approxBondReturn

Approximate the total return of a bond by its current yield,
 duration and convexity.

Functions, examples and data from the first and
the second edition of "Numerical Methods and Optimization in
Finance" by M. Gilli, D. Maringer and E. Schumann (2019,
ISBN:978-0128150658).  The package provides implementations
of optimisation heuristics (Differential Evolution, Genetic
Algorithms, Particle Swarm Optimisation, Simulated Annealing
and Threshold Accepting), and other optimisation tools, such
as grid search and greedy search.  There are also functions
for the valuation of financial instruments such as bonds and
options, for portfolio selection and functions that help
with stochastic simulations.

Enrico Schumann

NMOF

Numerical Methods and Optimization in Finance

approxBondReturn function

<dl> <dt>yield</dt>
<dd>a numeric vector</dd> <dt>tm</dt>
<dd>a numeric vector: time-to-maturity</dd> <dt>n</dt>
<dd>number of coupon payments per period</dd> <dt>scale</dt>
<dd>how to scale yield; see Details</dd> <dt>pad</dt>
<dd>how to pad the first observation: <code>NULL</code> (default) means to
 drop it; useful alternatives are <code><a href="/link/NA?package=NMOF&version=2.10-0" data-mini-rdoc="NMOF::NA">NA</a></code> or <code>0</code></dd></dl>

Arguments

Author

Approximate Total Return of Bond — approxBondReturn

<dl>

 <dt>yield</dt>
<dd>a numeric vector</dd>

 <dt>tm</dt>
<dd>a numeric vector: time-to-maturity</dd>

 <dt>n</dt>
<dd>number of coupon payments per period</dd>

 <dt>scale</dt>
<dd>how to scale yield; see Details</dd>

 <dt>pad</dt>
<dd>how to pad the first observation: <code>NULL</code> (default) means to
 drop it; useful alternatives are <code><a href='https://rdrr.io/r/base/NA.html'>NA</a></code> or <code>0</code></dd>

</dl>

approxBondReturn: Approximate Total Return of Bond

Description

Usage

Value

Arguments

Author

Details

References

Examples