rate_curve: Creates a rate curve instance

In juancentro/tvm: Time Value of Money Functions

Usage

rate_curve(rates = NULL, rate_type = "zero_eff", pers = 1:length(rates),
  rate_scale = 1, fun_d = NULL, fun_r = NULL, knots = seq.int(from = 1,
  to = max(pers), by = 1), functor = function(x, y) splinefun(x = x, y = y,
  method = "monoH.FC"))

Arguments

rates	A rate vector
rate_type	The rate type. Must be on of c("fut", "zero_nom", "zero_eff", "swap")
pers	The periods the rates correspond to
rate_scale	In how many periods is the rate expressed. For example, when measuring periods in days, and using annual rates, you should use 365. When measuring periods in months, and using annual rates, you should use 12. If no scaling, use 1.
fun_d	A discount factor function. fun_d(x) returns the discount factor for time x, vectorized on x
fun_r	A rate function. fun_r(x) returns the EPR for time x, vectorized on x
knots	The nodes used to bootstrap the rates. This is a mandatory argument if a rate function or discount function is provided
functor	A function with parameters x and y, that returns a function used to interpolate

Note

Currently a rate curve can only be built from one of the following sources

1. A discount factor function

2. A rate function and a rate type from the following types: "fut", "zero_nom", "zero_eff" or "swap"

3. A rate vector, a pers vector and a rate type as before

Examples

rate_curve(rates = c(0.1, 0.2, 0.3), rate_type = "zero_eff")
rate_curve(fun_r = function(x) rep_len(0.1, length(x)), rate_type = "swap", knots = 1:12)
rate_curve(fun_d = function(x) 1 / (1 + x), knots = 1:12)

juancentro/tvm documentation built on May 20, 2019, 3:18 a.m.