bond_yields {termstrc} | R Documentation |
Function for the calculation of bond yields.
bond_yields(cashflows, m, tol = 1e-10)
cashflows |
matrix with the bonds cashflows |
m |
maturity matrix |
tol |
desired accuracy for function uniroot |
matrix with the bond yields and the associated maturities
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