bond_prices {termstrc} | R Documentation |
Function for the calculation of bond prices according to the chosen approach (Nelson and Siegel or Svensson) based on the cashflows and maturities of the bonds.
bond_prices(method = "Nelson/Siegel", beta, m, cf)
method |
defines the desired method, "Nelson/Siegel" for the Nelson/Siegel approach
or "Svensson" for the Svensson approach |
beta |
parameter vector, is linked to the chosen approach |
m |
maturities matrix, consists of the maturity dates which are appended to the cashflows of the bonds |
cf |
cashflows matrix |
Returns a list with:
spot_rates |
spot rates |
discount_factors |
discount factors |
bond_prices |
bond prices |
Robert Ferstl, Josef Hayden
David Bolder and David Streliski (1999): Yield Curve Modelling at the Bank of Canada.Technical Report No 84 Bank of Canada