Description Usage Arguments Value Author(s) References Examples
View source: R/BSM_utilities.R
Calculate discount factor Z(t, T)
1 | discount_factor(annual_rate, years, pmt_freq = Inf)
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annual_rate |
the compounded annual rate of interest |
years |
number of (fractional) years |
pmt_freq |
frequency of compounding (optional)
|
Z(t, T)
George Fisher GeorgeRFisher@gmail.com
Veronesi Ch2 P29-38
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 | PV <- 9000
FV <- 13000
years <- 3
freq <- 2 # compounding frequency = 2 => semi-annual
(continuous <- CAGR(PV, FV, years, type="continuous"))
(discrete <- r_discrete(continuous, freq))
(df_continuous <- discount_factor(continuous, years))
(df_discrete <- discount_factor(discrete, years, freq))
FV * df_continuous
FV * df_discrete
all.equal(df_continuous, df_discrete) # df_continuous == df_discrete
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