bond_yields {termstrc}R Documentation

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

Author(s)

Robert Ferstl, Josef Hayden

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

Examples



[Package termstrc version 1.0 Index]