bond: Create 'bond' Object

In Tsunamical28/mdpr: Municipal Data and Pricing

Description

Given basic bond details like maturity date, call date and price (if callable), coupon, frequency, settle, daycount convention, and id (e.g. cusip), this will create an object of type bond. The constructor can take a cfs object, which, if passed, should be a list of tbl_dfs, where each one has a name that means something. e.g. cfs$maturity, cfs$call, cfs$put etc. bond is the basic object in this package. It is used to calculate prices, yields, risk metrics, and do any other kind of fixed income analysis.

Usage

bond(maturity, coupon, dated_date, conv = "30/360", freq = 2,
  redemption = 100, id = NULL, cfs = NULL, call_date = NULL,
  call_px = NULL)

Arguments

maturity	Maturity/Workout date
coupon	Annnual coupon amount
dated_date	Dated date, usually the issue date and the day from which interest accrues.
conv	Daycount convention (one of "30/360", "Act/Act", or "Act/365")
freq	Coupon frequency (number of periods per year)
redemption	Redemption value or par amount
id	CUSIP or other id
cfs	List of cashflow tbl_dfs (id, cf_date, cf_amount)

Value

bond object with cashflows

Examples

bond("2045-02-15", 2.5, "2015-02-17", "Act/Act", 2, 100, id = "ABCD")
bond("2045-02-15", 2.5, "2015-02-17", "Act/Act", 2, 100, id = "ABCD",
     call_date = "2025-02-15", call_px = 101)

Tsunamical28/mdpr documentation built on May 9, 2019, 5:15 p.m.