discount_factor: Calculate discount factor Z(t, T)

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

Description

Calculate discount factor Z(t, T)

Usage

discount_factor(annual_rate, years, pmt_freq = Inf)

Arguments

annual_rate	the compounded annual rate of interest
years	number of (fractional) years
pmt_freq	frequency of compounding (optional) numeric => discrete compounding (2 => semi annual) Inf => continuous compounding (default)

Value

Z(t, T)

Author(s)

George Fisher [e-mail]

References

Veronesi Ch2 P29-38

Examples

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

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