computingGspread: Calculates the G-Spread which is the spread between the yields-to-maturity on the corporate bond and that of government bond having the same maturity.
Description
Calculates the G-Spread which is the spread between the yields-to-maturity on the corporate bond and that of government bond having the same maturity.
Usage
computingGspread(ytmCorpBond, ytmBenchGovtBond)
Value
Input values to two arguments ytmCorpBond and ytmBenchGovtBond.
According to information provided by Adams and Smith (2019), the method computingGspread() is developed to calculate G-Spread for given values of yields-to-maturity on the corporate bond and that of government bond having the same maturity. Here, ytmCorpBond stands for yields-to-maturity on the corporate bond and ytmBenchGovtBond denotes yields-to-maturity on government bond with the same maturity. An output with the value 0.02327 means G-Spread of 232.7 bps.
References
Adams,J.F. & Smith,D.J.(2019). Introduction to fixed-income valuation. In CFA Program Curriculum 2020 Level I Volumes 1-6. (Vol. 5, pp. 107-151). Wiley Professional Development (P&T). ISBN 9781119593577, https://bookshelf.vitalsource.com/books/9781119593577