SpreadToPriceBond: Spread to Price Bond

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

Description

returns the clean price of a bond given via PriceTypes object given a spread and benchmark. market convention is to quote spread to a benchmark in basis points. Bond Lab follows the market convection. The user specified spread to the benchmark in basis points.

Usage

SpreadToPriceBond(
  bond.id,
  rates.data,
  settlement.date,
  spread,
  benchmark = NULL
)

Arguments

bond.id	a character or connection referencing an object of type BondDetails
rates.data	a character the referencing a curve object
settlement.date	a character the settlement.date
spread	the spread to the benchmark given in basis points.
benchmark	the pricing benchmark. The default is NULL in which case the function will determine the nearest pricing benchmark. The user override values are 1, 2, 3, 4, 5, 7, 10, 30

See Also

Other Pricing: BenchMark,CurveSpreads-method, BillPriceToYield(), BillYieldToPrice(), CurveSpreads-class, CurveSpreads, SpreadToBenchmark,CurveSpreads-method, SpreadToCurve,CurveSpreads-method, SpreadToPriceMBS(), ZVSpreadToPriceBond(), ZVSpreadToPriceMBS(), ZeroVolSpread,CurveSpreads-method

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