termstrc (version 1.0)

bond_yields: Bond Yield Calculation

Description

Function for the calculation of bond yields.

Usage

bond_yields(cashflows, m, tol = 1e-10)

Arguments

cashflows

matrix with the bonds cashflows

m

maturity matrix

tol

desired accuracy for function uniroot

Value

• matrix with the bond yields and the associated maturities

References

David Bolder and David Streliski (1999): Yield Curve Modelling at the Bank of Canada.Technical Report No 84 Bank of Canada

See Also

uniroot