earZcbVariousPeriodicity: Calculates Effective Annual Rate (EAR) of a Zero-Coupon Bond...

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

Calculates Effective Annual Rate (EAR) of a Zero-Coupon Bond for various values of Periodicity.

Description

Calculates Effective Annual Rate (EAR) of a Zero-Coupon Bond for various values of Periodicity.

Usage

earZcbVariousPeriodicity(
  maturityVal,
  yearsToMaturity,
  ZCBprice,
  desiredPeriodicity
)

Arguments

maturityVal	A number.
yearsToMaturity	A number.
ZCBprice	A number.
desiredPeriodicity	A number.

Details

This method, earZcbVariousPeriodicity() is developed to compute an Effective Annual Rate (EAR) of a Zero-Coupon Bond for various values of Periodicity, for the 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 Effective Annual Rate is to be computed. The output is rounded off to six decimal places.

Value

Input values to four arguments maturityVal , yearsToMaturity,ZCBprice and desiredPeriodicity.

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

earZcbVariousPeriodicity(maturityVal=100, yearsToMaturity=5, ZCBprice=80, desiredPeriodicity=1)
earZcbVariousPeriodicity(maturityVal=100, yearsToMaturity=5, ZCBprice=80, desiredPeriodicity=12)
earZcbVariousPeriodicity(maturityVal=100, yearsToMaturity=5, ZCBprice=80, desiredPeriodicity=4)
earZcbVariousPeriodicity(maturityVal=100, yearsToMaturity=5, ZCBprice=80, desiredPeriodicity=2)

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