Commodity Swap
Solves for the fixed swap price, given the variable prices and interest rates (either as spot rates or zero coupon bond prices).
swap.commodity(prices, rates, type="spot_rate")
prices |
vector of variable prices |
rates |
vector of variable rates |
type |
rates defined as either "spot_rate" or "zcb_price" |
For spot rates: ∑_{k=1}^n\frac{prices_k}{(1+rates_k)^k}=∑_{k=1}^n\frac{X}{(1+rates_k)^k}
For zero coupon bond prices: ∑_{k=1}^nprices_k*rates_k=∑_{k=1}^nX*rates_k
Where X= fixed swap price.
The fixed swap price.
Length of the price vector and rate vector must be of the same length.
Kameron Penn and Jack Schmidt
swap.commodity(prices=c(103,106,108), rates=c(.04,.05,.06)) 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")
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