Curve-class {Trading}

Curve Class

Description

Creates a Curve Object containing pairs of Tenors with relevant rates and the interpolation function. Also, methods for populating the object via a .csv file and the generation of the interpolation function via cubic splines are included.

Arguments

Tenors

The Tenors of the curve

Rates

The rates on the corresponding tenors

interp_function

(Optional) The interpolation function of the curve. Can be populated via the 'CalcInterpPoints' method

Value

An object of type Curve

Author(s)

Tasos Grivas <[e-mail]>

Examples

## generating a curve either directly or through a csv - 
## the spot_rates.csv file can be found on the extdata folder in the installation library path
funding_curve =  Curve(Tenors=c(1,2,3,4,5,6,10),Rates=c(4,17,43,47,76,90,110))
spot_rates = Curve()
spot_rates$PopulateViaCSV('spot_rates.csv')
time_points = seq(0,5,0.01)
spot_curve     = spot_rates$CalcInterpPoints(time_points)