fCreateTimeVector

Assumes that LIBOR tenor is in days, with 365 days per
 year. Assumes that SWAPs are semi-annual Returns a vector
 of all unique cashflow times in years

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

fCreateTimeVector function

<dl> <dt>dfInstruments</dt>
<dd>A dataframe of instuments with at
 least columns Type and Tenor</dd></dl>

Arguments

Extract a vector of cashflow times in years from a list of instruments — fCreateTimeVector

<dl>

 <dt>dfInstruments</dt>
<dd>A dataframe of instuments with at
 least columns Type and Tenor</dd>

</dl>

fCreateTimeVector: Extract a vector of cashflow times in years from a list of instruments

Description

Usage

Arguments