forwardrate

forwardrate.numeric

forwardrate.SpotRateCurve

<code>forwardrate()</code> creates a ForwardRate object.

Fixed income mathematics made easy. A rich set of functions
that helps with calculations of interest rates and fixed income.
It has objects that abstract interest rates, compounding factors, day count rules,
forward rates and term structure of interest rates.
Many interpolation methods and parametric curve models commonly used by practitioners
are implemented.

Wilson Freitas

fixedincome

Fixed Income Models, Calculations, Data Structures and
Instruments

forwardrate function

<dl><dt>x</dt>
<dd>a numeric or a SpotRateCurve object.</dd>
<dt>...</dt>
<dd>additional arguments.</dd>
<dt>terms</dt>
<dd>a numeric vector with positive values representing terms of
the forward rates.</dd>
<dt>compounding</dt>
<dd>a character with the compouning name.</dd>
<dt>daycount</dt>
<dd>a character representing the daycount.</dd>
<dt>calendar</dt>
<dd>a calendar object.</dd>
<dt>.copyfrom</dt>
<dd>a SpotRate object that is used as reference to build
the SpotRateCurve object.</dd>
<dt>refdate</dt>
<dd>the curve reference date.</dd>
<dt>t1</dt>
<dd>initial term</dd>
<dt>t2</dt>
<dd>final term</dd></dl>

Arguments

Create a ForwardRate object — forwardrate

<dl>

<dt>x</dt>
<dd>a numeric or a SpotRateCurve object.</dd>


<dt>...</dt>
<dd>additional arguments.</dd>


<dt>terms</dt>
<dd>a numeric vector with positive values representing terms of
the forward rates.</dd>


<dt>compounding</dt>
<dd>a character with the compouning name.</dd>


<dt>daycount</dt>
<dd>a character representing the daycount.</dd>


<dt>calendar</dt>
<dd>a calendar object.</dd>


<dt>.copyfrom</dt>
<dd>a SpotRate object that is used as reference to build
the SpotRateCurve object.</dd>


<dt>refdate</dt>
<dd>the curve reference date.</dd>


<dt>t1</dt>
<dd>initial term</dd>


<dt>t2</dt>
<dd>final term</dd>

</dl>

forwardrate: Create a ForwardRate object

Description

Usage

Value

Arguments