discount_cfs_single: Discount Single Set of Cashflows

In Tsunamical28/mdpr: Municipal Data and Pricing

Description

Used as the backbone for a number of pricing functions. The function filters for relevant cashflow dates given the settle date. It allows the user to specify which columns should be in the results via the last two parameters.

Usage

discount_cfs_single(cfs, settle, yield = NULL, conv = "30/360", freq = 2,
  include_dfPV = TRUE, include_dur = FALSE)

Arguments

cfs	Cashflows tbl_df
settle	Settlement Date
yield	Yield in percent (e.g. 5.0)
conv	Daycount convention (one of "30/360", "Act/Act", or "Act/365")
freq	Coupon frequency (number of periods per year)
include_dfPV	Boolean indicating whether or not to include discount factor and present value columns in the result
include_dur	Boolean indicating whether or not to include macaulay duration, modified duration, dv01, and convexity columns in result

Value

tbl_df containing cashflows and other calculated columns given the yield parameter.

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_dv01, calc_dv01.bond, calc_dv01.default, calc_risk, calc_risk.bond, calc_risk.default; calc_yield, calc_yield.bond, calc_yield.default; calc_ytm; risk_cfs_single; yield_cfs_single

Examples

cfs <- create_cashflows("2045-02-15", 2.5, "2015-05-07", "Act/Act", 2, 100, "ABCD")
discount_cfs_single(cfs, "2015-05-07", 4, "30/360", 2, TRUE, TRUE)

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