PU_LTN_BDT: PU_LTN_BDT
In claudiolucinda/FixedIncomeBR: Fixed Income Function for Brazilian Bonds
Description
Usage
Arguments
Value
Description
Function which generates the PU of a LTN using the Black-Derman Toy Model
Usage
1
PU_LTN_BDT(.dataEval = NULL, .maturity, .nstates, .beta, .lambda)
Arguments
.dataEval
- Data as which the price is to be calculated
.maturity
- Maturity
.nstates
- Number of time periods in the lattice
.beta
- Vector of Beta coefficients for the ANBIMA model of the term structure
.lambda
- Vector of Lambda coefficients for the ANBUMA model of the term structure
Value
- Price in BRL of a LTN
claudiolucinda/FixedIncomeBR documentation built on May 23, 2019, 4:05 a.m.
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Description Usage Arguments Value
Description
Function which generates the PU of a LTN using the Black-Derman Toy Model
Usage
1 | PU_LTN_BDT(.dataEval = NULL, .maturity, .nstates, .beta, .lambda)
|
Arguments
.dataEval |
- Data as which the price is to be calculated |
.maturity |
- Maturity |
.nstates |
- Number of time periods in the lattice |
.beta |
- Vector of Beta coefficients for the ANBIMA model of the term structure |
.lambda |
- Vector of Lambda coefficients for the ANBUMA model of the term structure |
Value
- Price in BRL of a LTN
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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