bondPrice: Computing bond prices

Description Usage Arguments Details Value Note Author(s) References See Also Examples

View source: R/bondPrice.R

Description

This function computes the bond price, given the yield to maturity.

Usage

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bondPrice(buyDate, matDate, rateCoupon, yieldToMat, nPay)

Arguments

buyDate

the date at which the bond is bought (settlement date).

matDate

maturity date

rateCoupon

annual coupon date

yieldToMat

yield to maturity

nPay

number of coupon payments per day

Details

All the rates are given in decimals.

Value

A list with the following components:

yieldToMaturity

yield to maturity

flatPrice

flat price

daysSinceLastCoupon

days since previous coupon payment

daysInCouponPeriod

days in a coupon period

accruedInterest

accrued interest since last coupon payment

invoicePrice

invoice price (= flat price + accrued interest)

Note

With Excel functions PRICE, DATE, COUPDAYBS and COUPDAYS you can do the same.

Author(s)

Arto Luoma <arto.luoma@wippies.com>

References

Bodie, Kane, and Marcus (2014) Investments, 10th Global Edition, McGraw-Hill Education, (see Bond Pricing between Coupon Dates in Section 14.2).

See Also

solveYield

Examples

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bondPrice("2012-7-31","2018-7-31",0.0225,0.0079,2)
bondPrice("2012-7-31","2018-7-31",0.0225,0.0079,4)
bondPrice("2012-7-31","2030-5-15",0.0625,0.02117,2)

RcmdrPlugin.RiskDemo documentation built on April 6, 2021, 5:06 p.m.