SplitFloaterInverse: Split Bond to Floater Inverse Floater

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

Description

Structuring function to split a bond into a floater and inverse floating rate bond. The optional arguments will determine the principal balance of the floating rate bond. Select either inverse.multiplier or inverse.percentage

Usage

SplitFloaterInverse(
  floater.margin,
  bond.coupon,
  bond.balance,
  index,
  ...,
  inverse.multiplier = NULL,
  inverse.percentage = NULL
)

Arguments

floater.margin	the floater rate bond's margin to index
bond.coupon	the coupon of the parent bond
bond.balance	the principal balance of the parent bond
index	the floating rate index to which the floating bond is struck
...,	optional arguments follow select either inverse.muliplier or inverse.percentage
inverse.multiplier	the inverse bond's multipler to the floating index
inverse.percentage	the percentage balance of the inverse bond relative to the parent bond

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