Curve-class: Curve Class
In Trading: CCR, Advanced Correlation & Beta Estimates, Betting Strategies

Curve-class

R Documentation

Curve Class

Description

Creates a Curve Object containing pairs of Tenors with relevant rates and the interpolation function. Also, methods for populating the object via a .csv file and the generation of the interpolation function via cubic splines are included.

Arguments

`Tenors`	The Tenors of the curve
`Rates`	The rates on the corresponding tenors
`interp_function`	(Optional) The interpolation function of the curve. Can be populated via the 'CalcInterpPoints' method

Value

An object of type Curve

Author(s)

Tasos Grivas <tasos@openriskcalculator.com>

Examples


## generating a curve either directly or through a csv - 
## the spot_rates.csv file can be found on the extdata folder in the installation library path
funding_curve =  Curve(Tenors=c(1,2,3,4,5,6,10),Rates=c(4,17,43,47,76,90,110))
spot_rates = Curve()
spot_rates$PopulateViaCSV('spot_rates.csv')
time_points = seq(0,5,0.01)
spot_curve     = spot_rates$CalcInterpPoints(time_points)

Trading documentation built on Feb. 13, 2024, 3 a.m.