Termstrc package in R by default uses yearly coupon frequencies. Dataset i am working with is semi-yearly coupon bonds. Here are the variables it takes into the model
TODAY #today's date CASHFLOWS$CF #cashflow CASHFLOWS$DATE #maturity dates
Even if i manually include cashflows using semi-yearly coupons, while modelling it automatically calculates remaining periods to maturity using Today's date, and it assumes yearly coupons! Is there a way around that?