# Build Curve Bootstrap discount factors from a yield curve. ```r buildCurve( swapRates, tenors, fixFreq = 6, fixDCC = "Thirty360", fltFreq = 6, fltDCC = "Thirty360", calendar = "General", bdc = c("Actual", "Preceding", "Following", "Modified_Prec", "Modified_Foll"), curveDate, numSetDay, yieldCurveDCC = "Thirty360", holidays = NULL ) ``` ## Arguments - `swapRates`: A vector of doubles of swap rates. - `tenors`: A vector of integers of corresponding tenors. - `fixFreq`: An integer of fixed leg frequency of payment in months. Default is 6, semi-annual payments. - `fixDCC`: A string of fixed leg day count convention from four options: "Thirty360", "ACT360", "ACT365", or "ACTACT". Default is "Thirty360". - `fltFreq`: An integer of floating leg frequency of payment in months. Default is 6, semi-annual payments. - `fltDCC`: A string of floating leg day count convention from four options: "Thirty360", "ACT360", "ACT365", or "ACTACT". Default is "Thirty360". - `calendar`: A string of the desired calendar convention from two options: * "NY": New York holiday calendar * "General": all weekdays are business days - `bdc`: A string of business day convention from five options: * "Actual": No rolling on the date applied even if it is a non-business day * "Preceding": 1st business day before holiday * "Following": 1st business day after holiday * "Modified_Prec": Same as "Preceding" unless it belongs to a different month, in which case 1st business day after holiday * "Modified_Foll": Same as "Following" unless it belongs to a different month, in which case 1st business day before holiday Default is "Actual". - `curveDate`: A string in the format of "YYYY-MM-DD" of yield curve date. - `numSetDay`: An integer of settlement days from yield curve date. - `yieldCurveDCC`: A string of yield curve day count convention from four options: "Thirty360", "ACT360", "ACT365", or "ACTACT". Default is "Thirty360". - `holidays`: An optional vector dates of user-defined holidays. If provided, within the given holidays range, the calendar provided in the parameter "calendar" will not be applied; If the date is not in the given holidays range, it will follow the calendar provided in the "calendar" parameter ## Returns Outputs a data frame of strings of discount dates and doubles of discount factors. ## Examples ```r rate <- c(0.69, 0.77, 0.88, 1.01, 1.14, 1.38, 1.66, 2.15) * 0.01 tenor <- c(1, 2, 3, 4, 5, 7, 10, 30) fixFreq <- 6 fixDCC <- "Thirty360" fltFreq <- 6 fltDCC <- "ACT360" calendar <- "NY" bdc <- "Modified_Foll" curveDate <- "2016-02-08" numSetDay <- 2 yieldCurveDCC <- "Thirty360" holidays <- NULL buildCurve(rate, tenor, fixFreq, fixDCC, fltFreq, fltDCC, calendar, bdc, curveDate, numSetDay, yieldCurveDCC, holidays) ```

buildCurve function