prepro_bond: Bonddata preprocess function

In changshun/termstrc: Zero-coupon Yield Curve Estimation

Description

Preprocessing a static coupon bond data set, i.e., calculation of cashflows, maturities matrices, price, accrued interest vectors, yield-to-maturity and duration matrices.

Usage

prepro_bond(group, bonddata, matrange = "all")

Arguments

group	character, specifies group of a bond data set.
bonddata	Static bond data set.
matrange	bond data set is filtered according to chosen maturity spectrum c(min,max).

Value

n_group	group length
sgroup	sequence of the group length
cf	list with cashflows matrices
cf_p	list with cashflows matrices including the current dirty prices
m	list with maturites matrices
m_p	list with cashflows matrices including the maturities of the current dirty prices
p	list with the dirty price vectors
ac	list with the accrued interest vectors
y	list with the yield-to-maturity matrices
duration	list with the duration, duration based weights matrices
timestamp	date of the data

Examples

data(govbonds)
bdata <- prepro_bond("GERMANY",govbonds,c(0,10))
## print maturites matrix
bdata$m

changshun/termstrc documentation built on May 13, 2019, 3:24 p.m.