APY: Convert CMT to APY

In grfiv/ustreasuries: Treasury Data Download, Fixed-Income Models and Derivative Analyses

Description

Convert Constant-Maturity Treasury (CMT) yields to Annualized Percentage Yields (APY)

Usage

APY(i, percent = FALSE)

Arguments

i	vector of CMT yields to be converted
percent	boolean, if TRUE, i should be divided by 100 (for example 7.87 becomes 0.0787)

Value

APY yield(s) as a decimal (not as a percent)

Author(s)

George Fisher [e-mail]

References

Interest Rates - Frequently Asked Questions

https://www.treasury.gov/resource-center/faqs/Interest-Rates/Pages/faq.aspx#2

Examples

APY(0.0800) #> [1] 0.0816

CMT = c(7.87, 7.92, 7.91, 7.92, 7.92, 7.92)
APY(CMT, percent=TRUE)
#> [1] 0.08024842 0.08076816 0.08066420 0.08076816 0.08076816 0.08076816

grfiv/ustreasuries documentation built on May 17, 2019, 8:36 a.m.