PanelSomeBonds2016: A panel of of 100 plain vanilla fixed coupon corporate bonds.

In BondValuation: Fixed Coupon Bond Valuation Allowing for Odd Coupon Periods and Various Day Count Conventions

A panel of of 100 plain vanilla fixed coupon corporate bonds.

Description

A simulated dataset of 100 plain vanilla fixed coupon corporate bonds issued in 2016.

Usage

data(PanelSomeBonds2016)

Format

A data frame with 12718 rows and 16 variables:

ID.No

Identification number of the security.

Coup.Type

Type of the bond's coupon.

Issue.Date

The bond's issue date. Object of class Date with format "%Y-%m-%d".

FIAD.Input

Date on which the interest accrual starts (so-called "dated date"). Object of class Date with format "%Y-%m-%d".

FIPD.Input

First interest payment date after Issue.Date. Object of class Date with format "%Y-%m-%d".

LIPD.Input

Last interest payment date before Mat.Date. Object of class Date with format "%Y-%m-%d".

Mat.Date

So-called "maturity date" i.e. date on which the redemption value and the final interest are paid. Object of class Date with format "%Y-%m-%d".

CpY.Input

Number of interest payments per year. Object of class numeric.

Coup.Input

The nominal interest p.a. of the bond in percent. Object of class numeric.

RV.Input

The face value (= redemption value, par value) of the bond in percent.

DCC.Input

The day count convention the bond follows. Type ?AccrInt for details.

EOM.Input

Boolean indicating whether the bond follows the End-of-Month rule.

TradeDate

The calendar date on which the clean price was observed.

SETT

The settlement date that corresponds to TradeDate.

CP.Input

The clean price of the bond on TradeDate.

YtM.Input

The annualized yield to maturity of the bond on TradeDate.

BondValuation documentation built on May 30, 2022, 1:08 a.m.