spotForwardRates: Estimate spot and forward rates

Description Usage Arguments Author(s) Examples

View source: R/discountFactorArbitrage.R

Description

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

Usage

1

Arguments

time

increments of time when discount factors are estimated

DF

discount factor for during time increments

Author(s)

Thomas Fillebeen

Examples

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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 31, 2017, 3:46 a.m.