Yield_Curve: Yield Curve
In claudiolucinda/FixedIncomeBR: Fixed Income Function for Brazilian Bonds
Description
Usage
Arguments
Value
Description
Estimates the YTM of a bond maturing in .t periods according to the ANBIMA model of the Brazilian Yield Curve.
Defaults for .beta and .lambda are values of May 18th, 2015. To update, get the most recent values at http://www.anbima.com.br/est_termo/CZ.asp
Usage
1
2
3
Yield_Curve(.beta = c(0.113525690989684, -0.0463197432094039,
-0.0709736348702071, -0.00365241403584365), .lambda = c(1.61175546741901,
0.428872702898983), .t)
Arguments
.beta
- Vector of beta coefficients
.lambda
- Vector of lambda coefficients
.t
- Time in years of 252 working days
Value
- The YTM (in decimals) per year of 252 working days
claudiolucinda/FixedIncomeBR documentation built on May 23, 2019, 4:05 a.m.
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Description Usage Arguments Value
Description
Estimates the YTM of a bond maturing in .t periods according to the ANBIMA model of the Brazilian Yield Curve. Defaults for .beta and .lambda are values of May 18th, 2015. To update, get the most recent values at http://www.anbima.com.br/est_termo/CZ.asp
Usage
1 2 3 | Yield_Curve(.beta = c(0.113525690989684, -0.0463197432094039,
-0.0709736348702071, -0.00365241403584365), .lambda = c(1.61175546741901,
0.428872702898983), .t)
|
Arguments
.beta |
- Vector of beta coefficients |
.lambda |
- Vector of lambda coefficients |
.t |
- Time in years of 252 working days |
Value
- The YTM (in decimals) per year of 252 working days
R Package Documentation
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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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