r_discrete: Convert TO discrete compounding FROM continuous

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

Description

Convert TO discrete compounding FROM continuous

Usage

r_discrete(r_c, freq)

Arguments

r_c	the continuously compounded rate of return
freq	how often the discrete rate is compounded (2 => semiannual)

Value

the discrete rate of return

Note

FV = PV * (1 + discrete / freq) ** (freq * years)

FV = PV * exp(continuous * years)

Author(s)

George Fisher [e-mail]

Examples

PV    <- 9000
FV    <- 13000
years <- 3
freq  <- 2   # compounding frequency = 2 => semi-annual

(r_continuous <- CAGR(PV, FV, years, type="continuous"))
(r_discrete   <- r_discrete(r_continuous, freq))

PV * (1 + r_discrete / freq) ** (freq * years)

PV * exp(r_continuous * years)

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