R/d02_bondFullPrice.R

In bondAnalyst: Methods for Fixed-Income Valuation, Risk and Return

#'Calculates Present Value of the Full Price of the Bond including Accrued Interest.
#'@details
#'According to information provided by Adams and Smith (2019), the method \code{pvFullPrice()} is developed to calculate the Present Value of the Full Price of the Bond including Accrued Interest. Full Price of the Bond is the present value of the coupon interest and principal payments with each cash flow discounted by Yield-To-Maturity rate. Here, \code{n} is number of periods, \code{ytm} is yield-to-maturity, \code{coupon} is dollar value of the coupon payment, \code{maturityVal} is maturity Value, \code{daysCpnToSettle} is the number of days from the last coupon payment to the settlement date, and \code{daysCouponPeriod} is the number of days in the coupon period.
#'@param n A number.
#'@param ytm A number.
#'@param coupon A number.
#'@param maturityVal A number.
#'@param daysCpnToSettle A number.
#'@param daysCouponPeriod A number
#'@return Input values to six arguments  \code{n} , \code{ytm}, \code{coupon}, \code{maturityVal}, \code{daysCpnToSettle}, and \code{daysCouponPeriod}.
#'@importFrom Rdpack reprompt
#'@author MaheshP Kumar, \email{maheshparamjitkumar@@gmail.com}
#'@references
#'Adams,J.F. & Smith,D.J.(2019). Understanding Fixed‑Income Risk and Return. In CFA Program Curriculum 2020 Level I Volumes 1-6. (Vol. 5, pp. 237-299). Wiley Professional Development (P&T). ISBN 9781119593577, <https://bookshelf.vitalsource.com/books/9781119593577>
#'@examples
#'pvFullPrice(n=8*2,ytm=0.06/2,coupon=3,maturityVal=100,daysCpnToSettle=57,daysCouponPeriod=180)
#'pvFullPrice(n=10,ytm=0.104,coupon=8,maturityVal=100,daysCpnToSettle=0,daysCouponPeriod=0)
#'@export
pvFullPrice <- function( n, ytm, coupon, maturityVal, daysCpnToSettle,daysCouponPeriod){
  tT=daysCpnToSettle/daysCouponPeriod
  all = list(n, ytm, coupon, maturityVal, daysCpnToSettle,daysCouponPeriod)
  if (ytm < 0)
    stop("Note: ytm cannot be negative.")
  if (daysCpnToSettle == 0 | daysCouponPeriod == 0)
    tT=0
    den <- (coupon + maturityVal)/((1 + ytm)^(n-tT))
  for(i in 1:(n-1)){
    den <- den + (coupon/((1 + ytm)^(i-tT)))
  }
  (den = round(den, digits=4))
}