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
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