sstModel: initialSpread – R documentation

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initialSpread

Compute Initial Spread

compute initial spread of a bond from its market value.

initialSpread(market.value, times, coupons, risk.free, ...)

`market.value`	a numeric value, the total market value for the bond.
`times`	a numeric vector, the times of the coupons.
`coupons`	a numeric vector, the corresponding coupon cash flows.
`risk.free`	a numeric vector, the corresponding risk-free rates with continuous compounding.
`...`	additional parameters to be passed to `newtonRaphson`.

a numeric value, the corresponding spread.

Swiss Solvency Test (SST) Standard Models

v1.0.0

GPL-3 + file LICENSE

Authors

Loris Michel [aut], Melvin Kianmanesh Rad [aut], Adrien Lamit [aut], Michael Schmutz [cre], Swiss Financial Market Supervisory Authority FINMA [cph]

Initial release