bond_prices {termstrc}R Documentation

Bond Price Calculation

Description

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.

Usage

bond_prices(method = "Nelson/Siegel", beta, m, cf)

Arguments

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

Value

Returns a list with:

spot_rates spot rates
discount_factors discount factors
bond_prices bond prices

Note

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

svensson, nelson_siegel


[Package termstrc version 1.0 Index]