impl_fwr: Implied Forward Rate Calculation

Description Usage Arguments Details Value Examples

Description

Calculates the implied forward rates from given spot rates.

Usage

1
impl_fwr(m, s)

Arguments

m

maturity vector.

s

spot rate vector.

Details

Implied forward rates can be calculated using the following relationship:

f(t',T) = \frac{s(m_T)m_T - s(m_{t'})m_{t'}}{m_T-m_{t'}},

whereas s(m_T), s(m_{t'}) is the spot rate for a maturity m_T,m_{t'} respectively.

Value

The function returns the calculated forward rate vector.

Examples

1
2
s <-  spr_ns(c(0.03,0.02,0.01,5),1:30)
impl_fwr(s,m=1:30)

changshun/termstrc documentation built on May 13, 2019, 3:24 p.m.