parYield: Par Yield

Description Usage Arguments Details Value Examples

Description

Calculates par yield using results of Hull White scenario generation

Usage

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parYield(hw.out, termStruct.extension, srinput, term = 5)

Arguments

hw.out

output of hull_white()

termStruct.extension

output of curve_extensionNS()

srinput

Hull-white model parameters

term

The term of the par yield

Details

hw.out uses a term of 10 years. This function allows for a different term (i.e. 5 years). However, it has three nested loops, so can take a while.

Value

A data frame containing par yield rates for each scenario

Examples

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termStruct.out <- cubic_spline(termStruct);
 termStruct.extension <- curve_extensionNS(termStruct.out);
 hw.out <- hull_white(srinput, termStruct.extension, termofyield=1);
 parYield.out <- parYield(hw.out, termStruct.extension, srinput, term=5)

nathanesau/StocVal documentation built on May 23, 2019, 12:18 p.m.