25 lines
657 B
R
25 lines
657 B
R
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# Evaluate the price of a zero coupon bond
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#
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# Author: Francois Pelletier
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#
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# LGPL 3.0
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###############################################################################
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#' Evaluate the price of a zero coupon bond
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#'
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#' Evaluates the actualised price of a bond using interest rate and face value
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#' @title zerobond
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#' @param eval.time Evaluation time
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#' @param expiry.time Expiry time
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#' @param rate Continuously compounded interest rate (force of interest)
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#' @param face Face value
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#' @return Actualised price of bond
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#'
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#' @author François Pelletier
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zerobond <- function(eval.time,expiry.time,rate,face=1)
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{
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exp(-rate*(expiry.time-eval.time))*face
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}
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