NSzeros: Convert rates to discount factors Z(0, T)
In grfiv/ustreasuries: Treasury Data Download, Fixed-Income Models and Derivative Analyses
Description
Usage
Arguments
Details
Value
Author(s)
References
View source: R/download_rates.R
Description
Returns the discount factors associated with Nelson Seigel fitted rates
Usage
1
NSzeros(NS_rates)
Arguments
NS_rates
the value returned by the NSrates() or Srates()functions
Details
Z(0, T) = e^{-r(0, T) * T}
Value
data.frame rownames are the dates,
colnames are the time to maturity in character format preceded by "X"
Author(s)
George Fisher
References
Veronesi, P., Fixed Income Securities p67
grfiv/ustreasuries documentation built on May 17, 2019, 8:36 a.m.
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Description Usage Arguments Details Value Author(s) References
View source: R/download_rates.R
Description
Returns the discount factors associated with Nelson Seigel fitted rates
Usage
1 | NSzeros(NS_rates)
|
Arguments
NS_rates |
the value returned by the |
Details
Z(0, T) = e^{-r(0, T) * T}
Value
data.frame rownames are the dates,
colnames are the time to maturity in character format preceded by "X"
Author(s)
George Fisher
References
Veronesi, P., Fixed Income Securities p67
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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