initialSpread: Compute Initial Spread

Description Usage Arguments Value

View source: R/helpers-general.R

Description

compute initial spread of a bond from its market value.

Usage

1
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 4, 2018, 1:04 a.m.