fGetTimesSwap

Extract the payment dates of a Swap agreement 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

fGetTimesSwap function

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

Arguments

Extract the payment dates of a Swap agreement in years — fGetTimesSwap

<dl>

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

</dl>

fGetTimesSwap: Extract the payment dates of a Swap agreement in years

Description

Usage

Arguments