Bootstraps the semiannual nominal annual zero-coupon yields from par
coupon-bearing bond yields of the same maturities.
Usage
z_from_coupon_semi(maturity, coupon_yield, par = 1000)
Arguments
- maturity
Numeric vector of maturities in years, typically
0.5, 1.0, 1.5, ..., in increasing order.
- coupon_yield
Numeric vector of nominal annual coupon yields
convertible semiannually.
- par
Par value of each bond.
Value
Numeric vector of semiannual nominal annual spot rates.
Details
Both coupon yields and spot yields are interpreted as nominal annual rates
convertible semiannually.
Examples
maturity <- c(0.5, 1.0, 1.5, 2.0)
coupon_yield <- c(0.0244, 0.0260, 0.0276, 0.0293)
z_from_coupon_semi(maturity, coupon_yield)
#> [1] 0.02440000 0.02601041 0.02762959 0.02936142