Margin measures for floating-rate bond
[
calculates margin measures for a floating-rate bond. Margin
,AdjPrice
] = floatmargin(Price
,Spread
Settle
,Maturity
)
Use floatmargin
to calculate the following types of margin
measures for a floating-rate bond:
Spread for life
Adjusted simple margin
Adjusted total margin
To calculate the discount margin or zero discount margin, see
floatdiscmargin
.
[
adds optional name-value pair arguments. Margin
,AdjPrice
] = floatmargin(___,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.