fGetCashflowsSwap

Gets the cashflow schedule for a swap

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

fGetCashflowsSwap function

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

Arguments

Gets the cashflow schedule for a swap — fGetCashflowsSwap

<dl>

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

</dl>

fGetCashflowsSwap: Gets the cashflow schedule for a swap

Description

Usage

Arguments