The time in years expressed in decimal format (i.e. 3 years 6 months = 3.5) until the bond matures.
couponPayments
An array where the first term corresponds to the first coupon and the second term corresponds to the second coupon and so on.
time2Coupons
An array where the first term corresponds to the time until the first coupon payment and the second term corresponds to the time until the second payments and so on.
zeroRates
An array where the first term corresponds to the zero rate of the maturity of the first coupon payment and the second term corresponds to the zero rate of the second coupon payment. Note that, each of the zero rates for each maturity is given in decimal format (for example, 5 percent = 0.05).
marketPrice
The market price of the coupon paying bond.
principleSum
The principle sum of the coupon paying bond which is repaid at the maturity of the bond.
Return Value
The zero rate of the bond in decimal format (i.e. 0.01 = 1 percent).
Remarks
It allows
the zero rate to be deduced from the market price of a coupon paying bond for the maturity
of the coupon paying bond. The zero rates of maturities corresponding to the time from the
coupon payment until the maturity of the bond must be known.
Remark: This procedure can to applied to the construction of the zero rate curve
(i.e. the zero rate against the maturity of the interest rate asset).