SomeBonds2016: Properties of 100 plain vanilla fixed coupon corporate bonds.

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

Properties 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(SomeBonds2016)

Format

A data frame with 100 rows and 12 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.

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