bondsimple: Simple Bond Functions

In derivmkts: Functions and R Code to Accompany Derivatives Markets

Simple Bond Functions

Description

Basic yield, pricing, duration and convexity calculations. These functions perform simple present value calculations assuming that all periods between payments are the same length. Unlike bond functions in Excel, for example, settlement and maturity dates are not used. By default, duration is Macaulay duration.

Usage

bondpv(coupon, mat, yield, principal, freq)
bondyield(price, coupon, mat, principal, freq)
duration(price, coupon, mat, principal, freq, modified)
convexity(price, coupon, mat, principal, freq)

Arguments

coupon	annual coupon
mat	maturity in years
yield	annual yield to maturity. If freq > 1, the yield is freq times the per period yield.
principal	maturity payment of the bond, in addition to the final coupon. Default value is $1,000. If the instrument is an annuity, set principal to zero.
freq	number of payments per year.
price	price of the bond
modified	If true, compute modified duration, otherwise compute Macaulay duration. FALSE by default.

Value

Return price, yield, or duration/convexity.

Examples

coupon <- 6; mat <- 20; freq <- 2; principal <- 100; yield <- 0.045;

price <- bondpv(coupon, mat, yield, principal, freq) # 119.7263
bondyield(coupon, mat, price=price, principal, freq) # 0.045
duration(price, coupon, mat, principal, freq, modified=FALSE) # 12.5043
duration(price, coupon, mat, principal, freq, modified=TRUE) # 12.3928
convexity(price, coupon, mat, principal, freq) # 205.3245

derivmkts documentation built on April 11, 2022, 5:10 p.m.