SwapPortfolioPricing: Main function that manages the pricing of a portfolio of...
In DavideMagno/SwapPricer: Pricing of Financial Interest Rate Swaps
Description
Usage
Arguments
Value
Description
This function prices an entire portfolio of interest rate swaps. They can be
introduced either in tabular form or directly under the list structure.
Usage
1
SwapPortfolioPricing(swap.portfolio, today, ...)
Arguments
swap.portfolio
A portfolio of swap contracts. Please refer to the
vignette "Define the input data structures" for more details on how to
create it
today
The Date at which the analysis is being carried out
...
One curve sets (which are also lists which have to contain
a currency and a discount curve as specified in the vignette intro) for each
currency in the swap.portfolio.
Value
A list with all the main pricing information for the contract
DavideMagno/SwapPricer documentation built on Aug. 19, 2021, 6:36 p.m.
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Description Usage Arguments Value
Description
This function prices an entire portfolio of interest rate swaps. They can be introduced either in tabular form or directly under the list structure.
Usage
1 | SwapPortfolioPricing(swap.portfolio, today, ...)
|
Arguments
swap.portfolio |
A portfolio of swap contracts. Please refer to the vignette "Define the input data structures" for more details on how to create it |
today |
The Date at which the analysis is being carried out |
... |
One curve sets (which are also lists which have to contain a currency and a discount curve as specified in the vignette intro) for each currency in the swap.portfolio. |
Value
A list with all the main pricing information for the contract
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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