Interest rate derivatives

We will use the GUIDE package to calculate the price for interest rate derivatives:

> install.packages("GUIDE") 
> library(GUIDE)

The following command will open a pop-up window which requires all the parameters. Once you supply the required parameters in the pop-up window, it generates the interest rate derivative price:

>irswapvalue()

Parameters to be supplied in the pop-up window are as follows:

  • Notional: To be entered in decimals
  • Fixed rate: Entered in decimals, for example, 0.05 for 5%
  • Last spot rate: Entered in decimals, for example, 0.05 for 5 per cent
  • Months for first payment: Enter 3 for 3 months
  • Spot rates: Enter with comma separation, for example, 0.054, 0.056, 0.058
  • Frequency of spot rates: Chosen from continuous/quarterly/semi-annual/annual ...

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