Dear R helpers
I am calculating the 'Yield to Maturity' for the Bond with following
characteristics.
Its a $1000 face value, 3 year bond with 10% annual coupon and is priced at 101.
The yield to maturity can be calculated after solving the equation -
1010 = [100 / (1+ytm)] + [100 / (1+ytm)^2] + [ 1100 / (1 + ytm)^3]
This can be solved by trial and error method s.t. ytm = 9.601%.
My query is (1) if there is any R package which will calcualte ytm or (2) is
there any method in 'R' which can solve the above equation.
Thanking you all in advance
Regards
Madhavi
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Madhavi Bhave wrote:> Dear R helpers > > I am calculating the 'Yield to Maturity' for the Bond with following characteristics. > > Its a $1000 face value, 3 year bond with 10% annual coupon and is priced at 101. The yield to maturity can be calculated after solving the equation - > > 1010 = [100 / (1+ytm)] + [100 / (1+ytm)^2] + [ 1100 / (1 + ytm)^3] > > This can be solved by trial and error method s.t. ytm = 9.601%. >Why don't you use sage, for example: sage: var('ytm'); sage: eqn = 1010 == (100/(1+ytm) + 100/(1+ytm)^2 + 1100/(1+ytm)^3); sage: [solution.right().n() for solution in solve(eqn, ytm)][2] 0.0960070882662794 The third value is the only real solution. There may be an R package for doing that, but I don't know one. Best regards, Craig> > My query is (1) if there is any R package which will calcualte ytm or (2) is there any method in 'R' which can solve the above equation. > > Thanking you all in advance > > Regards > > Madhavi > > > > > > Your Mail works best with the New Yahoo Optimized IE8. Get it NOW! http://downloads.yahoo.com/in/internetexplorer/ > [[alternative HTML version deleted]] > > > ------------------------------------------------------------------------ > > ______________________________________________ > R-help at r-project.org mailing list > https://stat.ethz.ch/mailman/listinfo/r-help > PLEASE do read the posting guide http://www.R-project.org/posting-guide.html > and provide commented, minimal, self-contained, reproducible code. >
If you know the likely range, uniroot would do it. f.ytm<-function(ytm) 100 / (1+ytm) +100 / ((1+ytm)^2) + 1100 / ((1 + ytm)^3) -1010 uniroot(f.ytm, interval=c(0,25)) #$root has the answer>>> "Craig P. Pyrame" <crappyr at gmail.com> 01/02/2010 10:19 >>>Madhavi Bhave wrote:> Dear R helpers > > I am calculating the 'Yield to Maturity' for the Bond with followingcharacteristics.> > Its a $1000 face value, 3 year bond with 10% annual coupon and ispriced at 101. The yield to maturity can be calculated after solving the equation -> > 1010 = [100 / (1+ytm)] + [100 / (1+ytm)^2] + [ 1100 / (1 + ytm)^3] > > This can be solved by trial and error method s.t. ytm = 9.601%. >Why don't you use sage, for example: sage: var('ytm'); sage: eqn = 1010 == (100/(1+ytm) + 100/(1+ytm)^2 + 1100/(1+ytm)^3); sage: [solution.right().n() for solution in solve(eqn, ytm)][2] 0.0960070882662794 The third value is the only real solution. There may be an R package for doing that, but I don't know one. Best regards, Craig> > My query is (1) if there is any R package which will calcualte ytm or(2) is there any method in 'R' which can solve the above equation.> > Thanking you all in advance > > Regards > > Madhavi > > > > > > Your Mail works best with the New Yahoo Optimized IE8. Get itNOW! http://downloads.yahoo.com/in/internetexplorer/> [[alternative HTML version deleted]] > > >------------------------------------------------------------------------> > ______________________________________________ > R-help at r-project.org mailing list > https://stat.ethz.ch/mailman/listinfo/r-help > PLEASE do read the posting guidehttp://www.R-project.org/posting-guide.html> and provide commented, minimal, self-contained, reproducible code. >______________________________________________ R-help at r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code. ******************************************************************* This email and any attachments are confidential. Any use...{{dropped:8}}
Dear Sir, That was GREAT!!!. Thanks a lot for the solution. Once again it showed how powerful 'R' is otherwise I was breaking my head on Newton-Raphson method. Thanks again Sir. That was really superb. Madhavi --- On Mon, 1/2/10, S Ellison <S.Ellison@lgc.co.uk> wrote: From: S Ellison <S.Ellison@lgc.co.uk> Subject: Re: [R] 'R' and 'Yield to Maturity' To: "Craig P. Pyrame" <crappyr@gmail.com>, "Madhavi Bhave" <madhavi_bhave@yahoo.com> Cc: r-help@r-project.org Date: Monday, 1 February, 2010, 3:41 AM If you know the likely range, uniroot would do it. f.ytm<-function(ytm) 100 / (1+ytm) +100 / ((1+ytm)^2) + 1100 / ((1 + ytm)^3) -1010 uniroot(f.ytm, interval=c(0,25)) #$root has the answer>>> "Craig P. Pyrame" <crappyr@gmail.com> 01/02/2010 10:19 >>>Madhavi Bhave wrote:> Dear R helpers > > I am calculating the 'Yield to Maturity' for the Bond with followingcharacteristics.> > Its a $1000 face value, 3 year bond with 10% annual coupon and ispriced at 101. The yield to maturity can be calculated after solving the equation -> > 1010 = [100 / (1+ytm)] + [100 / (1+ytm)^2] + [ 1100 / (1 + ytm)^3] > > This can be solved by trial and error method s.t. ytm = 9.601%. >Why don't you use sage, for example: sage: var('ytm'); sage: eqn = 1010 == (100/(1+ytm) + 100/(1+ytm)^2 + 1100/(1+ytm)^3); sage: [solution.right().n() for solution in solve(eqn, ytm)][2] 0.0960070882662794 The third value is the only real solution. There may be an R package for doing that, but I don't know one. Best regards, Craig> > My query is (1) if there is any R package which will calcualte ytm or(2) is there any method in 'R' which can solve the above equation.> > Thanking you all in advance > > Regards > > Madhavi > > > > > > Your Mail works best with the New Yahoo Optimized IE8. Get itNOW! http://downloads.yahoo.com/in/internetexplorer/> [[alternative HTML version deleted]] > > >------------------------------------------------------------------------> > ______________________________________________ > R-help@r-project.org mailing list > https://stat.ethz.ch/mailman/listinfo/r-help > PLEASE do read the posting guidehttp://www.R-project.org/posting-guide.html> and provide commented, minimal, self-contained, reproducible code. >______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code. ******************************************************************* This email and any attachments are confidential. Any use...{{dropped:15}}
You can look at package RQuantLib from here http://cran.r-project.org/web/views/Finance.html -k On Mon, Feb 1, 2010 at 4:43 AM, Madhavi Bhave <madhavi_bhave at yahoo.com> wrote:> Dear R helpers > > I am calculating the 'Yield to Maturity' for the Bond with following characteristics. > > Its a $1000 face value, 3 year bond with 10% annual coupon and is priced at 101. The yield to maturity can be calculated after solving the equation - > > 1010 = [100 / (1+ytm)]? + [100 / (1+ytm)^2] + [ 1100 / (1 + ytm)^3] > > This can be solved by trial and error method s.t. ytm = 9.601%. > > My query is (1) if there is any R package which will calcualte ytm or (2) is there any method in 'R' which can solve the above equation. > > Thanking you all in advance > > Regards > > Madhavi > > > > > > ? ? ?Your Mail works best with the New Yahoo Optimized IE8. Get it NOW! http://downloads.yahoo.com/in/internetexplorer/ > ? ? ? ?[[alternative HTML version deleted]] > > > ______________________________________________ > R-help at r-project.org mailing list > https://stat.ethz.ch/mailman/listinfo/r-help > PLEASE do read the posting guide http://www.R-project.org/posting-guide.html > and provide commented, minimal, self-contained, reproducible code. > >