GARPFRM
Global Association of Risk Professionals: Financial Risk Manager

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bondConvexity: Calculate the convexity of a fixed rate coupon bond

bondConvexity: Calculate the convexity of a fixed rate coupon bond
In GARPFRM: Global Association of Risk Professionals: Financial Risk Manager

Description Usage Arguments Value Author(s) Examples

Description

This function estimates the convexity of a fixed rate coupon bond given the discount curve and bond data.

Usage

1
bondConvexity(bond, discountCurve)

Arguments

bond

a bond object in discountFactorArbitrage

discountCurve

vector of discount rates

Value

convexity of the bond

Author(s)

Thomas Fillebeen

Examples

1
2
3
4
time = seq(from=0.5, to=2, by=0.5)
DF = rbind(0.968,0.9407242,0.9031545,0.8739803)
bond = bondSpec(time, face=100, m=2, couponRate = 0.0475)
convexity = bondConvexity(bond,DF)

GARPFRM documentation built on May 2, 2019, 5:45 p.m.

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