CurveSpreads: Compute Curve Spreads

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

Description

Given proceeds, coupon curve, term structure, and cashflow compute the curve spreads used to determine relative value in the fixed income markets. the function returns the class CurveSpreads which contains the Benchmark, SpreadToBenchMark, SpreadToCurve, and ZeroVolSpread.

Usage

CurveSpreads(rates.data, CashFlow, TermStructure, proceeds)

Arguments

rates.data	a character string referencing a rates.data object.
CashFlow	a character string referencing an object of type MBSCashFlow or BondCashFlow
TermStructure	a character string referencing an object of type TermStructure
proceeds	a numeric value the investor trade proceeeds.

See Also

Other Pricing: BenchMark,CurveSpreads-method, BillPriceToYield(), BillYieldToPrice(), CurveSpreads-class, 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.