View source: R/20_annualYtmZcbForPeriodicity.R
annualYtmZcbForPeriodicity | R Documentation |
Calculates annual Yield-To-Maturity (YTM) of Zero-Coupon Bond with given Price and given Maturity Value for various values of Periodicity.
annualYtmZcbForPeriodicity( maturityVal, yearsToMaturity, ZCBprice, desiredPeriodicity )
maturityVal |
A number. |
yearsToMaturity |
A number. |
ZCBprice |
A number. |
desiredPeriodicity |
A number. |
The periodicity of the annual market discount rate for a zero-coupon bond is arbitrary because there are no coupon payments. As in the given examples, for semi-annual compounding, the annual yield-to-maturity on the five-year, zero-coupon bond priced at 80 percent 100 of par value is stated to be 4.5130 percent. This annual rate has a periodicity of two. For quarterly compounding, the annual yield-to-maturity is stated to be 4.4880 percent. This annual rate has a periodicity of four. For monthly compounding, the annual yield-to-maturity is stated to be 4.4712 percent. This annual rate has a periodicity of 12. For annual compounding, the yield-to-maturity is stated to be 4.5640 percent. This annual rate has a periodicity of one (Adams & Smith, 2019).
With regard to the given information ,annualYtmZcbForPeriodicity()
is developed to compute annual Yield-To-Maturity (YTM) of Zero-Coupon Bond with given Price and given Maturity Value for different values of Periodicity for values passed to its four arguments. Here, maturityVal
is Maturity Value of the Bond, yearsToMaturity
represents years to maturity, ZCBprice
represents price of Zero-Coupon Bond, and desiredPeriodicity
desired periodicity for which the YTM is to be computed. The output is rounded off to six decimal places.
Input values to four arguments maturityVal
, yearsToMaturity
,ZCBprice
and desiredPeriodicity
.
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
annualYtmZcbForPeriodicity(maturityVal=100,yearsToMaturity=5,ZCBprice=80,desiredPeriodicity=2) annualYtmZcbForPeriodicity(maturityVal=100,yearsToMaturity=5,ZCBprice=80,desiredPeriodicity=4) annualYtmZcbForPeriodicity(maturityVal=100,yearsToMaturity=5,ZCBprice=80,desiredPeriodicity=12) annualYtmZcbForPeriodicity(maturityVal=100,yearsToMaturity=5,ZCBprice=80,desiredPeriodicity=1)
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