bondPrice: Computing bond prices

In RcmdrPlugin.RiskDemo: R Commander Plug-in for Risk Demonstration

Computing bond prices

Description

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

Usage

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 <[e-mail]>

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

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 June 22, 2024, 7:06 p.m.