[R] 'R' and 'Yield to Maturity'

[Khanh Nguyen]

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
>
>
>
>
>
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