FinancialMath (version 0.1.1)

swap.commodity: Commodity Swap

Description

Solves for the fixed swap price, given the variable prices and interest rates (either as spot rates or zero coupon bond prices).

Usage

swap.commodity(prices, rates, type="spot_rate")

Arguments

prices

vector of variable prices

rates

vector of variable rates

type

rates defined as either "spot_rate" or "zcb_price"

Value

Details

For spot rates: $\sum_{k=1}^n\frac{prices_k}{(1+rates_k)^k}=\sum_{k=1}^n\frac{X}{(1+rates_k)^k}$

For zero coupon bond prices: $\sum_{k=1}^nprices_k*rates_k=\sum_{k=1}^nX*rates_k$

Where $X=$ fixed swap price.

See Also

swap.rate

Examples

swap.commodity(prices=c(103,106,108), rates=c(.9615,.907,.8396),type="zcb_price")

swap.commodity(prices=c(105,105,105), rates=c(.85,.89,.80),type="zcb_price")