ZeroHazardRate: Builds a 'ZeroHazardRate'

In imanuelcostigan/fmbasics: Financial Market Building Blocks

Description

This will allow you to create a harzard rate curve. This will typically be bootstrapped or implied from a CDSCurve() or SurvivalProbabilities().

Usage

ZeroHazardRate(values, compounding, day_basis, specs)

Arguments

values	a numeric vector containing zero hazard rate values (as decimals).
compounding	a numeric vector representing the compounding frequency.
day_basis	a character vector representing the day basis associated with the interest rate and hazard rate(see fmdates::year_frac())
specs	CDS curve specifications that inherits from CDSSpec()

Value

returns an object of type hazard_rates

See Also

Other CDS curve helpers: CDSCurve, CDSMarkitSpec, CDSSingleNameSpec, CDSSpec, SurvivalProbabilities, is.CDSCurve, is.CDSSpec

Examples

curve_specs <- CDSMarkitSpec(
  rating = "AAA",
  region = "Japan",
  sector = "Utilities"
)
ZeroHazardRate(values = c(0.04, 0.05), compounding = c(2, 4),
day_basis =  'act/365', specs = curve_specs )

imanuelcostigan/fmbasics documentation built on Dec. 6, 2019, 9:48 a.m.