nyearZero: N-year zero rates
In nathanesau/StocVal: Values embedded options in DB pension plan.

Description Usage Arguments Details Value Examples

Derives N-year zero rates from 1-factor hull white

1	nyearZero(hw.out, termStruct.extension, srinput, term = 10)

`hw.out`	output of hull_white()
`termStruct.extension`	output of curve_extensionNS()
`srinput`	Hull-white model parameters

Due to the way in which theta was calculated, the last three columns of hw.out are not accurate. Therefore, the last four columns of nyearZero(..., term=2) are not accurate, and so on. Also note that , nyearZero(,...term=1) and hw.out are equivalent

A data frame containing n-year zero rates for each scenario

termStruct.out <- cubic_spline(termStruct);
 termStruct.extension <- curve_extensionNS(termStruct.out);
 hw.out <- hull_white(srinput, termStruct.extension, termofyield=1);
 nyearZero.out <- nyearZero(hw.out, termStruct.extension, srinput, term=10)