periodicDiscRateFRN: Calculates periodic discount rate of a Floating-Rate Note...

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

Calculates periodic discount rate of a Floating-Rate Note (FRN).

Description

Calculates periodic discount rate of a Floating-Rate Note (FRN).

Usage

periodicDiscRateFRN(estRtrn, mvFRN, priceFRN, maturityYears, periodicity)

Arguments

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

Details

The method periodicDiscRateFRN is developed to compute periodic discount rate of a Floating-Rate Note (FRN) for the values passed to its five arguments. Here, 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 periodicDiscRateFRN().

Value

Input values to five arguments 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

periodicDiscRateFRN(estRtrn=0.8125,mvFRN=100,priceFRN=98,maturityYears=4,periodicity=4)
periodicDiscRateFRN(0.8125, 100, 98, 4, 4)

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