initialSpread

a numeric value, the total market value for the bond.

market.value

a numeric vector, the times of the coupons.

times

a numeric vector, the corresponding coupon cash flows.

coupons

a numeric vector, the corresponding risk-free rates with
continuous compounding.

risk.free

additional parameters to be passed to <code>newtonRaphson</code>.

compute initial spread of a bond from its market value.

Framework for the implementation of solvency related computations based on
standard models for the Swiss Solvency Test (SST), a risk-based capital standard for Swiss
insurance companies. Allows Monte Carlo simulation of market risk, some insurance risks and
their aggregation. Additional toolbox for preprocessing computations. Convenient 'shiny' GUI
combined with a parser for an input 'excel' (.xlsx) template to simplify model configuration,
data fill-in and results visualization.

initialSpread: Compute Initial Spread

Description

Usage

Arguments

Value