Package 'fmbasics'

Description

You can coerce objects to the DiscountFactor class using this method.

Usage

as_DiscountFactor(x, ...)

## S3 method for class 'InterestRate'
as_DiscountFactor(x, d1, d2, ...)

Arguments

Value

a DiscountFactor object

Examples

library("lubridate")
as_DiscountFactor(InterestRate(c(0.04, 0.05), c(2, 4), 'act/365'),
  ymd(20140101), ymd(20150101))

Description

You can coerce objects to the InterestRate class using this method.

Usage

as_InterestRate(x, ...)

## S3 method for class 'DiscountFactor'
as_InterestRate(x, compounding, day_basis, ...)

## S3 method for class 'InterestRate'
as_InterestRate(x, compounding = NULL,
  day_basis = NULL, ...)

Arguments

Value

an InterestRate object

Examples

library("lubridate")
as_InterestRate(DiscountFactor(0.95, ymd(20130101), ymd(20140101)),
  compounding = 2, day_basis = "act/365")
as_InterestRate(InterestRate(c(0.04, 0.05), c(2, 4), 'act/365'),
  compounding = 4, day_basis = 'act/365')

Description

You can coerce objects to the SurvivalProbabilities class using this method.

Usage

as_SurvivalProbabilities(x, ...)

## S3 method for class 'ZeroHazardRate'
as_SurvivalProbabilities(x, d1, d2, ...)

Arguments

Examples

curve_specs <- CDSMarkitSpec(
  rating = "AAA",
  region = "Japan",
  sector = "Utilities"
)
HR <- ZeroHazardRate(values = c(0.04, 0.05), compounding = c(2, 4),
day_basis = 'act/365', specs = curve_specs)
as_SurvivalProbabilities(HR, lubridate::ymd(20160202), lubridate::ymd(20160302))

Bootstraps Survival Probabilitie from a CDS curve Using credule package. The output of bootstrapping is a vector of cumulative survival probabilities.

Description

Bootstraps Survival Probabilitie from a CDS curve Using credule package. The output of bootstrapping is a vector of cumulative survival probabilities.

Usage

## S3 method for class 'CDSCurve'
as_SurvivalProbabilities(x, zero_curve,
  num_timesteps_pa = 12, accrued_premium = TRUE, ...)

Arguments

Value

An object of type SurvivalProbabilitiesCurve

an SurvivalProbabilities object

Description

Create a tibble that contains the pillar point maturities in years (using the act/365 convention) and the corresponding continuously compounded zero rates.

Usage

## S3 method for class 'CreditCurve'
as_tibble(x, ...)

Arguments

Value

a tibble with two columns named Years and Zero Hazard Rates.

See Also

tibble::tibble()

Description

Create a tibble that contains the pillar point maturities in years (using the act/365 convention) and the corresponding continuously compounded zero rates.

Usage

## S3 method for class 'ZeroCurve'
as_tibble(x, ...)

Arguments

Value

a tibble with two columns named Years and Zeros.

See Also

tibble::tibble()

Examples

library(tibble)
zc <- build_zero_curve()
as_tibble(zc)

Description

You can coerce objects to the ZeroHazardRate class using this method.

Usage

as_ZeroHazardRate(x, ...)

## S3 method for class 'SurvivalProbabilities'
as_ZeroHazardRate(x, compounding,
  day_basis, ...)

## S3 method for class 'ZeroHazardRate'
as_ZeroHazardRate(x, compounding = NULL,
  day_basis = NULL, ...)

Arguments

Value

an ZeroHazardRate object

Examples

library("lubridate")
as_ZeroHazardRate(SurvivalProbabilities(0.95, ymd(20130101), ymd(20140101), CDSSpec("Empty")),
  compounding = 2, day_basis = "act/365")

Description

This creates an object of class VolQuotes from the example data set volsurface.csv.

Usage

build_vol_quotes()

Value

a VolQuotes object from package built-in data

See Also

Other build vol object helpers: build_vol_surface

Examples

build_vol_quotes()

Description

This creates a VolSurface object from the example data set volsurface.csv.

Usage

build_vol_surface()

Value

a VolSurface object using data from volsurface.csv

See Also

Other build vol object helpers: build_vol_quotes

Examples

build_vol_surface()

Description

This creates a ZeroCurve object from the example data set zerocurve.csv.

Usage

build_zero_curve(interpolation = NULL)

Arguments

Value

a ZeroCurve object using data from zerocurve.csv

Examples

build_zero_curve(LogDFInterpolation())

Description

This allows you to create a CashFlow object.

Usage

CashFlow(dates, monies)

Arguments

Value

a CashFlow object that extends tibble::tibble()

See Also

Other money functions: MultiCurrencyMoney, SingleCurrencyMoney, is.CashFlow, is.MultiCurrencyMoney, is.SingleCurrencyMoney

Examples

CashFlow(as.Date("2017-11-15"),
  MultiCurrencyMoney(list(SingleCurrencyMoney(1, AUD())))
)

Description

This can be used to represent ONIA like indices (e.g. AONIA, FedFunds) and extends the InterestRateIndex class.

Usage

CashIndex(name, currency, spot_lag, calendar, day_basis, day_convention)

Arguments

Value

an object of class CashIndex that inherits from Index

Examples

library(lubridate)
library(fmdates)
# RBA cash overnight rate
CashIndex("AONIA", AUD(), days(0), c(AUSYCalendar()), "act/365", "f")

Description

This will allow you to create an instance of a CDS curve.

Usage

CDSCurve(reference_date, tenors, spreads, lgd, premium_frequency, specs)

Arguments

Value

An object of type CDSCurve

See Also

Other CDS curve helpers: CDSMarkitSpec, CDSSingleNameSpec, CDSSpec, SurvivalProbabilities, ZeroHazardRate, is.CDSCurve, is.CDSSpec

Examples

curve_specs <- CDSMarkitSpec(
  rating = "AAA",
  region = "Japan",
  sector = "Utilities"
)

CDSCurve(
  as.Date("2019-06-29"),
  tenors = c(1, 3, 5, 7),
  spreads = c(0.0050, 0.0070, 0.0090, 0.0110),
  lgd = 0.6,
  premium_frequency = 4,
  specs = curve_specs
)

Description

A subclass of CDSSpec(), only for Markit sector curves. Note that the paramter rank is fixed to be "SNR", as per Markit's methodology documents

Usage

CDSMarkitSpec(rating, region, sector)

Arguments

Value

An object of type CDSMarkitSpec

See Also

Other CDS curve helpers: CDSCurve, CDSSingleNameSpec, CDSSpec, SurvivalProbabilities, ZeroHazardRate, is.CDSCurve, is.CDSSpec

Examples

CDSMarkitSpec(rating = "AAA", region = "Japan", sector = "Utilities")

Description

A subclass of CDSSpec(), that implements specifications for single name CDS curves

Usage

CDSSingleNameSpec(rank, name)

Arguments

Value

An object of type CDSSingleNameSpec

See Also

Other CDS curve helpers: CDSCurve, CDSMarkitSpec, CDSSpec, SurvivalProbabilities, ZeroHazardRate, is.CDSCurve, is.CDSSpec

Examples

CDSSingleNameSpec(rank = "SNR", name = "Westpac")

Description

This class will enable you to specify CDS curves. It is used by SurvivalProbabilities() and ZeroHazardRate().

Usage

CDSSpec(rank, ..., subclass = NULL)

Arguments

Value

Object of type CDSSpec

See Also

Other CDS curve helpers: CDSCurve, CDSMarkitSpec, CDSSingleNameSpec, SurvivalProbabilities, ZeroHazardRate, is.CDSCurve, is.CDSSpec

Examples

CDSSpec(rank = "SubTier3")

Description

A class that defines the bare bones of a credit curve pricing structure.

Usage

CreditCurve(survival_probabilities, reference_date, interpolation, specs)

Arguments

Details

A term structure of credit spread is a curve showing several credit spreads across different contract lengths (2 month, 2 year, 20 year, etc...) for a similar debt contract. The curve shows the relation between the (level of) crdit spread and the time to maturity, known as the "term", of the debt for a given borrower in a given currency. When the effect of coupons on spreads are stripped away, one has a zero-coupon credit curve.

The following interpolation schemes are supported by ZeroCurve: ConstantInterpolation, LinearInterpolation, LogDFInterpolation and CubicInterpolation. Points outside the calibration region use constant extrapolation on the zero hazard rate.

Value

a CreditCurve object curve_specs <- CDSMarkitSpec(rating = "AAA", region = "Japan", sector = "Utilities") zero_curve <- build_zero_curve() ref_date <- zero_curve$reference_date specs <- CDSMarkitSpec(rating = "AAA", region = "Japan", sector = "Utilities") cds_curve <- CDSCurve(reference_date = ref_date, tenors = c(1, 3, 5, 7), spreads = c(0.0050, 0.0070, 0.0090, 0.0110), lgd = .6, premium_frequency = 4, specs = curve_specs) sp <- as_SurvivalProbabilities(x = cds_curve, zero_curve = zero_curve) CreditCurve(survival_probabilities = sp, reference_date =ref_date, interpolation = CubicInterpolation(), specs = curve_specs)

See Also

Interpolation

Description

A currency refers to money in any form when in actual use or circulation, as a medium of exchange, especially circulating paper money. This package includes handy constructors for common currencies.

Usage

Currency(iso, calendar)

Arguments

Value

an object of class Currency

References

Currency. (2014, March 3). In Wikipedia

See Also

CurrencyConstructors

Examples

library("fmdates")
Currency("AUD", c(AUSYCalendar()))

Description

These constructors use the following conventions:

Usage

AUD()

EUR()

GBP()

JPY()

NZD()

USD()

CHF()

HKD()

NOK()

Details

See Also

Other constructors: CurrencyPairConstructors, iborindices, oniaindices

Examples

AUD()

Description

Create an object of class CurrencyPair

Usage

CurrencyPair(base_ccy, quote_ccy, calendar = NULL)

Arguments

Value

a CurrencyPair object

Examples

CurrencyPair(AUD(), USD())

Description

These handy CurrencyPair constructors use their single currency counterparts in the obvious fashion.

Usage

AUDUSD()

EURUSD()

NZDUSD()

GBPUSD()

USDJPY()

GBPJPY()

EURGBP()

AUDNZD()

EURCHF()

USDCHF()

USDHKD()

EURNOK()

USDNOK()

See Also

Other constructors: CurrencyConstructors, iborindices, oniaindices

Examples

AUDUSD()

Description

A collection of methods related to currency pairs.

Usage

is_t1(x)

to_spot(dates, x)

to_spot_next(dates, x)

to_forward(dates, tenor, x)

to_today(dates, x)

to_tomorrow(dates, x)

to_fx_value(dates, tenor, x)

invert(x)

Arguments

Details

The methods are summarised as follows:

• is_t1: Returns TRUE if the currency pair settles one good day after trade. This includes the following currencies crossed with the USD: CAD, TRY, PHP, RUB, KZT and PKR

• to_spot: The spot dates are usually two non-NY good day after today. is_t1() identifies the pairs whose spot dates are conventionally one good non-NYC day after today. In both cases, if those dates are not a good NYC day, they are rolled to good NYC and non-NYC days using the Following convention.

• to_spot_next: The spot next dates are one good NYC and non-NYC day after spot rolled using the Following convention if necessary.

• to_forward: Forward dates are determined using the calendar's shift() method rolling bad NYC and non-NYC days using the Following convention. The end-to-end convention applies.

• to_today: Today is simply dates which are good NYC and non-NYC days. Otherwise today is undefined and returns NA.

• to_tomorrow: Tomorrow is one good NYC and non-NYC day except where that is on or after spot. In that case, is is undefined and returns NA.

• to_value: Determine common value dates. The supported value date tenors are: "spot", "spot_next", "today", "tomorrow" and the usual "forward" dates (e.g. lubridate::months(3)).

• invert: Inverts the currency pair and returns new CurrencyPair object.

• is.CurrencyPair: Returns TRUE if x inherits from the CurrencyPair class; otherwise FALSE

Examples

library(lubridate)
is_t1(AUDUSD())
dts <- lubridate::ymd(20170101) + lubridate::days(0:30)
to_spot(dts, AUDUSD())
to_spot_next(dts, AUDUSD())
to_today(dts, AUDUSD())
to_tomorrow(dts, AUDUSD())
to_fx_value(dts, months(3), AUDUSD())

Description

The DiscountFactor class is designed to represent discount factors. Checks whether: d1 is less than d2, elementwise, and that both are Date vectors; and value is greater than zero and is a numeric vector. An error is thrown if any of these are not true. The elements of each argument are recycled such that each resulting vectors have equivalent lengths.

Usage

DiscountFactor(value, d1, d2)

Arguments

Value

a (vectorised) DiscountFactor object

Examples

library("lubridate")
df <- DiscountFactor(c(0.95, 0.94, 0.93), ymd(20130101), ymd(20140101, 20150101))
as_InterestRate(df, 2, "act/365")

Description

A number of different operations can be performed on or with DiscountFactor objects. Methods have been defined for base package generic operations including arithmetic and comparison.

Details

The operations are:

• c: concatenates a vector of DiscountFactor objects

• [: extract parts of a DiscountFactor vector

• [<-: replace parts of a DiscountFactor vector

• rep: repeat a DiscountFactor object

• length: determines the length of a DiscountFactor vector

• *: multiplication of DiscountFactor objects. The end date of the first discount factor object must be equivalent to the start date of the second (or vice versa). Arguments are recycled as necessary.

• /: division of DiscountFactor objects. The start date date of both arguments must be the same. Arguments are recycled as necessary.

• <, >, <=, >=, ==, !=: these operate in the standard way on the discount_factor field.

Description

Implements basic financial market objects like currencies, currency pairs, interest rates and interest rate indices. You will be able to use Benchmark instances of these objects which have been defined using their most common conventions or those defined by International Swap Dealer Association legal documentation.

Description

This can be used to represent IBOR like indices (e.g. LIBOR, BBSW, CDOR) and extends the Index class.

Usage

IborIndex(name, currency, tenor, spot_lag, calendar, day_basis,
  day_convention, is_eom)

Arguments

Value

an object of class IborIndex that inherits from Index

Examples

library(lubridate)
library(fmdates)
# 3m AUD BBSW
IborIndex("BBSW", AUD(), months(3), days(0), c(AUSYCalendar()),
  "act/365", "ms", FALSE)

Description

These functions create commonly used IBOR indices with standard market conventions.

Usage

AUDBBSW(tenor)

AUDBBSW1b(tenor)

EURIBOR(tenor)

GBPLIBOR(tenor)

JPYLIBOR(tenor)

JPYTIBOR(tenor)

NZDBKBM(tenor)

USDLIBOR(tenor)

CHFLIBOR(tenor)

HKDHIBOR(tenor)

NOKNIBOR(tenor)

Arguments

Details

The key conventions are tabulated below.

There are some nuances to this. Sub-1m LIBOR and TIBOR spot lags are zero days (excepting spot-next rates) and use the following day convention and the overnight USDLIBOR index uses both USNYCalendar and GBLOCalendar calendars.

References

BBSW EURIBOR ICE LIBOR BBA LIBOR TIBOR NZD BKBM OpenGamma Interest Rate Instruments and Market Conventions Guide HKD HIBOR

See Also

Other constructors: CurrencyConstructors, CurrencyPairConstructors, oniaindices

Description

Index class checkers

Usage

is.Index(x)

is.IborIndex(x)

is.CashIndex(x)

Arguments

Value

TRUE if object inherits from tested class

Examples

is.Index(AONIA())
is.CashIndex(AONIA())
is.IborIndex(AONIA())

Description

A collection of methods that shift dates according to index conventions.

Usage

to_reset(dates, index)

to_value(dates, index)

to_maturity(dates, index)

## Default S3 method:
to_reset(dates, index)

## Default S3 method:
to_value(dates, index)

## Default S3 method:
to_maturity(dates, index)

Arguments

Details

The following describes the default methods. to_reset() treats the input dates as value dates and shifts these to the corresponding reset or fixing dates using the index's spot lag; to_value() treats the input dates as reset or fixing dates and shifts them to the corresponding value dates using the index's spot lag; and to_maturity() treats the input dates as value dates and shifts these to the index's corresponding maturity date using the index's tenor.

Value

a vector of shifted dates

Examples

library(lubridate)
to_reset(ymd(20170101) + days(0:30), AUDBBSW(months(3)))
to_value(ymd(20170101) + days(0:30), AUDBBSW(months(3)))
to_maturity(ymd(20170101) + days(0:30), AUDBBSW(months(3)))

Description

The InterestRate class is designed to represent interest rates. Checks whether: the day_basis is valid; and the compounding is valid. An error is thrown if any of these are not true. The elements of each argument are recycled such that each resulting vectors have equivalent lengths.

Usage

InterestRate(value, compounding, day_basis)

Arguments

Value

a vectorised InterestRate object

Examples

library("lubridate")
InterestRate(c(0.04, 0.05), c(2, 4), 'act/365')
rate <- InterestRate(0.04, 2, 'act/365')
as_DiscountFactor(rate, ymd(20140101), ymd(20150101))
as_InterestRate(rate, compounding = 4, day_basis = 'act/365')

Description

A number of different operations can be performed on or with InterestRate objects. Methods have been defined for base package generic operations including arithmetic and comparison.

Details

The operations are:

• c: concatenates a vector of InterestRate objects

• [: extract parts of a InterestRate vector

• [<-: replace parts of a InterestRate vector

• rep: repeat a InterestRate object

• length: determines the length of a InterestRate vector

• +, -: addition/subtraction of InterestRate objects. Where two InterestRate objects are added/subtracted, the second is first converted to have the same compounding and day basis frequency as the first. Numeric values can be added/subtracted to/from an InterestRate object by performing the operation directly on the rate field. Arguments are recycled as necessary.

• *: multiplication of InterestRate objects. Where two InterestRate objects are multiplied, the second is first converted to have the same compounding and day basis frequency as the first. Numeric values can be multiplied to an InterestRate object by performing the operation directly on the rate field. Arguments are recycled as necessary.

• /: division of InterestRate objects. Where two InterestRate objects are divided, the second is first converted to have the same compounding and day basis frequency as the first. Numeric values can divide an InterestRate object by performing the operation directly on the rate field. Arguments are recycled as necessary.

• <, >, <=, >=, ==, !=: these operate in the standard way on the rate field, and if necessary, the second InterestRate object is converted to have the same compounding and day basis frequency as the first.

Description

Interpolate values from an object

Usage

interpolate(x, ...)

Arguments

Value

an interpolated value or set of values

See Also

Other interpolate functions: interpolate.CreditCurve, interpolate.VolSurface, interpolate.ZeroCurve, interpolate_dfs.CreditCurve, interpolate_zeros.CreditCurve

Description

This interpolates forward rates and forward discount factors from either a ZeroCurve or some other object that contains such an object.

Usage

## S3 method for class 'CreditCurve'
interpolate_dfs(x, from, to, ...)

## S3 method for class 'CreditCurve'
interpolate_fwds(x, from, to, ...)

interpolate_dfs(x, from, to, ...)

interpolate_fwds(x, from, to, ...)

## S3 method for class 'ZeroCurve'
interpolate_fwds(x, from, to, ...)

## S3 method for class 'ZeroCurve'
interpolate_dfs(x, from, to, ...)

Arguments

Value

interpolate_dfs returns a DiscountFactor object of forward discount factors while interpolate_fwds returns an InterestRate object of interpolated simply compounded forward rates.

See Also

Other interpolate functions: interpolate.CreditCurve, interpolate.VolSurface, interpolate.ZeroCurve, interpolate_zeros.CreditCurve, interpolate

Description

This interpolates zero rates from either a ZeroCurve or some other object that contains such an object.

Usage

## S3 method for class 'CreditCurve'
interpolate_zeros(x, at, compounding = NULL,
  day_basis = NULL, ...)

interpolate_zeros(x, at, compounding = NULL, day_basis = NULL, ...)

## S3 method for class 'ZeroCurve'
interpolate_zeros(x, at, compounding = NULL,
  day_basis = NULL, ...)

Arguments

Value

an InterestRate object of interpolated zero rates with the compounnding and day_basis requested.

See Also

Other interpolate functions: interpolate.CreditCurve, interpolate.VolSurface, interpolate.ZeroCurve, interpolate_dfs.CreditCurve, interpolate

Description

There are two key interpolation schemes available in the stats package: constant and linear interpolation via stats::approxfun() and spline interpolation via stats::splinefun(). The interpolate() method is a simple wrapper around these methods that are useful for the purposes of interpolation financial market objects like credit curves.

Usage

## S3 method for class 'CreditCurve'
interpolate(x, at, ...)

Arguments

Value

a numeric vector of zero rates (continuously compounded, act/365)

See Also

Other interpolate functions: interpolate.VolSurface, interpolate.ZeroCurve, interpolate_dfs.CreditCurve, interpolate_zeros.CreditCurve, interpolate

Examples

zc <- build_zero_curve(LogDFInterpolation())
interpolate(zc, c(1.5, 3))

Description

This method is used to interpolate a VolSurface object at multiple points of the plane. The interpolation depends on the type of the surface, if the vols are given by strikes, delta, moneyness.

Usage

## S3 method for class 'VolSurface'
interpolate(x, at, ...)

Arguments

Value

numeric vector with length equal to the number of rows of at.

See Also

Other interpolate functions: interpolate.CreditCurve, interpolate.ZeroCurve, interpolate_dfs.CreditCurve, interpolate_zeros.CreditCurve, interpolate

Examples

x <- build_vol_surface()
at <- tibble::tibble(
  maturity = c(as.Date("2020-03-31"), as.Date("2021-03-31")),
  smile = c(40, 80)
)
interpolate(x, at)

Description

There are two key interpolation schemes available in the stats package: constant and linear interpolation via stats::approxfun() and spline interpolation via stats::splinefun(). The interpolate() method is a simple wrapper around these methods that are useful for the purposes of interpolation financial market objects like zero coupon interest rate curves.

Usage

## S3 method for class 'ZeroCurve'
interpolate(x, at, ...)

Arguments

Value

a numeric vector of zero rates (continuously compounded, act/365)

See Also

Other interpolate functions: interpolate.CreditCurve, interpolate.VolSurface, interpolate_dfs.CreditCurve, interpolate_zeros.CreditCurve, interpolate

Examples

zc <- build_zero_curve(LogDFInterpolation())
interpolate(zc, c(1.5, 3))

Description

These are lightweight interpolation classes that are used to specify typical financial market interpolation schemes. Their behaviour is dictated by the object in which they defined.

Usage

ConstantInterpolation()

LogDFInterpolation()

LinearInterpolation()

CubicInterpolation()

LinearCubicTimeVarInterpolation()

Value

an object that inherits from the Interpolation class.

Examples

ConstantInterpolation()

Description

A non-exported function that checks whether compounding values frequencies are supported.

Usage

is_valid_compounding(compounding)

Arguments

Details

Valid compounding values are:

Value

a flag (TRUE or FALSE) if all the supplied compounding frequencies are supported.

Description

Checks whether object inherits from CashFlow class

Usage

is.CashFlow(x)

Arguments

Value

TRUE if x inherits from the CashFlow class; otherwise FALSE

See Also

Other money functions: CashFlow, MultiCurrencyMoney, SingleCurrencyMoney, is.MultiCurrencyMoney, is.SingleCurrencyMoney

Examples

is.CashFlow(CashFlow(as.Date("2017-11-15"),
  MultiCurrencyMoney(list(SingleCurrencyMoney(1, AUD())))))

Description

Checks whether object inherits from CDSCurve class

Usage

is.CDSCurve(x)

Arguments

Value

TRUE if x inherits from the CDSCurve class; otherwise FALSE

See Also

Other CDS curve helpers: CDSCurve, CDSMarkitSpec, CDSSingleNameSpec, CDSSpec, SurvivalProbabilities, ZeroHazardRate, is.CDSSpec

Examples

curve_specs <- CDSMarkitSpec(
  rating = "AAA",
  region = "Japan",
  sector = "Utilities"
)
cds_curve <- CDSCurve(
  as.Date("2019-06-29"),
  tenors = c(1, 3, 5, 7),
  spreads = c(0.0050, 0.0070, 0.0090, 0.0110),
  lgd = 0.6,
  premium_frequency = 4,
  specs = curve_specs
)
is.CDSCurve(cds_curve)

Description

Checks whether object inherits from CDSSpec class

Usage

is.CDSSpec(x)

Arguments

Value

TRUE if x inherits from the CDSSpec class; otherwise FALSE

See Also

Other CDS curve helpers: CDSCurve, CDSMarkitSpec, CDSSingleNameSpec, CDSSpec, SurvivalProbabilities, ZeroHazardRate, is.CDSCurve

Examples

curve_specs <- CDSMarkitSpec(
  rating = "AAA",
  region = "Japan",
  sector = "Utilities"
)
is.CDSSpec(curve_specs)

Description

Checks whether object inherits from CreditCurve class

Usage

is.CreditCurve(x)

Arguments

Value

TRUE if x inherits from the CreditCurve class; otherwise FALSE

Description

Checks whether object inherits from Currency class

Usage

is.Currency(x)

Arguments

Value

TRUE if x inherits from the Currency class; otherwise FALSE

Examples

is.Currency(AUD())

Description

Inherits from CurrencyPair class

Usage

is.CurrencyPair(x)

Arguments

Value

TRUE if x inherits from the CurrencyPair class; otherwise FALSE

Examples

is.CurrencyPair(AUDUSD())

Description

Checks whether object inherits from DiscountFactor class

Usage

is.DiscountFactor(x)

Arguments

Value

TRUE if x inherits from the DiscountFactor class; otherwise FALSE

Examples

is.DiscountFactor(DiscountFactor(0.97, Sys.Date(), Sys.Date() + 30))

Description

Checks whether object inherits from InterestRate class

Usage

is.InterestRate(x)

Arguments

Value

TRUE if x inherits from the InterestRate class; otherwise FALSE

Examples

is.InterestRate(InterestRate(0.04, 2, "act/365"))

Description

These methods check whether an interpolation is of a particular scheme.

Usage

is.Interpolation(x)

is.ConstantInterpolation(x)

is.LogDFInterpolation(x)

is.LinearInterpolation(x)

is.CubicInterpolation(x)

is.LinearCubicTimeVarInterpolation(x)

Arguments

Value

a logical flag

Examples

is.Interpolation(CubicInterpolation())
is.CubicInterpolation(CubicInterpolation())

Description

Checks whether object inherits from MultiCurrencyMoney class

Usage

is.MultiCurrencyMoney(x)

Arguments

Value

TRUE if x inherits from the MultiCurrencyMoney class; otherwise FALSE

See Also

Other money functions: CashFlow, MultiCurrencyMoney, SingleCurrencyMoney, is.CashFlow, is.SingleCurrencyMoney

Examples

is.MultiCurrencyMoney(MultiCurrencyMoney(list(SingleCurrencyMoney(1, AUD()))))

Description

Checks whether object inherits from SingleCurrencyMoney class

Usage

is.SingleCurrencyMoney(x)

Arguments

Value

TRUE if x inherits from the SingleCurrencyMoney class; otherwise FALSE

See Also

Other money functions: CashFlow, MultiCurrencyMoney, SingleCurrencyMoney, is.CashFlow, is.MultiCurrencyMoney

Examples

is.SingleCurrencyMoney(SingleCurrencyMoney(1:5, AUD()))

Description

Checks whether object inherits from SurvivalProbabilities class

Usage

is.SurvivalProbabilities(x)

Arguments

Value

TRUE if x inherits from the SurvivalProbabilities class; otherwise FALSE

Examples

is.SurvivalProbabilities(SurvivalProbabilities(0.97, Sys.Date(), Sys.Date() + 30, CDSSpec("Empty")))

Description

Checks whether the object inherits from VolQuotes class

Usage

is.VolQuotes(x)

Arguments

Value

TRUE if x inherits from the VolQuotes class; otherwise FALSE

Description

Checks whether object inherits from VolSurface class

Usage

is.VolSurface(x)

Arguments

Value

TRUE if x inherits from the VolSurface class; otherwise FALSE

Description

Checks whether object inherits from ZeroCurve class

Usage

is.ZeroCurve(x)

Arguments

Value

TRUE if x inherits from the ZeroCurve class; otherwise FALSE

Examples

is.ZeroCurve(build_zero_curve())

Description

Checks whether object inherits from ZeroHazardRate class

Usage

is.ZeroHazardRate(x)

Arguments

Value

TRUE if x inherits from the ZeroHazardRate class; otherwise FALSE

Examples

is.ZeroHazardRate(ZeroHazardRate(0.04, 2, "act/365", CDSSpec("Empty")))

Description

The default method assumes the ISO can be accessed as if it were an attribute with name iso (e.g. x$iso). The method for CurrencyPair concatenates the ISOs of the constituent currencies (e.g. iso(AUDUSD()) returns "AUDUSD") while the methods for CashIndex and IborIndex return the ISO of the index's currency.

Usage

## S3 method for class 'CurrencyPair'
iso(x)

iso(x)

## Default S3 method:
iso(x)

## S3 method for class 'IborIndex'
iso(x)

## S3 method for class 'CashIndex'
iso(x)

Arguments

Value

a string of the ISO

Examples

library("lubridate")
iso(AUD())
iso(AUDUSD())
iso(AUDBBSW(months(3)))
iso(AONIA())

Description

This class associates a vector of numeric values with a list of currencies. This can be useful for example to store value of cash flows. Internally it represents this information as an extension to a tibble. You are able to bind MultiCurrencyMoney objects by using rbind() (see example below).

Usage

MultiCurrencyMoney(monies)

Arguments

Value

a MultiCurrencyMoney object that extends tibble::tibble()

See Also

Other money functions: CashFlow, SingleCurrencyMoney, is.CashFlow, is.MultiCurrencyMoney, is.SingleCurrencyMoney

Examples

mcm <- MultiCurrencyMoney(list(
  SingleCurrencyMoney(1, AUD()),
  SingleCurrencyMoney(2, USD())
))
rbind(mcm, mcm)

Description

These functions create commonly used ONIA indices with standard market conventions.

Usage

AONIA()

EONIA()

SONIA()

TONAR()

NZIONA()

FedFunds()

CHFTOIS()

HONIX()

Details

The key conventions are tabulated below. All have a zero day spot lag excepting CHFTOIS which has a one day lag (it is a tom-next rate, per 2006 ISDA definitions).

Note that for some ONIA indices, the overnight rate is not published until the following date (i.e. it has publication lag of one day).

References

AONIA EONIA SONIA TONAR NZIONA FedFunds OpenGamma Interest Rate Instruments and Market Conventions Guide

See Also

Other constructors: CurrencyConstructors, CurrencyPairConstructors, iborindices

Description

This class associates a numeric vector with a currency. This is useful for example in representing the value of a derivative. You can concatenate a set SingleCurrencyMoney objects and return a MultiCurrencyMoney object (see example below)

Usage

SingleCurrencyMoney(value, currency)

Arguments

Value

a SingleCurrencyMoney object

See Also

Other money functions: CashFlow, MultiCurrencyMoney, is.CashFlow, is.MultiCurrencyMoney, is.SingleCurrencyMoney

Examples

SingleCurrencyMoney(1:5, AUD())
c(SingleCurrencyMoney(1, AUD()), SingleCurrencyMoney(100, USD()))

Description

This will allow you to create a survival probability curve. This will typically be bootstrapped from a CDSCurve().

Usage

SurvivalProbabilities(values, d1, d2, specs)

Arguments

Value

returns an object of type SurvivalProbabilitiesCurve

See Also

Other CDS curve helpers: CDSCurve, CDSMarkitSpec, CDSSingleNameSpec, CDSSpec, ZeroHazardRate, is.CDSCurve, is.CDSSpec

Examples

SurvivalProbabilities(0.97, Sys.Date(), Sys.Date() + 30, CDSSpec("Empty"))

Description

A number of different operations can be performed on or with SurvivalProbabilities objects. Methods have been defined for base package generic operations including arithmetic and comparison.

Details

The operations are:

• c: concatenates a vector of SurvivalProbabilities objects

• [: extract parts of a SurvivalProbabilities vector

• [<-: replace parts of a SurvivalProbabilities vector

• rep: repeat a SurvivalProbabilities object

• length: determines the length of a SurvivalProbabilities vector

• *: multiplication of SurvivalProbabilities objects. The end date of the first SurvivalProbabilities object must be equivalent to the start date of the second (or vice versa). Arguments are recycled as necessary.

• /: division of SurvivalProbabilities objects. The start date date of both arguments must be the same. Arguments are recycled as necessary.

• <, >, <=, >=, ==, !=: these operate in the standard way on the discount_factor field.

Description

VolQuotes class is designed to capture volatility data. Checks that the inputs are of the correct type and stores the values in a tibble::tibble().

Usage

VolQuotes(maturity, smile, value, reference_date, type, ticker)

Arguments

Value

object of class VolQuotes

See Also

VolSurface(), build_vol_quotes()

Examples

pillars <- seq(as.Date("2019-04-26") + 1, by = "month", length.out = 3)
VolQuotes(
  maturity = rep(pillars, 4),
  smile = rep(seq(10, 20, length.out = 4), each = 3),
  value = seq(1, 0.1, length.out = 12),
  reference_date = as.Date("2019-04-26"),
  type = "strike",
  ticker = "ABC.AX"
)

Description

The VolSurface class is designed to capture implied volatility information along with information about how to interpolate an implied volatility between nodes.

Usage

VolSurface(vol_quotes, interpolation)

Arguments

Value

a VolSurface object

See Also

interpolate.VolSurface, build_vol_surface()

Examples

VolSurface(build_vol_quotes(), LinearCubicTimeVarInterpolation())

Description

A class that defines the bare bones of a zero-coupon yield curve pricing structure.

Usage

ZeroCurve(discount_factors, reference_date, interpolation)

Arguments

Details

A term structure of interest rates (or yield curve) is a curve showing several yields or interest rates across different contract lengths (2 month, 2 year, 20 year, etc...) for a similar debt contract. The curve shows the relation between the (level of) interest rate (or cost of borrowing) and the time to maturity, known as the "term", of the debt for a given borrower in a given currency. For example, the U.S. dollar interest rates paid on U.S. Treasury securities for various maturities are closely watched by many traders, and are commonly plotted on a graph. More formal mathematical descriptions of this relation are often called the term structure of interest rates. When the effect of coupons on yields are stripped away, one has a zero-coupon yield curve.

Value

a ZeroCurve object

Interpolation schemes

The following interpolation schemes are supported by ZeroCurve:

• ConstantInterpolation: constant interpolation on zero rates

• LinearInterpolation: linear interpolation on zero rates

• LogDFInterpolation: linear interpolation on log discount factors or constant on forward rates

• CubicInterpolation: natural cubic spline on zero rates

Points outside the calibration region use constant extrapolation on zero rates.

See Also

Interpolation

Examples

build_zero_curve()

Description

This will allow you to create a harzard rate curve. This will typically be bootstrapped or implied from a CDSCurve() or SurvivalProbabilities().

Usage

ZeroHazardRate(values, compounding, day_basis, specs)

Arguments

Value

returns an object of type hazard_rates

See Also

Other CDS curve helpers: CDSCurve, CDSMarkitSpec, CDSSingleNameSpec, CDSSpec, SurvivalProbabilities, is.CDSCurve, is.CDSSpec

Examples

curve_specs <- CDSMarkitSpec(
  rating = "AAA",
  region = "Japan",
  sector = "Utilities"
)
ZeroHazardRate(values = c(0.04, 0.05), compounding = c(2, 4),
day_basis =  'act/365', specs = curve_specs )

Description

A number of different operations can be performed on or with ZeroHazardRate objects. Methods have been defined for base package generic operations including arithmetic and comparison.

Details

The operations are:

• c: concatenates a vector of ZeroHazardRate objects

• [: extract parts of a ZeroHazardRate vector

• [<-: replace parts of a ZeroHazardRate vector

• rep: repeat a ZeroHazardRate object

• length: determines the length of a ZeroHazardRate vector

• +, -: addition/subtraction of ZeroHazardRate objects. Where two ZeroHazardRate objects are added/subtracted, the second is first converted to have the same compounding and day basis frequency as the first. Numeric values can be added/subtracted to/from an ZeroHazardRate object by performing the operation directly on the rate field. Arguments are recycled as necessary.

• *: multiplication of ZeroHazardRate objects. Where two ZeroHazardRate objects are multiplied, the second is first converted to have the same compounding and day basis frequency as the first. Numeric values can be multiplied to an ZeroHazardRate object by performing the operation directly on the rate field. Arguments are recycled as necessary.

• /: division of ZeroHazardRate objects. Where two ZeroHazardRate objects are divided, the second is first converted to have the same compounding and day basis frequency as the first. Numeric values can divide an ZeroHazardRate object by performing the operation directly on the rate field. Arguments are recycled as necessary.

• <, >, <=, >=, ==, !=: these operate in the standard way on the rate field, and if necessary, the second ZeroHazardRate object is converted to have the same compounding and day basis frequency as the first.