EUR.curves: EUR interest rate curve set
In DavideMagno/SwapPricer: Pricing of Financial Interest Rate Swaps
Description
Usage
Format
Source
Description
A list containing the currency of the curve and the discount factor term structure
Usage
1
Format
A list with two elements :
- currency
with the ISO code of the currency (EUR)
- discount
a tibble containing the following two columns:
t2m: a day fraction representing the time to maturity of the
instruments used for constructing the discount factor curve
df: the level of the discount factor for that time to maturity
Source
Bloomberg SWPM page as at the 15th of April 2019
DavideMagno/SwapPricer documentation built on Aug. 19, 2021, 6:36 p.m.
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Description Usage Format Source
Description
A list containing the currency of the curve and the discount factor term structure
Usage
1 |
Format
A list with two elements :
- currency
with the ISO code of the currency (EUR)
- discount
a tibble containing the following two columns:
t2m: a day fraction representing the time to maturity of the instruments used for constructing the discount factor curve
df: the level of the discount factor for that time to maturity
Source
Bloomberg SWPM page as at the 15th of April 2019
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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