fixed_bond: Create Fixed Bond Object

In fcl: A Financial Calculator

Create Fixed Bond Object

Description

Create Fixed Bond Object

Usage

fixed_bond(value_date, mty_date, redem_value, cpn_rate, cpn_freq)

Arguments

value_date, mty_date	the value and maturity date of the bond
redem_value, cpn_rate, cpn_freq	the redemption value, coupon rate and coupon frequency of the bond. Note that the frequency can only be one of 1, 2, 4, 0 (pay at mature)

Value

it returns an environment containing the following objects:

• .self: an external pointer of the Rust object.

• len(): a function returns the length of the internal bonds object.

• ytm_dur(ref_date, clean_price): a function returns a data.frame, with three columns, 'YTM' (Yield to Maturity), 'MODD' (Modified Duration) and 'MACD' (Macaulay Duration).

• cf(ref_date): a function returns the schedualed bond cashflows, in xts format.

Note

• all arguments must be the same length or 1.

• The date input will be converted to Date object via ymd::ymd().

• It doesn't take the day count convention into account for now.

• There's no support for business day calendar. The dates in the cashflow projection are the same days in the next few months (see ymd::edate()). It considers different days in each month but no weekend date adjustment.

• The 'YTM' value is the cashflow's 'IRR' (internal rate of return) value. Thus, it doesn't equal to the Excel's Yield value, which is adjusted using this formula YTM (fcl) = (1 + frac{Yield (Excel)}{n})^n - 1, where n is the the coupon payment frequency, when the remaining life of the bond is larger than 1.

• When the bond is going to mature within one year, the Yield (Excel) = frac{Cashflow}{Price} - 1.

Examples

bond <- fixed_bond(
  value_date = 210101,
  mty_date = c(250101, 300201),
  redem_value = 100,
  cpn_rate = c(0.05, 0.03),
  cpn_freq = c(0, 1)
)
bond$ytm_dur(
  ref_date = c(220101, 220201),
  clean_price = 100
)
bond$cf(
  ref_date = c(220101, 220131)
)

fcl documentation built on April 3, 2025, 6:17 p.m.