buildCurve {vamc}

Build Curve

Description

Bootstrap discount factors from a yield curve.

Usage

buildCurve(
  swapRates,
  tenors,
  fixFreq = 6,
  fixDCC = "Thirty360",
  fltFreq = 6,
  fltDCC = "Thirty360",
  calendar = "General",
  bdc = c("Actual", "Preceding", "Following", "Modified_Prec", "Modified_Foll"),
  curveDate,
  numSetDay,
  yieldCurveDCC = "Thirty360",
  holidays = NULL
)

Arguments

swapRates

A vector of doubles of swap rates.

tenors

A vector of integers of corresponding tenors.

fixFreq

An integer of fixed leg frequency of payment in months.

Default is 6, semi-annual payments.

fixDCC

A string of fixed leg day count convention from four options: "Thirty360", "ACT360", "ACT365", or "ACTACT".

Default is "Thirty360".

fltFreq

An integer of floating leg frequency of payment in months.

Default is 6, semi-annual payments.

fltDCC

A string of floating leg day count convention from four options: "Thirty360", "ACT360", "ACT365", or "ACTACT".

Default is "Thirty360".

calendar

A string of the desired calendar convention from two options:

• "NY": New York holiday calendar

• "General": all weekdays are business days

bdc

A string of business day convention from five options:

• "Actual": No rolling on the date applied even if it is a non-business day

• "Preceding": 1st business day before holiday

• "Following": 1st business day after holiday

• "Modified_Prec": Same as "Preceding" unless it belongs to a different month, in which case 1st business day after holiday

• "Modified_Foll": Same as "Following" unless it belongs to a different month, in which case 1st business day before holiday

Default is "Actual".

curveDate

A string in the format of "YYYY-MM-DD" of yield curve date.

numSetDay

An integer of settlement days from yield curve date.

yieldCurveDCC

A string of yield curve day count convention from four options: "Thirty360", "ACT360", "ACT365", or "ACTACT". Default is "Thirty360".

holidays

An optional vector dates of user-defined holidays. If provided, within the given holidays range, the calendar provided in the parameter "calendar" will not be applied;

If the date is not in the given holidays range, it will follow the calendar provided in the "calendar" parameter

Value

Outputs a data frame of strings of discount dates and doubles of discount factors.

Examples

rate <- c(0.69, 0.77, 0.88, 1.01, 1.14, 1.38, 1.66, 2.15) * 0.01
tenor <- c(1, 2, 3, 4, 5, 7, 10, 30)
fixFreq <- 6
fixDCC <- "Thirty360"
fltFreq <- 6
fltDCC <- "ACT360"
calendar <- "NY"
bdc <- "Modified_Foll"
curveDate <- "2016-02-08"
numSetDay <- 2
yieldCurveDCC <- "Thirty360"
holidays <- NULL
buildCurve(rate, tenor, fixFreq, fixDCC, fltFreq, fltDCC, calendar, bdc,
           curveDate, numSetDay, yieldCurveDCC, holidays)