Discount margin for floating-rate bond
calculates the discount margin or zero discount margin for a floating-rate
bond.Margin
= floatdiscmargin(Price
,Spread
Settle
,Maturity
,RateInfo
,LatestFloatingRate
)
The input RateInfo
determines whether the discount margin
or the zero discount margin is calculated. Principal schedules are supported
using Principal
.
adds optional name-value pair arguments. Margin
= floatdiscmargin(___,Name,Value
)
[1] Fabozzi, Frank J., Mann, Steven V. Floating-Rate Securities. John Wiley and Sons, New York, 2000.
[2] Fabozzi, Frank J., Mann, Steven V. Introduction to Fixed Income Analytics: Relative Value Analysis, Risk Measures and Valuation. John Wiley and Sons, New York, 2010.
[3] O'Kane, Dominic, Sen, Saurav. “Credit Spreads Explained.” Lehman Brothers Fixed Income Quantitative Research, March 2004.
bndspread
| datetime
| floatmargin
| floatbyzero
(Financial Instruments Toolbox) | intenvset
(Financial Instruments Toolbox)