Compute Discount Factors — yc_discount • yieldcurves

Calculate discount factors from a yield curve assuming continuous compounding.

Usage

yc_discount(
  curve,
  maturities = NULL,
  compounding = c("continuous", "annual", "semi_annual")
)

Arguments

curve: A yc_curve object.
maturities: Optional numeric vector of maturities. If NULL, uses the curve's own maturities.
compounding: Character. Compounding convention: "continuous" (default), "annual", or "semi_annual".

Value

A data frame with columns maturity and discount_factor.

Examples

maturities <- c(1, 2, 5, 10)
rates <- c(0.045, 0.043, 0.042, 0.040)
curve <- yc_curve(maturities, rates)
yc_discount(curve)
#>   maturity discount_factor
#> 1        1       0.9559975
#> 2        2       0.9175942
#> 3        5       0.8105842
#> 4       10       0.6703200
yc_discount(curve, compounding = "annual")
#>   maturity discount_factor
#> 1        1       0.9569378
#> 2        2       0.9192452
#> 3        5       0.8140694
#> 4       10       0.6755642