Present value of deterministic cash flows using spot rates — pv_spot_cashflows • mqriskR

Discounts each cash flow using the spot rate matched to its payment time. Time-zero cash flows are not discounted.

Usage

pv_spot_cashflows(
  amounts,
  times,
  spot,
  compounding = c("annual", "semiannual")
)

Arguments

amounts: Numeric vector of cash-flow amounts.
times: Numeric vector of payment times in years.
spot: Numeric vector of spot rates matched elementwise to times. The value corresponding to a time-zero cash flow is ignored.
compounding: Character string equal to "annual" or "semiannual".

Value

A numeric scalar.

Examples

pv_spot_cashflows(
  amounts = c(200000, 50000, 50000, 100000),
  times = c(0, 0.5, 1, 2),
  spot = c(0, 0.02440, 0.02601, 0.02936),
  compounding = "semiannual"
)
#> [1] 392459.1