fCreateCashflowMatrix

Returns the matrix of cashflows for the list of
 instruments

Constructs a yield curve by the Smith-Wilson method from a table of
libor and swap rates. Now updated to take bond coupons and prices
in the same table.

Phil Joubert

SmithWilsonYieldCurve

Smith-Wilson Yield Curve Construction

fCreateCashflowMatrix function

<dl> <dt>dfInstruments</dt>
<dd>A set of market instruments as a
 dataframe with columns Type, Tenor, Frequency and Rate
 with Type in (LIBOR, SWAP, BOND), Tenor the instrument maturity
 in years and rate the rate per annum</dd></dl>

Arguments

Returns the matrix of cashflows for the list of instruments — fCreateCashflowMatrix

<dl>

 <dt>dfInstruments</dt>
<dd>A set of market instruments as a
 dataframe with columns Type, Tenor, Frequency and Rate
 with Type in (LIBOR, SWAP, BOND), Tenor the instrument maturity
 in years and rate the rate per annum</dd>

</dl>

fCreateCashflowMatrix: Returns the matrix of cashflows for the list of instruments

Description

Usage

Arguments