fmbasics (version 0.3.0)

IborIndex: IborIndex class

Description

This can be used to represent IBOR like indices (e.g. LIBOR, BBSW, CDOR) and extends the Index class.

Usage

IborIndex(name, currency, tenor, spot_lag, calendar, day_basis, day_convention,
  is_eom)

Arguments

name

the name of the index as a string

currency

the currency associated with the index as a Currency object

tenor

the term of the index as a period

spot_lag

the period between the index's fixing and the start of the index's term

calendar

the calendar used to determine whether the index fixes on a given date as a Calendar

day_basis

the day basis associated with the index (e.g. "act/365")

day_convention

the day convention associated with the index (e.g. "mf")

is_eom

a flag indicating whether or not the maturity date of the index is subject to the end-to-end convention.

Value

an object of class IborIndex that inherits from Index

Examples

# NOT RUN {
library(lubridate)
library(fmdates)
# 3m AUD BBSW
IborIndex("BBSW", AUD(), months(3), days(0), c(AUSYCalendar()),
  "act/365", "ms", FALSE)
# }