Description Usage Arguments Details Value Examples
Calculates par yield using results of Hull White scenario generation
1 |
hw.out |
output of hull_white() |
termStruct.extension |
output of curve_extensionNS() |
srinput |
Hull-white model parameters |
term |
The term of the par yield |
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.
A data frame containing par yield rates for each scenario
1 2 3 4 | 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)
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