ConvertChangeInYield2Price: Convert change in yield-to-maturity to price for fixed-income...
In R-Finance/Meucci: Collection of functionality ported from the MATLAB code of Attilio Meucci.
Description
Usage
Arguments
Value
Author(s)
References
Description
Convert change in yield-to-maturity to price for
fixed-income securities, as described in A. Meucci "Risk
and Asset Allocation", Springer, 2005.
Usage
1
2
ConvertChangeInYield2Price(Exp_DY, Cov_DY, Times2Mat,
CurrentPrices)
Arguments
Exp_DY
[vector] (N x 1) expected value of change
in yield to maturity
Cov_DY
[matrix] (N x N) covariance of change in
yield to maturity
Times2Mat
[scalar] time to maturity
CurrentPrices
[vector] (N x 1) current prices
Value
Exp_Prices [vector] (N x 1) expected prices
Cov_Prices [matrix] (N x N) covariance of prices
Author(s)
Xavier Valls flamejat@gmail.com
References
A. Meucci - "Exercises in Advanced Risk and Portfolio
Management" http://symmys.com/node/170, See
Meucci's script for "ConvertChangeInYield2Price.m".
A. Meucci - "Risk and Asset Allocation"-Springer (2005).
See (6.77)-(6.79).
R-Finance/Meucci documentation built on May 8, 2019, 3:52 a.m.
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Description Usage Arguments Value Author(s) References
Description
Convert change in yield-to-maturity to price for fixed-income securities, as described in A. Meucci "Risk and Asset Allocation", Springer, 2005.
Usage
1 2 | ConvertChangeInYield2Price(Exp_DY, Cov_DY, Times2Mat,
CurrentPrices)
|
Arguments
Exp_DY |
[vector] (N x 1) expected value of change in yield to maturity |
Cov_DY |
[matrix] (N x N) covariance of change in yield to maturity |
Times2Mat |
[scalar] time to maturity |
CurrentPrices |
[vector] (N x 1) current prices |
Value
Exp_Prices [vector] (N x 1) expected prices
Cov_Prices [matrix] (N x N) covariance of prices
Author(s)
Xavier Valls flamejat@gmail.com
References
A. Meucci - "Exercises in Advanced Risk and Portfolio Management" http://symmys.com/node/170, See Meucci's script for "ConvertChangeInYield2Price.m".
A. Meucci - "Risk and Asset Allocation"-Springer (2005). See (6.77)-(6.79).
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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