bondAnalyst (version 1.0.1)

saForwards: Calculates Semi-Annual Forward Rates using the given Spot Rates.

Description

Calculates Semi-Annual Forward Rates using the given Spot Rates.

Usage

saForwards(spots, BGN, APLY, times, n)

Value

Input values to five arguments spots ,BGN,APLY, times and n.

Arguments

spots

A vector.

BGN

A number.

APLY

A number.

times

A vector.

n

A number.

Author

MaheshP Kumar,

Details

According to information provided by Frank J. Fabozzi (2008), the method saForwards() is developed to calculate Semi-Annual Forward Rates using the given Spot Rates. Here, spots is vector of given 1-period (6-month) spot rates, BGN is six monthly period in which Forward Rate begins (for example a value of 1 would mean 1-period from now (that is six-months from now) and value of 2 would means two six-monthly periods from now (or 1 years into future) and so on), and APLY means number of six-monthly periods for which the Forward Rate Applies (for example, a value for 1 means for six-months and APLY value of 4 means for two years so, BGN=2 and APLY=1 means computing implied Forward Rate of 1 year from now for six-months; this is also called a six-months forward rate from one year into future), t is a vector of number of six-month periods ranging from 1 to any specified number of six-month periods for which the Spot Rates are available, and n is number of six-month periods under consideration.

References

Fabozzi, F. J. (2008). Handbook of Finance: Financial Markets and Instruments. John Wiley & Sons.

Examples

saForwards(spots=c(0.05,0.054,0.058,0.064,0.070,0.072,0.074,0.078),BGN=1,APLY=1,t=c(1:8),n=8)
saForwards(spots=c(0.05,0.054,0.058,0.064,0.070,0.072,0.074,0.078),BGN=2,APLY=1,t=c(1:8),n=8)
saForwards(spots=c(0.05,0.054,0.058,0.064,0.070,0.072,0.074,0.078),BGN=6,APLY=1,t=c(1:8),n=8)
saForwards(spots=c(0.05,0.054,0.058,0.064,0.070,0.072,0.074,0.078),BGN=2,APLY=4,t=c(1:8),n=8)
saForwards(spots=c(0.05,0.054,0.058,0.064,0.070,0.072,0.074,0.078),BGN=4,APLY=2,t=c(1:8),n=8)