yield_cfs_single: Yield or IRR for a Single Set of Cashflows

In Tsunamical28/mdpr: Municipal Data and Pricing

Description

Used as the backbone for all yield calculations. This function uses discount_cfs_single to generate the cashflows' yearfracs from the settlement date. The ytm function from the NMOF manual is used to calculate the yield, with a 5% initial guess.

Usage

yield_cfs_single(cfs, settle, coupon, conv = "30/360", freq = 2, clean_px)

Arguments

cfs	Cashflows tbl_df
settle	Settlement Date
coupon	Annnual coupon amount
conv	Daycount convention (one of "30/360", "Act/Act", or "Act/365")
freq	Coupon frequency (number of periods per year)
clean_px	The clean price of the bond

Value

Numeric value of the yield/IRR for the given cashflows and price

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; risk_cfs_single

Examples

cfs <- create_cashflows("2045-02-15", 2.5, "2015-05-07", "Act/Act", 2, 100, "ABCD")
yield_cfs_single(cfs, "2015-05-07", 4, "30/360", 2, 101)

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