CurveSpreads-class: CurveSpreads
In glennmschultz/BondLab: BondLab is a package for the analysis of fixed-income securities
Description
A class representing the curve spreads used to determine relative
value in the fixed income markets.
Slots
BenchMarkThe maturity of the nearest maturity on the coupon pricing
curve.
SpreadToBenchmarkThe yield (nominal) spread of the bond over the nearest
maturity point along the coupon pricing curve.
SpreadToCurveThe yield spread over the interpolated point on the
coupon curve matching the bond's weighted average life.
ZeroVolSpreadThe spread over the spot rate curve. By market convention
this is referred to as the ZeroVolSpread, an output of the OAS model, outside an
OAS framework a more accurate reference to the measure is spread to the spot curve.
See Also
Other Pricing:
BenchMark,CurveSpreads-method,
BillPriceToYield(),
BillYieldToPrice(),
CurveSpreads,
SpreadToBenchmark,CurveSpreads-method,
SpreadToCurve,CurveSpreads-method,
SpreadToPriceBond(),
SpreadToPriceMBS(),
ZVSpreadToPriceBond(),
ZVSpreadToPriceMBS(),
ZeroVolSpread,CurveSpreads-method
glennmschultz/BondLab documentation built on May 11, 2021, 5:29 p.m.
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Description
A class representing the curve spreads used to determine relative value in the fixed income markets.
Slots
BenchMarkThe maturity of the nearest maturity on the coupon pricing curve.
SpreadToBenchmarkThe yield (nominal) spread of the bond over the nearest maturity point along the coupon pricing curve.
SpreadToCurveThe yield spread over the interpolated point on the coupon curve matching the bond's weighted average life.
ZeroVolSpreadThe spread over the spot rate curve. By market convention this is referred to as the ZeroVolSpread, an output of the OAS model, outside an OAS framework a more accurate reference to the measure is spread to the spot curve.
See Also
Other Pricing:
BenchMark,CurveSpreads-method,
BillPriceToYield(),
BillYieldToPrice(),
CurveSpreads,
SpreadToBenchmark,CurveSpreads-method,
SpreadToCurve,CurveSpreads-method,
SpreadToPriceBond(),
SpreadToPriceMBS(),
ZVSpreadToPriceBond(),
ZVSpreadToPriceMBS(),
ZeroVolSpread,CurveSpreads-method
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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