yield curve: Yield curve in BondProc

In zzawadz/BondProc: Some functions for bonds

Description

This page describes usage of yield curve in BondProc packages.

Details

Yield curve in Bond proc can be specyfied in four different ways:

• signle numeric - this is considered as a flat yield curve

• multiple numeric - this should have the same length as number of payments for specific bond, otherwise behavior of all functions is undefined. THIS OPTION IS NOT SUPPORTED BY bondBasket

• function of time - yield curve can be passed as a function of time, see examples

• NelsonSiegel - Nelson-Siegel model

Author(s)

Zygmunt Zawadzki

Examples

bond = newBond(face=100,maturity=10,coupon=0.1,n.pay=6)

# Valuation of bonds

# Using sigle value
getBondPrice(bond,r= 0.1)

# Using multiple values
r = seq(1,10,length.out=60)/100
getBondPrice(bond,r)

# yield curve as a function
rf <- function(t) (t*2)/100
getBondPrice(bond,rf)

# Using Nelson-Siegel model
ns = newNelsonSiegel(alpha1=0.06,0.03,0.02,1)
getBondPrice(bond,ns)

zzawadz/BondProc documentation built on May 5, 2019, 2:39 a.m.