IborIndex {fmbasics} | R Documentation |
IborIndex class
Description
This can be used to represent IBOR like indices (e.g. LIBOR, BBSW, CDOR)
and extends the Index
class.
Usage
IborIndex(name, currency, tenor, spot_lag, calendar, day_basis, day_convention,
is_eom)
Arguments
name |
the name of the index as a string |
currency |
the currency associated with the index as a Currency object |
tenor |
the term of the index as a period |
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") |
is_eom |
a flag indicating whether or not the maturity date of the index is subject to the end-to-end convention. |
Value
an object of class IborIndex
that inherits from Index
Examples
library(lubridate)
library(fmdates)
# 3m AUD BBSW
IborIndex("BBSW", AUD(), months(3), days(0), c(AUSYCalendar()),
"act/365", "ms", FALSE)
[Package fmbasics version 0.3.0 Index]