| pricingWithGspread {bondAnalyst} | R Documentation |
Calculates Bond Price using given values of G-Spread and yield-to-maturity for the government benchmark bond.
Description
Calculates Bond Price using given values of G-Spread and yield-to-maturity for the government benchmark bond.
Usage
pricingWithGspread(coupons, t, mv, n, ytmBenchGovtBond, Gspread)
Arguments
coupons |
A vector. |
t |
A vector. |
mv |
A number. |
n |
A number. |
ytmBenchGovtBond |
A number. |
Gspread |
A number. |
Details
According to information provided by Adams and Smith (2019), the method pricingWithGspread is developed to compute Bond Price using the given values of G-Spread and the yield-to-maturity for the government benchmark bond. Here, coupons is vector of Coupon Payments,t is a vector of number of years ranging from 1 to any specified number of years under consideration, mv is maturity value of the bond, n is number of years, ytmBenchGovtBond is the yield-to-maturity for the government benchmark bond, and Gspread is given value of G-spread.
Value
Input values to six arguments coupons ,t, mv,n, ytmBenchGovtBond, and Gspread.
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
pricingWithGspread(coupons=c(6,6), t=c(1,2),mv=100,n=2,ytmBenchGovtBond=0.03605, Gspread=0.02327)
pricingWithGspread(coupons=c(5,5,5),t=c(1,2,3),mv=100,n=3,ytmBenchGovtBond=0.01913,Gspread=0.0285)
pricingWithGspread(coupons=c(60,60),t=c(1,2),mv=1000,n=2,ytmBenchGovtBond=0.03605,Gspread=0.02327)