March 2017
Beginner
284 pages
5h 32m
English
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Interest rate derivatives
We will use the GUIDE package to calculate the price for interest rate derivatives:
> install.packages("GUIDE")
> library(GUIDE)
The following command will open a pop-up window which requires all the parameters. Once you supply the required parameters in the pop-up window, it generates the interest rate derivative price:
>irswapvalue()
Parameters to be supplied in the pop-up window are as follows:
- Notional: To be entered in decimals
- Fixed rate: Entered in decimals, for example, 0.05 for 5%
- Last spot rate: Entered in decimals, for example, 0.05 for 5 per cent
- Months for first payment: Enter 3 for 3 months
- Spot rates: Enter with comma separation, for example, 0.054, 0.056, 0.058
- Frequency of spot rates: Chosen from continuous/quarterly/semi-annual/annual ...
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