BondTermStructure: A function to calculate a bond key rate duration

In glennmschultz/BondLab: BondLab is a package for the analysis of fixed-income securities

Description

This is a generic function used to contruct the object BondTermStructure

Usage

BondTermStructure(
  bond.id,
  Rate.Delta = 0.5,
  TermStructure,
  principal,
  price,
  cashflow
)

Arguments

bond.id	A character string referencing an object of type bond details.
Rate.Delta	A numeric value the rate delta used to calcualte the bond KRDs. Default value is 0.50. Do not change this unless you know what you are doing.
TermStructure	A character string referencing an object of typre TermStructure.
principal	A numeric value the principal or face amount of the bond.
price	A character the price of the bond
cashflow	A character string referencing an object of the BondCashFlow.

glennmschultz/BondLab documentation built on May 11, 2021, 5:29 p.m.