Bond-Pricing; Black Scholes

Description Details Author(s) References

This package implements the basic financial analysis functions similar to (but not identical to) what is available in most spreadsheet software. This includes finding the IRR, NPV and duration of possibly irregularly spaced cash flows and annuities. Bond pricing, YTM and duration calculations are included. Black Scholes option pricing, Greeks and implied volatility are also provided.

Important functions include:

npv, irr, duration, annuity.pv, bond.price, bond.yield, GenBS, GenBSImplied

For more details, see the vignette

Prof. Jayanth R. Varma jrvarma@iima.ac.in

The 30/360 day count was converted from C++ code in the QuantLib library. The Newton Raphson solver was converted from C++ code in the Boost library

jrvFinance documentation built on Nov. 5, 2021, 5:07 p.m.