R-fixedincome

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Implement a memory for the compounded curve. Once the compound method has been called for the term structure, the next calls use the already computed values.

wilsonfreitas

interpolation doesn't accept different units

1

The terms in a term structure usually have the same `units`. So, once you have a term structure defined with terms in days you can only interpolate it using terms...

wilsonfreitas

`forwardrate` method don't use interpolation, even when it is defined. So, only valid terms can be used with this method. Additionally: - `t1` and `t2` should be vectors - `t1`...

wilsonfreitas

empty spotrate and empty curves are useful for bootstrap. ``` > spotrate(compounding='discrete', daycount='business/252', calendar=cal) discrete business/252 ANBIMA ```

wilsonfreitas

Look for some IR Excel functions. https://support.google.com/docs/table/25273?hl=en

wilsonfreitas

I need to create a daycount to specify fixed datetime intervals. For example, a spot rate is valid between 2 dates. So it depends on a calendar, but daycount doesn't...

wilsonfreitas