solveYield: Computing bond yields

In RcmdrPlugin.RiskDemo: R Commander Plug-in for Risk Demonstration

Computing bond yields

Description

This function computes the yield to maturity, given the (flat) bond price.

Usage

solveYield(buyDate, matDate, rateCoupon, bondPr, nPay)

Arguments

buyDate	settlement date (the date when the bond is bought)
matDate	maturity date
rateCoupon	annual coupon rate
bondPr	bond price. The flat price without accrued interest.
nPay	number of payments per year

Details

all the rates are given in decimals

Value

A list with the following components:

yieldToMaturity	yield to maturity
flatPrice	flat price
daysSinceLastCoupon	days since previous coupon payment
daysInCouponPeriod	days in a coupon period
accruedInterest	accrued interest since last coupon payment
invoicePrice	invoice price (= flat price + accrued interest)

Note

With Excel function YIELD you can do the same.

Author(s)

Arto Luoma <[e-mail]>

References

Bodie, Kane, and Marcus (2014) Investments, 10th Global Edition, McGraw-Hill Education, (see Bond Pricing between Coupon Dates in Section 14.2).

See Also

bondPrice

Examples

solveYield("2012-7-31","2018-7-31",0.0225,100,2)

RcmdrPlugin.RiskDemo documentation built on June 22, 2024, 7:06 p.m.