ZVSpreadToPriceBond: ZV 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 via PriceTypes object given a spread to the spot rate curve. Market convention is to quote spread to a the spot rate curve in basis points. Bond Lab follows the market convection. The user specified spread to the benchmark in basis points.

Usage

ZVSpreadToPriceBond(bond.id, settlement.date, term.structure, ZV.spread)

Arguments

bond.id	a character or connection to object of type BondDetails
settlement.date	a character the settlement date 'mm-dd-yyyy'
term.structure	a character string referencing a term structure object
ZV.spread	a character the spread to the spot rate curve quoted in basis points

See Also

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

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