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.

See Also

svensson, nelson_siegel


[Package termstrc version 1.1 Index]