wilsonfreitas / R-fixedincome

Fixed income tools for R
http://wilsonfreitas.github.io/R-fixedincome/
Other
51 stars 25 forks source link

Implement print for curves #1

Closed wilsonfreitas closed 10 years ago

wilsonfreitas commented 10 years ago

implement print for curves

> cic[20]
          [,1]
20 10.70953761
attr(,"dib")
[1] 252
attr(,"compounding")
[1] "compounded"
attr(,"class")
[1] "CurveInterpolation" "SpotRateCurve"     
attr(,"method")
function (curve) 
{
    prices <- (1 + rates(curve))^(terms(curve)/dib(curve))
    interp.coords <- xy.coords(terms(curve), log(prices))
    interp.FUN <- approxfun(interp.coords, method = "linear")
    dib <- dib(curve)
    function(term) {
        log.price <- interp.FUN(term)
        price <- exp(log.price)
        price^(dib/term) - 1
    }
}
<environment: namespace:fixedincome>