interest_rate: Calculate annualized interest rate r(t, T) from a discount...

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

Description

Calculate annualized interest rate r(t, T) from a discount factor Z(t, T)

Usage

interest_rate(d_f, years, pmt_freq = Inf)

Arguments

d_f	discount factor Z(t, T)
years	number of (fractional) years: period that the discount factor effects
pmt_freq	frequency of compounding (optional) numeric => discrete compounding (2 => semi annual) Inf => continuous compounding (default)

Value

r(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 interest rate
# ========================
(r_continuous  <- CAGR(PV, FV, years, type="continuous"))
(df_continuous <- discount_factor(r_continuous,  years))
(c_ir          <- interest_rate(df_continuous, years))
all.equal(r_continuous, c_ir)

# discrete interest rate
# ======================
(r_discrete  <- r_discrete(r_continuous, freq))
(df_discrete <- discount_factor(r_discrete,  years, freq))
(d_ir        <- interest_rate(df_discrete,   years, freq))
all.equal(r_discrete,   d_ir)

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