hull_whiteBond: 1-factor Hull White (bond prices)
In nathanesau/StocVal: Values embedded options in DB pension plan.
Description
Usage
Arguments
Value
Examples
Description
Transform hull white short rates into bond prices -> P = 1/(1+r)
Usage
1
hull_whiteBond(hw.out)
Arguments
hw.out
Output of hull_white() containing short rate scenarios
Value
Bond prices corresponding to hull white short rate scenarios
Examples
1
2
3
4
termStruct.out <- cubic_spline(termStruct);
termStruct.extension <- curve_extensionNS(termStruct.out);
hw.out <- hull_white(srinput, termStruct.extension, termofyield=1);
hw.bond <- hull_whiteBond(hw.out)
nathanesau/StocVal documentation built on May 23, 2019, 12:18 p.m.
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Description Usage Arguments Value Examples
Description
Transform hull white short rates into bond prices -> P = 1/(1+r)
Usage
1 | hull_whiteBond(hw.out)
|
Arguments
hw.out |
Output of hull_white() containing short rate scenarios |
Value
Bond prices corresponding to hull white short rate scenarios
Examples
1 2 3 4 | termStruct.out <- cubic_spline(termStruct);
termStruct.extension <- curve_extensionNS(termStruct.out);
hw.out <- hull_white(srinput, termStruct.extension, termofyield=1);
hw.bond <- hull_whiteBond(hw.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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