Package: fixedincome 0.0.5
fixedincome: Fixed Income Models, Calculations, Data Structures and Instruments
Fixed income mathematics made easy. A rich set of functions that helps with calculations of interest rates and fixed income. It has objects that abstract interest rates, compounding factors, day count rules, forward rates and term structure of interest rates. Many interpolation methods and parametric curve models commonly used by practitioners are implemented.
Authors:
fixedincome_0.0.5.tar.gz
fixedincome_0.0.5.zip(r-4.5)fixedincome_0.0.5.zip(r-4.4)fixedincome_0.0.5.zip(r-4.3)
fixedincome_0.0.5.tgz(r-4.4-any)fixedincome_0.0.5.tgz(r-4.3-any)
fixedincome_0.0.5.tar.gz(r-4.5-noble)fixedincome_0.0.5.tar.gz(r-4.4-noble)
fixedincome_0.0.5.tgz(r-4.4-emscripten)fixedincome_0.0.5.tgz(r-4.3-emscripten)
fixedincome.pdf |fixedincome.html✨
fixedincome/json (API)
NEWS
| # Install 'fixedincome' in R: |
| install.packages('fixedincome', repos = c('https://wilsonfreitas.r-universe.dev', 'https://cloud.r-project.org')) |
Bug tracker:https://github.com/wilsonfreitas/r-fixedincome/issues
- ZeroCurveBRL - Datasets
bondscalendarfinancefixed-incomeinterpolationplotpricing-bondsspot-rate-curve
Last updated 1 years agofrom:e6a94eb6d3. Checks:OK: 7. Indexed: yes.
| Target | Result | Date |
|---|---|---|
| Doc / Vignettes | OK | Aug 23 2024 |
| R-4.5-win | OK | Aug 23 2024 |
| R-4.5-linux | OK | Aug 23 2024 |
| R-4.4-win | OK | Aug 23 2024 |
| R-4.4-mac | OK | Aug 23 2024 |
| R-4.3-win | OK | Aug 23 2024 |
| R-4.3-mac | OK | Aug 23 2024 |
Exports:Arithas.data.frameas.forwardrateas.spotrateas.spotratecurveas.termclosestComparecompoundcompoundingContinuousCompoundingClassdaycountdibdiffdiscountDiscreteCompoundingClassfirstfit_interpolationforwardrateggspotratecurveplotimplied_rateinterp_flatforwardinterp_hermitesplineinterp_linearinterp_loglinearinterp_monotonesplineinterp_naturalsplineinterp_nelsonsiegelinterp_nelsonsiegelsvenssoninterpolateinterpolationinterpolation_errorinterpolation<-lastmaturitiesOpsparametersprepare_interpolationshiftshowSimpleCompoundingClassspotratespotratecurvetermtodaystomonthstoyears
Dependencies:bizdaysclicolorspacefansifarverggplot2gluegtableisobandjsonlitelabelinglatticelifecyclemagrittrMASSMatrixmgcvmunsellnlmepillarpkgconfigR6RColorBrewerrlangscalestibbleutf8vctrsviridisLitewithr
Plotting Spot Rate Curves
Rendered fromspot-rate-curve-plotting.Rmdusingknitr::rmarkdownon Aug 23 2024.Last update: 2022-08-11
Started: 2022-08-11
Spot Rate Curve Indexing
Rendered fromspot-rate-curve-indexing.Rmdusingknitr::rmarkdownon Aug 23 2024.Last update: 2022-07-11
Started: 2022-07-06
Spot Rate Curve Interpolation
Rendered fromspot-rate-curve-interpolation.Rmdusingknitr::rmarkdownon Aug 23 2024.Last update: 2022-08-11
Started: 2022-07-06
Readme and manuals
Help Manual
| Help page | Topics |
|---|---|
| Fixed income models, calculations and data structures | fixedincome-package fixedincome |
| Coerce objects to ForwardRate | as.forwardrate as.forwardrate.SpotRate as.forwardrate.SpotRateCurve |
| Coerce to SpotRate | as.spotrate as.spotrate,character-method as.spotrate,ForwardRate-method as.spotrate,SpotRateCurve-method |
| Coerce objects to spotratecurve | as.spotratecurve as.spotratecurve.ForwardRate |
| Coerce a character to a Term | as.term as.term,character-method |
| Compound method | compound compound,character,numeric,numeric-method compound,Continuous,numeric,numeric-method compound,Discrete,numeric,numeric-method compound,ForwardRate,missing,missing-method compound,Simple,numeric,numeric-method compound,SpotRate,Date,Date-method compound,SpotRate,numeric,character-method compound,SpotRate,Term,missing-method compound,SpotRateCurve,missing,missing-method discount discount,ForwardRate,missing,missing-method discount,SpotRate,Date,Date-method discount,SpotRate,numeric,character-method discount,SpotRate,Term,missing-method discount,SpotRateCurve,missing,missing-method |
| Create Compounding class | compounding |
| Compounding class | Compounding-class Continuous-class ContinuousCompoundingClass Discrete-class DiscreteCompoundingClass Simple-class SimpleCompoundingClass |
| Datasets | datasets ZeroCurveBRL |
| Create Daycount class | daycount |
| Daycount class | Daycount-class |
| Days in base for Daycount | dib dib,Daycount-method |
| Calculate lagged differences of Term objects | diff,Term-method |
| Fit parametric interpolation functions | fit_interpolation fit_interpolation,NelsonSiegel,SpotRateCurve-method fit_interpolation,NelsonSiegelSvensson,SpotRateCurve-method |
| Create a ForwardRate object | forwardrate forwardrate.numeric forwardrate.SpotRateCurve |
| ForwardRate class | ForwardRate-class |
| ggplot2 plotting functions | autolayer.ForwardRate autolayer.SpotRateCurve autoplot.SpotRateCurve ggplot2-support |
| Fancy ggplot for SpotRateCurve object | ggspotratecurveplot |
| Implied rates | implied_rate implied_rate,character,numeric,numeric-method implied_rate,Continuous,numeric,numeric-method implied_rate,Discrete,numeric,numeric-method implied_rate,Simple,numeric,numeric-method |
| Set/Get interpolation to SpotRateCurve | interpolation interpolation,SpotRateCurve-method interpolation<- interpolation<-,SpotRateCurve,Interpolation-method interpolation<-,SpotRateCurve,NULL-method |
| Interpolation error | interpolation_error interpolation_error,SpotRateCurve-method |
| Interpolation classes | FlatForward-class HermiteSpline-class Interpolation-class Linear-class LogLinear-class MonotoneSpline-class NaturalSpline-class NelsonSiegel-class NelsonSiegelSvensson-class |
| Create Interpolation objects | interpolation-constructor interp_flatforward interp_hermitespline interp_linear interp_loglinear interp_monotonespline interp_naturalspline interp_nelsonsiegel interp_nelsonsiegelsvensson |
| Get SpotRateCurve terms as Date objects | maturities |
| Get parameters of the interpolation models | parameters parameters,NelsonSiegel-method parameters,NelsonSiegelSvensson-method |
| Create the interpolation function | prepare_interpolation prepare_interpolation,FlatForward,SpotRateCurve-method prepare_interpolation,HermiteSpline,SpotRateCurve-method prepare_interpolation,Linear,SpotRateCurve-method prepare_interpolation,LogLinear,SpotRateCurve-method prepare_interpolation,MonotoneSpline,SpotRateCurve-method prepare_interpolation,NaturalSpline,SpotRateCurve-method prepare_interpolation,NelsonSiegel,SpotRateCurve-method prepare_interpolation,NelsonSiegelSvensson,SpotRateCurve-method |
| Shift vectors | shift shift,numeric-method shift,Term-method |
| Create SpotRate objects | spotrate |
| SpotRate class | SpotRate-class |
| SpotRate comparison operations | !=,SpotRate,SpotRate-method <,SpotRate,SpotRate-method <=,SpotRate,SpotRate-method ==,SpotRate,SpotRate-method >,SpotRate,SpotRate-method >=,SpotRate,SpotRate-method Compare,numeric,SpotRate-method Compare,SpotRate,numeric-method spotrate-compare-method |
| Create a SpotRateCurve object | spotratecurve spotratecurve.numeric spotratecurve.SpotRate |
| SpotRateCurve class | SpotRateCurve-class |
| SpotRateCurve helpers | closest closest,SpotRateCurve,character-method closest,SpotRateCurve,Term-method first first,SpotRateCurve,character-method first,SpotRateCurve,Term-method last last,SpotRateCurve,character-method last,SpotRateCurve,Term-method spotratecurve-helpers |
| Create Term class | term term.Date term.numeric term.Term |
| Term class | DateRangeTerm-class Term-class |
| Convert Term in different units | term-conversion todays todays,Daycount,Term-method tomonths tomonths,Daycount,Term-method toyears toyears,Daycount,Term-method |
