PriceChange: Price Change of a Bond

Description Usage Arguments Value

Description

Calculates the Price Change of a Bond with the maturity date, calculation date, coupon rate, YTM of the Bond and Yield change

Usage

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2
PriceChange(mat, day, tcoupn, sobretasa, yield, period = 182,
  cyield = 1e-04)

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

cyield

is the change in the yield, by default is set to 1 bps.

Value

the Price Change in the Bond


CIAssetManagement/FundTools documentation built on May 3, 2019, 4:30 p.m.