interpolate_dfs: Interpolate forward rates and discount factors

In imanuelcostigan/fmbasics: Financial Market Building Blocks

Description

This interpolates forward rates and forward discount factors from either a ZeroCurve or some other object that contains such an object.

Usage

## S3 method for class 'CreditCurve'
interpolate_dfs(x, from, to, ...)

## S3 method for class 'CreditCurve'
interpolate_fwds(x, from, to, ...)

interpolate_dfs(x, from, to, ...)

interpolate_fwds(x, from, to, ...)

## S3 method for class 'ZeroCurve'
interpolate_fwds(x, from, to, ...)

## S3 method for class 'ZeroCurve'
interpolate_dfs(x, from, to, ...)

Arguments

x	the object to interpolate
from	a Date vector representing the start of the forward period
to	a Date vector representing the end of the forward period
...	further arguments passed to specific methods

Value

interpolate_dfs returns a DiscountFactor object of forward discount factors while interpolate_fwds returns an InterestRate object of interpolated simply compounded forward rates.

See Also

Other interpolate functions: interpolate.CreditCurve, interpolate.VolSurface, interpolate.ZeroCurve, interpolate_zeros.CreditCurve, interpolate

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