Computes the compounding (and discount) factor for spot rates and curves.
compound(x, t, val, ...)
discount(x, t, val, ...)can be a Compounding, a SpotRate,
a SpotRateCurve, a ForwardRate and a character
representing a Compounding.
represents the term to compound. Can be a numeric, a Term,
a Date or even missing. See Details.
is the value of the spot rate to be compounded in the given term.
Can be a numeric, a Date or missing. See Details.
additional arguments.
A numeric value that represents the compounding factor for the given spot rate.
For Compounding classes the arguments t and val must be
provided.
For a SpotRate class, if the t argument is numeric,
representing the term to be compounded, the argument val must
be a character with the units of the Term class. If otherwise t
is a Term object, val is missing.
For SpotRateCurve and ForwardRate classes, that already have
terms associated, t and val are missing.
discount() method is the inverse of compound: 1 / compound().
compound("simple", 2, 0.05)
#> [1] 1.1
compound("discrete", 2, 0.05)
#> [1] 1.1025
compound("continuous", 2, 0.05)
#> [1] 1.105171
spr <- spotrate(0.06, "simple", "actual/365", "actual")
compound(spr, 10, "days")
#> [1] 1.001644
discount(spr, 10, "days")
#> [1] 0.9983589
t <- term(10, "days")
compound(spr, t)
#> [1] 1.001644
discount(spr, t)
#> [1] 0.9983589
d1 <- Sys.Date()
d2 <- Sys.Date() + 10
compound(spr, d1, d2)
#> [1] 1.001644
discount(spr, d1, d2)
#> [1] 0.9983589
terms <- c(1, 11, 26, 27, 28)
rates <- c(0.0719, 0.056, 0.0674, 0.0687, 0.07)
curve <- spotratecurve(rates, terms, "discrete", "actual/365", "actual")
compound(curve)
#> [1] 1.000190 1.001643 1.004657 1.004927 1.005204
discount(curve)
#> [1] 0.9998098 0.9983592 0.9953646 0.9950971 0.9948232