create_cashflows: Create 'tbl_df' of Cashflows for a Given Workout/Maturity...

In Tsunamical28/mdpr: Municipal Data and Pricing

Description

If a bond has a list of potential workout dates such as a call schedule, this procedure will be called for each workout date. Dates can be passed as R date types or can be in ymd or mdy form with any of the common delimiters used in lubridate. The function is vectorized and if you don't pass in an "id," normally the CUSIP, the integers 1 to N will be used where N is the number of workout dates.

Usage

create_cashflows(maturity, coupon, settle, conv = "30/360", freq = 2,
  redemption = 100, id = NULL)

Arguments

maturity	Maturity/Workout date
coupon	Annnual coupon amount
settle	Settlement date
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 to be used as an identifier in the returned tbl_df

Value

tbl_df with cashflows counting back to the coupon date before settle. Columns are (id, cashflow date, cashflow amount)

See Also

Other cashflows: create_cf_amounts

Examples

create_cashflows("2045-02-15", 2.5, "2015-05-07", "Act/Act", 2, 100,"ABCD")

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