discountFactor: Estimate discountFactor

In GARPFRM: Global Association of Risk Professionals: Financial Risk Manager

Description

This function calculates the discountFactor (DF) given price and cashFlows.

Usage

discountFactor(price, cashFlow)

Arguments

price	of a bond
cashFlow	of a bond

Value

discount factors

Author(s)

Thomas Fillebeen

Examples

cashFlow = rbind(c(100+(1+1/4)/2,0,0),c((4 +7/8)/2,100+(4+7/8)/2,0),c((4+1/2)/2,(4+1/2)/2,100+(4+1/2)/2))
# Created Price of the bond
price = matrix(c(100.550, 104.513, 105.856), ncol=1)
DF = discountFactor(price, cashFlow)

GARPFRM documentation built on May 2, 2019, 5:45 p.m.