bond_prices: Bond Price Calculation

In changshun/termstrc: Zero-coupon Yield Curve Estimation

Description

Function for the calculation of bond prices according to the chosen approach (Diebold/Li, Nelson/Siegel, Svensson) based on the cashflows and maturities matrix of the bonds.

Usage

bond_prices(method = "ns", beta, m, cf, lambda)

Arguments

method	defines the desired method: "ns" for the Nelson/Siegel,"dl" for Diebold/Li, "sv" for the Svensson approach.
beta	parameter vector, is linked to the chosen approach.
m	maturities matrix, consists of the maturity dates which are appended to the cashflows of the bonds.
cf	cashflows matrix.
lambda	additional parameter for the "dl" spot rate function

Value

Returns a list with:

spot_rates	spot rates matrix
discount_factors	discount factors matrix
bond_prices	bond prices vector

See Also

spotrates

Examples

data(govbonds)
cf <- create_cashflows_matrix(govbonds[[1]])
m <- create_maturities_matrix(govbonds[[1]])
beta <- c(0.0511,-0.0124,-0.0303,2.5429)
bond_prices(method="ns",beta,m,cf)$bond_prices

changshun/termstrc documentation built on May 13, 2019, 3:24 p.m.