Displaying 2 results from an estimated 2 matches for "gbp_1w".
2013 Apr 25
1
Linear Interpolation : Missing rates
...I have data.frame as
df = data.frame(rate_name = c("USD_1w", "USD_1w", "USD_1w", "USD_1w", "USD_1m", "USD_1m", "USD_1m", "USD_1m", "USD_2m", "USD_2m", "USD_2m", "USD_2m", "GBP_1w", "GBP_1w", "GBP_1w", "GBP_1w", "GBP_1m", "GBP_1m", "GBP_1m", "GBP_1m", "GBP_2m", "GBP_2m", "GBP_2m", "GBP_2m", "EURO_1w", "EURO_1w", "EURO_1w", "EUR...
2013 Apr 03
4
Better way of writing R code
...R_rates$USD_o_n
libor_rate2 = df_LIBOR_rates$EUR_o_n
}
......................
......................
if
(as.character(other_currency) == "GBP" & (days_to_maturity > 1 & days_to_maturity <= 7))
{
libor_rate1 = df_LIBOR_rates$USD_1w
libor_rate2 = df_LIBOR_rates$GBP_1w
}
else if (as.character(other_currency) == "EURO" & (days_to_maturity > 1 & days_to_maturity <= 7))
{
libor_rate1 = df_LIBOR_rates$USD_1w
libor_rate2 = df_LIBOR_rates$EUR_1w
}
............................
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Similarly for other...