discMarginFRN {bondAnalyst} | R Documentation |
Calculates Discount Margin of a Floating-Rate Note (FRN).
discMarginFRN(index, estRtrn, mvFRN, priceFRN, maturityYears, periodicity)
index |
A number. |
estRtrn |
A number. |
mvFRN |
A number. |
priceFRN |
A number. |
maturityYears |
A number. |
periodicity |
A number. |
According to information provided by Adams and Smith (2019), the method discMarginFRN()
is developed to compute Discount Margin of a Floating-Rate Note (FRN) for the values passed to its six arguments. Here, index
is reference rate, stated as an annual percentage rate,estRtrn
is a vector of estimated returns on FRN (this does not include repayment of the principal), mvFRN
represents Maturity Value, priceFRN
price of FRN, maturityYears
is number of years to Maturity, and periodicity
is periodicity of interest payments. The given examples show various ways in which the arguments can be passed to discMarginFRN()
.
Input values to six arguments index
,estRtrn
, mvFRN
, priceFRN
, maturityYears
, and periodicity
.
MaheshP Kumar, maheshparamjitkumar@gmail.com
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
discMarginFRN(index=0.0200,estRtrn=0.8125,mvFRN=100,priceFRN=98,maturityYears=4,periodicity=4)
discMarginFRN(0.0200,0.8125, 100, 98, 4, 4)