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BondValuation: Fixed Coupon Bond Valuation Allowing for Odd Coupon Periods and Various Day Count Conventions
Analysis of large datasets of fixed coupon bonds, allowing for irregular first and last coupon periods and various day count conventions. With this package you can compute the yield to maturity, the modified and MacAulay durations and the convexity of fixed-rate bonds. It provides the function AnnivDates, which can be used to evaluate the quality of the data and return time-invariant properties and temporal structure of a bond.
Getting started
Browse package contents
Package details |
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| Author | Djatschenko Wadim [aut, cre] |
| Maintainer | Djatschenko Wadim <wadim.djatschenko@gmx.de> |
| License | GPL-3 |
| Version | 0.1.1 |
| Package repository | View on CRAN |
| Installation |
Install the latest version of this package by entering the following in R:
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