QuantBondCurves (version 0.3.1)

discount.factors: Discount factors

Description

Function that calculates discount factors given effective payment dates and a discount rate. Optional parameters available to calculate discrete or continuous discount factors.

Usage

discount.factors(
  dates,
  rates,
  analysis.date = Sys.Date(),
  rate.type = 1,
  freq = 1
)

Value

Discount factors.

Arguments

dates

Coupon payment dates.

rates

Discount rates given by the zero coupon rate curve. Can also be a unique discount rate.

analysis.date

Date in which the asset is valued. By default, the current date.

rate.type

(1) for discrete compounded discount rates and (0) for continuosly compounded discount rates. By default rates are assumed to be discrete.

freq

Frequency of payments of a given asset in a year. For LIBOR and IBR the default frequency is four (quarterly payments). TES has a default frequency of one (annual payments).

Examples

discount.factors(dates = c("2020-09-10", "2020-12-10", "2021-03-10"), rates = c(0.07, 0.075, 0.08),
                 analysis.date = "2010-09-01")
discount.factors(dates = c("2025-09-01", "2025-12-01", "2026-03-01", "2026-06-01"),
                 rates = c(0.01, 0.015, 0.017, 0.02), analysis.date = "2025-06-01",
                 rate.type = 1, freq = 4)