| frPricing {bondAnalyst} | R Documentation |
Calculates Bond Price using the Forward Rate Input.
Description
Calculates Bond Price using the Forward Rate Input.
Usage
frPricing(cpns, fri, mv, n)
Arguments
cpns |
A vector. |
fri |
A vector. |
mv |
A number. |
n |
A number. |
Details
According to information provided by Adams and Smith (2019), the method frPricing() is developed to compute the Bond Price using the Forward Rate Input. If 0y1y is 1.88 percent, 1y1y is 2.77 percent and 2y1y is 3.54 percent then the bond price works out to be 102.965 dollars. Here, cpns is vector of coupon Payments for three years,fri is a vector of that contains three values that serve as forward rate input factor,mvis maturity Value, and n is number of years that is 3 years.
Value
Input values to four arguments cpns ,fri, mv and n.
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
frPricing(cpns=c(3.75,3.75,3.75),fri=c((1.0188),(1.0188*1.0277),(1.0188*1.0277*1.0354)),mv=100,n=3)