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]