Displaying 1 result from an estimated 1 matches for "days_to_maturity".
2013 Apr 03
4
Better way of writing R code
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# __________________________________________________________
Depending on the maturity period, I have defined discount rates as
# FOR USD
if
(as.character(currency) ==
"USD")
{
if
(as.character(other_currency) == "GBP" & days_to_maturity <= 1)
{
libor_rate1 = df_LIBOR_rates$USD_o_n
libor_rate2 = df_LIBOR_rates$GBP_o_n
}
else if (as.character(other_currency) == "EURO" & days_to_maturity <= 1)
{
libor_rate1 = df_LIBOR_rates$USD_o_n
libor_rate2 = df_LIBOR_rates$EUR_o_n
}
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