Bterm: Hull White B term
In glennmschultz/BondLab: BondLab is a package for the analysis of fixed-income securities
Description
Usage
Arguments
See Also
Description
A function to compute B term of the Hull White Bond Price
Usage
1
Bterm(mean.reversion, delta.time)
Arguments
mean.reversion
The mean reversion rate
delta.time
The time step (maturity of zero coupon bond)
See Also
Other Interest Rate Models:
CreateCashFlowMatrix(),
CreateMaturitiesMatrix(),
HullWhite()
glennmschultz/BondLab documentation built on May 11, 2021, 5:29 p.m.
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Description Usage Arguments See Also
Description
A function to compute B term of the Hull White Bond Price
Usage
1 | Bterm(mean.reversion, delta.time)
|
Arguments
mean.reversion |
The mean reversion rate |
delta.time |
The time step (maturity of zero coupon bond) |
See Also
Other Interest Rate Models:
CreateCashFlowMatrix(),
CreateMaturitiesMatrix(),
HullWhite()
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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