Compounding-class {fixedincome} | R Documentation |
Compounding class
Description
The Compounding class abstracts the compounding regime used to discount or compound a spot rate.
Details
There are 3 compoundings:
-
simple
for simple interest rate compounding1 + rt
-
discrete
for compounded interest rate compounding(1 + r)^t
-
continuous
for continuous interest rate compoundingexp(rt)
The Compounding
class has 2 methods:
-
compound
to compound the spot rate for a given term. -
rates
to compute the implied rate for a compound factor in a given term.
[Package fixedincome version 0.0.5 Index]