Discount factors under a variable annual interest scenario

Computes the sequence of discount factors $$v_1,\; v_2,\; \dots,\; v_n$$ where $$v_t = \prod_{k=1}^{t}(1+i_k)^{-1}.$$

Usage

vt_var(i)

Arguments

i

Numeric vector of annual effective interest rates \(i_1, i_2, \dots, i_n\).

Value

Numeric vector of discount factors of the same length as i.

Details

This corresponds to the Chapter 15 notation \({}_j v^t\) for a fixed scenario \(j\).

Examples

vt_var(c(0.06, 0.07, 0.08))
#> [1] 0.9433962 0.8816787 0.8163692