on Aug. 19, 2021, 6:36 p.m.
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Description Usage Arguments Value
Description
This function calculates the following set of dates (then converted into year fractions from the valuation date if needed): 1) future cashflows 2) starting date of the current accrual period 3) the fixing date for the variable rate
Usage
1 2 | CashflowCalculation(today, start.date, maturity.date, type, time.unit, dcc,
calendar, currency)
|
Arguments
today |
The Date at which the analysis is being carried out |
start.date |
The settlement date of the contract |
maturity.date |
The maturity date of the contract |
type |
Type of leg (ie. floating or fixed) |
time.unit |
Number of months for the frequency of the leg (ie. monthly would have a time.unit of 1, quarterly of 3, semiannual of 6 and annual of 12) |
dcc |
Day Count Convention as per the RQuantLib doc |
calendar |
Character with the holiday's calendar as per the RQuantLib doc |
currency |
The ISO code of the swap's currency |
Value
A list which contains 1) future cashflows 2) starting date of the current accrual period 3) the fixing date for the variable rate
R Package Documentation
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Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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