R/Events_BRbond.R

In claudiolucinda/FixedIncomeBR: Fixed Income Function for Brazilian Bonds

#' Function for generating a Table of Events of Brazilian Debt Instruments
#'
#' @param dataEval Date in which the bond is to be priced. If NULL, the price is for the current date.
#' @param maturity Maturity date.
#' @param coupon_rate Coupon Rate. When NULL, it returns the price of a zero coupon.
#' @param VF Face value of the bond.
#' @param YTM Yield to Maturity.
#' @param months_coupon Number of months between each coupon. If coupon is NULL, not used.
#'
#' @return Bond Price.
#' @export
#'

Events_BRbond <- function(dataEval=NULL, maturity, coupon_rate=NULL,
                      VF, YTM, months_coupon) {

  data(holidaysANBIMA, package = 'bizdays')
  range(holidaysANBIMA)
  bizdays::create.calendar(name='MyCalendar', holidays=holidaysANBIMA, weekdays=c('sunday', 'saturday'),
                  adjust.from=bizdays::adjust.next, adjust.to=bizdays::adjust.previous)
  if (is.null(dataEval)) {
    data_hoje<-Sys.Date()
  }
  else {
    data_hoje<-as.Date(dataEval)
  }
  data_futura<-as.Date(maturity)

  x<-lubridate::interval(data_hoje,data_futura)
  data_futura0<-data_futura

  if (!is.null(coupon_rate)) {

    n_sem<- x %/% months(months_coupon)
    events<-list(bizdays::adjust.next(data_futura0))

    if (!(n_sem<1)) {
      for(i in 1:n_sem) {
        data_futura0<-data_futura0-months(months_coupon)
        idx<-i+1
        events[[idx]]<-bizdays::adjust.next(data_futura0)
      }
    }

    datas<-plyr::ldply(events,function(.x) bizdays::bizdays(data_hoje,.x,'MyCalendar')+1)
    datas$CF<-VF*((1+coupon_rate)^.5 -1)
    datas$CF[1]<-datas$CF[1]+VF
    datas$PV<-datas$CF/((1+YTM)^(datas$V1/252))
    datas$weights<-datas$PV/sum(datas$PV)

  }
  else {
    data<-bizdays::bizdays(data_hoje,data_futura,'MyCalendar')+1
    PU<-(VF/((1+YTM)^(data/252)))
    weights<-1
    datas<-data.frame(data,VF,PU,weights)
    colnames(datas)<-c("V1","CF","PV","weights")
  }
  return(datas)


}