bondAnalyst (version 1.0.1)

pricingWithGspread: Calculates Bond Price using given values of G-Spread and yield-to-maturity for the government benchmark bond.

Description

Calculates Bond Price using given values of G-Spread and yield-to-maturity for the government benchmark bond.

Usage

pricingWithGspread(coupons, t, mv, n, ytmBenchGovtBond, Gspread)

Value

Input values to six arguments coupons ,t, mv,n, ytmBenchGovtBond, and Gspread.

Arguments

coupons

A vector.

t

A vector.

mv

A number.

n

A number.

ytmBenchGovtBond

A number.

Gspread

A number.

Author

MaheshP Kumar,

Details

According to information provided by Adams and Smith (2019), the method pricingWithGspread is developed to compute Bond Price using the given values of G-Spread and the yield-to-maturity for the government benchmark bond. Here, coupons is vector of Coupon Payments,t is a vector of number of years ranging from 1 to any specified number of years under consideration, mv is maturity value of the bond, n is number of years, ytmBenchGovtBond is the yield-to-maturity for the government benchmark bond, and Gspread is given value of G-spread.

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

Examples

pricingWithGspread(coupons=c(6,6), t=c(1,2),mv=100,n=2,ytmBenchGovtBond=0.03605, Gspread=0.02327)
pricingWithGspread(coupons=c(5,5,5),t=c(1,2,3),mv=100,n=3,ytmBenchGovtBond=0.01913,Gspread=0.0285)
pricingWithGspread(coupons=c(60,60),t=c(1,2),mv=1000,n=2,ytmBenchGovtBond=0.03605,Gspread=0.02327)