initialSpread: Compute Initial Spread

In sstModel: Swiss Solvency Test (SST) Standard Models

Description

compute initial spread of a bond from its market value.

Usage

initialSpread(market.value, times, coupons, risk.free, ...)

Arguments

market.value	a numeric value, the total market value for the bond.
times	a numeric vector, the times of the coupons.
coupons	a numeric vector, the corresponding coupon cash flows.
risk.free	a numeric vector, the corresponding risk-free rates with continuous compounding.
...	additional parameters to be passed to newtonRaphson.

Value

a numeric value, the corresponding spread.

sstModel documentation built on May 2, 2019, 12:16 p.m.