spotForwardRates: Estimate spot and forward rates

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

Description

This function calculates the forward or forward rates given an discount factors and time increments

Usage

spotForwardRates(time, DF)

Arguments

time	increments of time when discount factors are estimated
DF	discount factor for during time increments

Author(s)

Thomas Fillebeen

Examples

DF = c(0.996489, 0.991306, 0.984484, 0.975616, 0.964519)
time = seq(from=0.5, to=2.5, by=0.5)
rates = spotForwardRates(time,DF)
rates

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