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Discount margin for floating-rate bond

`Margin = floatdiscmargin(Price,SpreadSettle,Maturity,RateInfo,LatestFloatingRate)`

`Margin = floatdiscmargin(___,Name,Value)`

calculates the discount margin or zero discount margin for a floating-rate
bond.`Margin`

= floatdiscmargin(`Price`

,`Spread`

`Settle`

,`Maturity`

,`RateInfo`

,`LatestFloatingRate`

)

The input `RateInfo`

determines whether the discount margin
or the zero discount margin is calculated. Principal schedules are supported
using `Principal`

.

adds optional name-value pair arguments. `Margin`

= floatdiscmargin(___,`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.

[3] O'Kane, Dominic, Sen, Saurav. *“Credit Spreads
Explained.”* Lehman Brothers Fixed Income Quantitative
Research, March 2004.

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