Forward.Rate: A function to calculate forward rates
In glennmschultz/BondLab: BondLab is a package for the analysis of fixed-income securities
View source: R/TermStructure.R
Description
Calculate forward rate given a vector of spot rates
Usage
1
Forward.Rate(term.structure, forward.tenor, type = "C")
Arguments
term.structure
an S4 object of the type TermStructure
forward.tenor
the forward tenor stated in months. For example the
two-year forward rate is specified as 24.
type
the calculation type "P" periodic or "C" continuous
glennmschultz/BondLab documentation built on May 11, 2021, 5:29 p.m.
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View source: R/TermStructure.R
Description
Calculate forward rate given a vector of spot rates
Usage
1 | Forward.Rate(term.structure, forward.tenor, type = "C")
|
Arguments
term.structure |
an S4 object of the type TermStructure |
forward.tenor |
the forward tenor stated in months. For example the two-year forward rate is specified as 24. |
type |
the calculation type "P" periodic or "C" continuous |
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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