curve_extensionCF: Curve Extension (Swap, constant forward)
In nathanesau/StocVal: Values embedded options in DB pension plan.
Description
Usage
Arguments
Value
Examples
Description
Calculates the curve extension until time 100 using swap (constant forward)
Usage
1
curve_extensionCF(termStruct.out)
Arguments
termStruct.out
Contains the linearly interpolated risk free rates
from cubic_spline()
Value
The curve extension for an additional 70 years (effective annual zero rate)
Examples
1
2
termStruct.out <- cubic_spline(termStruct)
termStruct.extension <- curve_extensionCF(termStruct.out)
nathanesau/StocVal documentation built on May 23, 2019, 12:18 p.m.
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Description Usage Arguments Value Examples
Description
Calculates the curve extension until time 100 using swap (constant forward)
Usage
1 | curve_extensionCF(termStruct.out)
|
Arguments
termStruct.out |
Contains the linearly interpolated risk free rates from cubic_spline() |
Value
The curve extension for an additional 70 years (effective annual zero rate)
Examples
1 2 | termStruct.out <- cubic_spline(termStruct)
termStruct.extension <- curve_extensionCF(termStruct.out)
|
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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