OLDParSwapRateAlgorithm: Calculates the Par Swap Rate and Annuity
In DavideMagno/SwapPricer: Pricing of Financial Interest Rate Swaps
Description
Usage
Arguments
Value
Description
Calculates the Par Swap Rate and Annuity using the old "one curve"
construction methodology
Usage
1
OLDParSwapRateAlgorithm(swap.cf)
Arguments
swap.cf
A 2 column swap cashflow tibble with coupon dates (in terms of
year fractions) and discount factors
Value
A list containing the par swap rate and the annuity
DavideMagno/SwapPricer documentation built on Aug. 19, 2021, 6:36 p.m.
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Description Usage Arguments Value
Description
Calculates the Par Swap Rate and Annuity using the old "one curve" construction methodology
Usage
1 | OLDParSwapRateAlgorithm(swap.cf)
|
Arguments
swap.cf |
A 2 column swap cashflow tibble with coupon dates (in terms of year fractions) and discount factors |
Value
A list containing the par swap rate and the annuity
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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