ZeroVolSpread-CurveSpreads-method: Zero Volatility Spread
In glennmschultz/BondLab: BondLab is a package for the analysis of fixed-income securities
Description
Usage
Arguments
See Also
Description
The bond spread over the spot rate curve. Within the OAS framework
the term is correctly applied. When calculated over a static sport rate curve
spot spread is a more appropriate description. Keeping with market convention the
term ZeroVolSpread is applied.
Usage
1
2
## S4 method for signature 'CurveSpreads'
ZeroVolSpread(object)
Arguments
object
An object of type CurveSpreads
See Also
Other Pricing:
BenchMark,CurveSpreads-method,
BillPriceToYield(),
BillYieldToPrice(),
CurveSpreads-class,
CurveSpreads,
SpreadToBenchmark,CurveSpreads-method,
SpreadToCurve,CurveSpreads-method,
SpreadToPriceBond(),
SpreadToPriceMBS(),
ZVSpreadToPriceBond(),
ZVSpreadToPriceMBS()
glennmschultz/BondLab documentation built on May 11, 2021, 5:29 p.m.
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Description Usage Arguments See Also
Description
The bond spread over the spot rate curve. Within the OAS framework the term is correctly applied. When calculated over a static sport rate curve spot spread is a more appropriate description. Keeping with market convention the term ZeroVolSpread is applied.
Usage
1 2 | ## S4 method for signature 'CurveSpreads'
ZeroVolSpread(object)
|
Arguments
object |
An object of type CurveSpreads |
See Also
Other Pricing:
BenchMark,CurveSpreads-method,
BillPriceToYield(),
BillYieldToPrice(),
CurveSpreads-class,
CurveSpreads,
SpreadToBenchmark,CurveSpreads-method,
SpreadToCurve,CurveSpreads-method,
SpreadToPriceBond(),
SpreadToPriceMBS(),
ZVSpreadToPriceBond(),
ZVSpreadToPriceMBS()
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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