discount.factors {QuantBondCurves} | R Documentation |
Discount factors
Description
Function that calculates discount factors given effective payment dates and a discount rate. Optional parameters available to calculate discrete or continuous discount factors.
Usage
discount.factors(
dates,
rates,
analysis.date = Sys.Date(),
rate.type = 1,
freq = 1
)
Arguments
dates |
Coupon payment dates. |
rates |
Discount rates given by the zero coupon rate curve. Can also be a unique discount rate. |
analysis.date |
Date in which the asset is valued. By default, the current date. |
rate.type |
(1) for discrete compounded discount rates and (0) for continuosly compounded discount rates. By default rates are assumed to be discrete. |
freq |
Frequency of payments of a given asset in a year. For LIBOR and IBR the default frequency is four (quarterly payments). TES has a default frequency of one (annual payments). |
Value
Discount factors.
Examples
discount.factors(dates = c("2020-09-10", "2020-12-10", "2021-03-10"), rates = c(0.07, 0.075, 0.08),
analysis.date = "2010-09-01")
discount.factors(dates = c("2025-09-01", "2025-12-01", "2026-03-01", "2026-06-01"),
rates = c(0.01, 0.015, 0.017, 0.02), analysis.date = "2025-06-01",
rate.type = 1, freq = 4)
[Package QuantBondCurves version 0.3.0 Index]