Bootstraps annual effective spot rates from par coupon yields at consecutive
integer maturities.
Usage
z_from_coupon_annual(maturity, coupon_yield, par = 1000)
Arguments
- maturity
Numeric vector of positive integer maturities in strictly
increasing order. Maturities must be consecutive and begin at 1.
- coupon_yield
Numeric vector of annual effective par coupon yields.
Values must be greater than -1.
- par
Positive scalar par value.
Value
A numeric vector of annual effective spot rates.
Examples
maturity <- 1:4
coupon_yield <- c(0.02, 0.04, 0.06, 0.08)
z_from_coupon_annual(maturity, coupon_yield)
#> [1] 0.02000000 0.04040808 0.06169260 0.08447397