BondBasisConversion: Bond Basis (day count) conventions

In glennmschultz/BondLab: BondLab is a package for the analysis of fixed-income securities

Description

Applies the correct bond basis (day count) convention to interest calculations. Currently supported bond day count conventions:

• '30360' Agency MBS

• '30E360' European 30360

• 'Actual360' used in money market

• 'Actual365'

• 'ActualActual'

Usage

BondBasisConversion(
  issue.date,
  start.date,
  end.date,
  settlement.date,
  lastpmt.date,
  nextpmt.date,
  type
)

Arguments

issue.date	A date object, the issue date of the security
start.date	A date object, the start date for interest payment
end.date	A date object, the final payment date
settlement.date	A date object, the settlement date
lastpmt.date	A date object, the last payment date
nextpmt.date	A date object, the next payment date to the investor
type	a character vector the interest basis day count type

See Also

Other BondBasis: ActFactor(), ActualFactor(), is.leapyear()

glennmschultz/BondLab documentation built on May 11, 2021, 5:29 p.m.