discMarginFRN: Calculates Discount Margin of a Floating-Rate Note (FRN).

In bondAnalyst: Methods for Fixed-Income Valuation, Risk and Return

Calculates Discount Margin of a Floating-Rate Note (FRN).

Description

Calculates Discount Margin of a Floating-Rate Note (FRN).

Usage

discMarginFRN(index, estRtrn, mvFRN, priceFRN, maturityYears, periodicity)

Arguments

index	A number.
estRtrn	A number.
mvFRN	A number.
priceFRN	A number.
maturityYears	A number.
periodicity	A number.

Details

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().

Value

Input values to six arguments index ,estRtrn, mvFRN, priceFRN, maturityYears, and periodicity.

Author(s)

MaheshP Kumar, [e-mail]

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

discMarginFRN(index=0.0200,estRtrn=0.8125,mvFRN=100,priceFRN=98,maturityYears=4,periodicity=4)
discMarginFRN(0.0200,0.8125, 100, 98, 4, 4)

bondAnalyst documentation built on Aug. 13, 2022, 5:05 p.m.