fCreateTimeVector {SmithWilsonYieldCurve}

Extract a vector of cashflow times in years from a list of instruments

Description

Assumes that LIBOR tenor is in days, with 365 days per year. Assumes that SWAPs are semi-annual Returns a vector of all unique cashflow times in years

Usage

  fCreateTimeVector(dfInstruments)

Arguments

dfInstruments

A dataframe of instuments with at least columns Type and Tenor