| computingGspread {bondAnalyst} | R Documentation |
Calculates the G-Spread which is the spread between the yields-to-maturity on the corporate bond and that of government bond having the same maturity.
Description
Calculates the G-Spread which is the spread between the yields-to-maturity on the corporate bond and that of government bond having the same maturity.
Usage
computingGspread(ytmCorpBond, ytmBenchGovtBond)
Arguments
ytmCorpBond |
A number. |
ytmBenchGovtBond |
A number. |
Details
According to information provided by Adams and Smith (2019), the method computingGspread() is developed to calculate G-Spread for given values of yields-to-maturity on the corporate bond and that of government bond having the same maturity. Here, ytmCorpBond stands for yields-to-maturity on the corporate bond and ytmBenchGovtBond denotes yields-to-maturity on government bond with the same maturity. An output with the value 0.02327 means G-Spread of 232.7 bps.
Value
Input values to two arguments ytmCorpBond and ytmBenchGovtBond.
Author(s)
MaheshP Kumar, maheshparamjitkumar@gmail.com
References
Adams,J.F. & Smith,D.J.(2019). Introduction to fixed-income valuation. In CFA Program Curriculum 2020 Level I Volumes 1-6. (Vol. 5, pp. 107-151). Wiley Professional Development (P&T). ISBN 9781119593577, https://bookshelf.vitalsource.com/books/9781119593577
Examples
computingGspread(ytmCorpBond=0.05932, ytmBenchGovtBond=0.03605)