risk_cfs_single: DV01 and Other Risks for a Single Set of Cashflows

In Tsunamical28/mdpr: Municipal Data and Pricing

Description

Used as the backbone for all DV01 and risk calculations. This function uses discount_cfs_single to calculate the important risk metrics.

Usage

risk_cfs_single(cfs, settle, yield, conv = "30/360", freq = 2,
  returnCFs = TRUE)

Arguments

cfs	Cashflows tbl_df
settle	Settlement Date
yield	Yield or IRR used to discount the cashflows
conv	Daycount convention (one of "30/360", "Act/Act", or "Act/365")
freq	Coupon frequency (number of periods per year)
returnCFs	Boolean flag indicating whether or not to return the calculated set of cashflows and risk metrics

Value

Numeric value of the DV01 and other risks for the given cashflows and yield or the full calculated set of risks by cashflow

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_yield, calc_yield.bond, calc_yield.default; calc_ytm; discount_cfs_single; yield_cfs_single

Examples

cfs <- create_cashflows("2045-02-15", 2.5, "2015-05-07", "Act/Act", 2, 100, "ABCD")
risk_cfs_single(cfs, "2015-05-07", 4, "30/360", 2, TRUE)

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