CashIndex {fmbasics}

CashIndex class

Description

This can be used to represent ONIA like indices (e.g. AONIA, FedFunds) and extends the InterestRateIndex class.

Usage

CashIndex(name, currency, spot_lag, calendar, day_basis, day_convention)

Arguments

name

the name of the index as a string

currency

the currency associated with the index as a Currency object

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")

Value

an object of class CashIndex that inherits from Index

Examples

library(lubridate)
library(fmdates)
# RBA cash overnight rate
CashIndex("AONIA", AUD(), days(0), c(AUSYCalendar()), "act/365", "f")