compoundingRate: Estimate continuously conpounding rate to be used in term...
In GARPFRM: Global Association of Risk Professionals: Financial Risk Manager
Description
Usage
Arguments
Value
Author(s)
Description
This function calculates the continuously compounding rate given an initial dataset
with specific format, date of reference coumpounding frequency, and face value
Usage
1
compoundingRate(dat, initialDate = as.Date("1995-05-15"), m, face = 100)
Arguments
dat
is a dataset with cusip, issueDate, MaturityDate, Name, Coupon, Bid/Ask
initialDate
is the date when the estimation should be conducted: date of reference
m
compounding frequency
face
face value
Value
continuously compounding rates
Author(s)
Thomas Fillebeen
GARPFRM documentation built on May 2, 2019, 5:45 p.m.
R Package Documentation
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Description Usage Arguments Value Author(s)
Description
This function calculates the continuously compounding rate given an initial dataset with specific format, date of reference coumpounding frequency, and face value
Usage
1 | compoundingRate(dat, initialDate = as.Date("1995-05-15"), m, face = 100)
|
Arguments
dat |
is a dataset with cusip, issueDate, MaturityDate, Name, Coupon, Bid/Ask |
initialDate |
is the date when the estimation should be conducted: date of reference |
m |
compounding frequency |
face |
face value |
Value
continuously compounding rates
Author(s)
Thomas Fillebeen
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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