calc_yield: Calculate Yield to Worst of a Bond

In Tsunamical28/mdpr: Municipal Data and Pricing

Description

Given a bond or the necessary parameters to construct one, this will calculate the yield to worst of the bond. The workout dates used are the based on the cfs object's last cashflow dates in the bond. This function uses yield_cfs_single, which in turn uses the calc_ytm to do the actual calculations.

Usage

calc_yield(x, ...)

## Default S3 method:
calc_yield(maturity, settle, coupon, clean_px,
  conv = "30/360", freq = 2)

## S3 method for class 'bond'
calc_yield(b, settle, clean_px)

Arguments

maturity	Maturity/Workout date
settle	Settlement Date
coupon	Annnual coupon amount
clean_px	The clean price of the bond
conv	Daycount convention (one of "30/360", "Act/Act", or "Act/365")
freq	Coupon frequency (number of periods per year)
b	A bond object

Value

Numeric value of the yield to worst and corresponding worst workout date if there are multiple sets of cashflows in the bond

See Also

Other pricing functions: acc_int; calc_clean_px, calc_clean_px.bond, calc_clean_px.default; calc_dirty_px, calc_dirty_px.bond, calc_dirty_px.default; calc_dv01, calc_dv01.bond, calc_dv01.default, calc_risk, calc_risk.bond, calc_risk.default; calc_ytm; discount_cfs_single; risk_cfs_single; yield_cfs_single

Examples

calc_yield("2045-02-15", "2015-02-15", 4, 101, "Act/Act", 2)
b <- bond("2045-02-15", 2.5, "2015-02-17", "Act/Act", 2, 100, id = "ABCD")
calc_yield(b, "2015-05-15", 101)

Tsunamical28/mdpr documentation built on May 9, 2019, 5:15 p.m.