bond: Bond pricing

In risktoollib/RTL: Risk Tool Library - Trading, Risk, 'Analytics' for Commodities

Bond pricing

Description

Compute bond price, cash flow table or duration

Usage

bond(ytm = 0.05, C = 0.05, T2M = 1, m = 2, output = "price")

Arguments

ytm	Yield to Maturity. numeric
C	Coupon rate per annum. numeric
T2M	Time to maturity in years. numeric
m	Periods per year for coupon payments e.g semi-annual = 2. numeric
output	"price", "df" or "duration". character

Value

Returns price numeric, cash flows tibble, or duration numeric

Author(s)

Philippe Cote

Examples

bond(ytm = 0.05, C = 0.05, T2M = 1, m = 2, output = "price")
bond(ytm = 0.05, C = 0.05, T2M = 1, m = 2, output = "df")
bond(ytm = 0.05, C = 0.05, T2M = 1, m = 2, output = "duration")

risktoollib/RTL documentation built on April 17, 2024, 1:35 p.m.