Convexity: Convexity of a Bond

Description Usage Arguments Value

View source: R/fixedincome.R

Description

Calculates the Convexity of a Bond with the maturity date, calculation date, coupon rate and YTM of the Bond

Usage

1
Convexity(mat, day, tcoupn, sobretasa, yield, period = 182)

Arguments

mat

is the maturity date of the Bond

day

is the day in which the price is calculated

tcoupn

is the coupon rate of the bond (annualized)

sobretasa

is the spread of the coupon.

yield

is the Yield to Maturity of the Bond

period

is the time for every coupon payment

Value

the Convexity of the Bond


CIAssetManagement/FundTools documentation built on Sept. 27, 2018, 3:34 a.m.