npv: NPV

In risktoollib/RTL: Risk Tool Library - Trading, Risk, 'Analytics' for Commodities

NPV

Description

Computes NPV with discount factor interpolation. This function is used for teaching NPV and NPV at Risk and needs to be customized.

Usage

npv(
  init.cost = -375,
  C = 50,
  cf.freq = 0.25,
  TV = 250,
  T2M = 2,
  disc.factors = us.df,
  BreakEven = FALSE,
  BE.yield = 0.01
)

Arguments

init.cost	Initial investment cost. numeric
C	Periodic cash flow. numeric
cf.freq	Cash flow frequency in year fraction e.g. quarterly = 0.25. numeric
TV	Terminal Value. numeric
T2M	Time to Maturity in years. numeric
disc.factors	Data frame of discount factors using ir.df.us() function. numeric
BreakEven	TRUE when using a flat discount rate assumption. logical
BE.yield	Set the flat IR rate when BreakEven = TRUE. logical

Value

List of NPV and NPV Data frame. list

Author(s)

Philippe Cote

Examples

npv(
  init.cost = -375, C = 50, cf.freq = .5, TV = 250, T2M = 2,
  disc.factors = RTL::usSwapCurves, BreakEven = FALSE, BE.yield = .0399
)$npv
npv(
  init.cost = -375, C = 50, cf.freq = .5, TV = 250, T2M = 2,
  disc.factors = RTL::usSwapCurves, BreakEven = FALSE, BE.yield = .0399
)$df

risktoollib/RTL documentation built on April 17, 2024, 1:35 p.m.