calc_risk: Calculate the Risks of a Bond

In Tsunamical28/mdpr: Municipal Data and Pricing

Description

Given a bond or the necessary parameters to construct one, this will calculate the DV01 and other risks of the bond for the worst workout date. The workout dates used are the based on the cfs object's last cashflow dates in the bond. This function uses discount_cfs_single to do the actual calculations.

Usage

calc_risk(x, ...)

## Default S3 method:
calc_risk(maturity, settle, coupon, price_yield,
  input_type = "Y", returnCFs = FALSE, conv = "30/360", freq = 2)

## S3 method for class 'bond'
calc_risk(b, settle, price_yield, input_type = "Y",
  returnCFs = FALSE)

calc_dv01(x, ...)

## Default S3 method:
calc_dv01(maturity, settle, coupon, price_yield,
  input_type = "Y", conv = "30/360", freq = 2)

## S3 method for class 'bond'
calc_dv01(b, settle, price_yield, input_type = "Y")

Arguments

maturity	Maturity/Workout date
settle	Settlement Date
coupon	Annnual coupon amount
price_yield	The clean price of the bond or the yield to worst
input_type	"Y" for Yield to Worst (default) or "P" for clean price
returnCFs	Boolean flag indicating whether or not to return the calculated set of cashflows and risk metrics
conv	Daycount convention (one of "30/360", "Act/Act", or "Act/365")
freq	Coupon frequency (number of periods per year)
b	A bond object

Value

Numeric value of the DV01 and other risks and corresponding worst workout date and workout type if there are multiple sets of cashflows in the bond or a full set of calculated cashflows and risk metrics as a tbl_df

See Also

Other pricing functions: acc_int; calc_clean_px, calc_clean_px.bond, calc_clean_px.default; calc_dirty_px, calc_dirty_px.bond, calc_dirty_px.default; calc_yield, calc_yield.bond, calc_yield.default; calc_ytm; discount_cfs_single; risk_cfs_single; yield_cfs_single

Examples

calc_risk("2045-02-15", "2015-02-15", 4, 101, "P", TRUE, "Act/Act", 2)
b <- bond("2045-02-15", 2.5, "2015-02-17", "Act/Act", 2, 100, id = "ABCD")
calc_risk(b, "2015-05-15", 101, "P", TRUE)
calc_dv01(b, "2015-05-15", 3, "Y")

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