R/BondBasis.R

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

  # Bond Lab is a software application for the analysis of 
  # fixed income securities it provides a suite of applications
  # mortgage backed, asset backed securities, and commerical mortgage backed 
  # securities Copyright (C) 2018  Bond Lab Technologies, Inc.


  
  #' @title Is leap year
  #' @family BondBasis
  #' @description Tests if year is a leap year and reurns TRUE or FALSE
  #' @param year The year to test as leap year
  #' @export
  is.leapyear=function(year){
    #http://en.wikipedia.org/wiki/Leap_year
    return(((year %% 4 == 0) & (year %% 100 != 0)) | (year %% 400 == 0))}
  
  #' @title Actual/Actual day count
  #' @family BondBasis
  #' @description Calculates actual days using leap year IDSA method
  #' @param settlement.date The settlement date
  #' @param nextpmt.date The next scheduled interest payment date
  #' @export
  ActualFactor = function(settlement.date, nextpmt.date){
    actual.factor = NULL
    new.year.date = as.Date(paste0(year(nextpmt.date),"/01/01"))
    year.settlement.leap = is.leapyear(year(settlement.date))
    year.payment.leap = is.leapyear(year(nextpmt.date))
    test.leap = year.settlement.leap + year.payment.leap
    
    if(test.leap == 0) actual.factor = as.numeric(
      difftime(nextpmt.date, settlement.date, units = "days"))/360
    
    if(test.leap == 1 | year.settlement.leap == TRUE) actual.factor = sum(
      as.numeric(difftime(new.year.date, settlement.date, units = 'days'))/366,
      as.numeric(difftime(nextpmt.date, new.year.date, units = 'days'))/365)
    
    if(test.leap == 1 | year.settlement.leap == FALSE) actual.factor = sum(
      as.numeric(difftime(new.year.date, settlement.date, units = 'days'))/365,
      as.numeric(difftime(nextpmt.date, new.year.date, units = 'days'))/366)
    
    if(test.leap == 2) actual.factor = as.numeric(
      difftime(nextpmt.date, settlement.date, units = "days"))/366
    
  return(actual.factor)
  }
  
  #'@title Act/Act day count 
  #'@family BondBasis
  #'@description Calculate Act/Act factor IMCA. used for UST corporates, etc
  #'@param settlement.date the settlement date
  #'@param lastpmt.date the last payment bond coupon and or principal payment date 
  #'@param nextpmt.date the next bond coupon and or principal payment date
  #'@param ... option value used to compute time between payments
  #'@param start.date the dated date of the bond or alternatively the settlement date.
  #'the default value is null.
  #'@export
  ActFactor = function(settlement.date, 
                       lastpmt.date, 
                       nextpmt.date,
                       ...,
                       start.date = NULL){
    Actual.Factor = NULL
    d1 = NULL
    d2= NULL
    if(is.null(start.date)==TRUE){
    d1 = as.numeric(difftime(settlement.date, lastpmt.date, units = 'days'))
    d2 = as.numeric(difftime(nextpmt.date, lastpmt.date, units = 'days'))
    Actual.Factor = d1/d2
    } else {
    Actual.Factor = as.numeric(difftime(as.Date(nextpmt.date, format = '%m-%d-%Y'), 
                          as.Date(start.date, format = '%m-%d-%Y'), units = 'days'))/days.in.year
      
    }
    #Actual.Factor = as.numeric(difftime(nextpmt.date, settlement.date,  units = 'days')/365)
    return(Actual.Factor)
  }
  
  #----------------------------
  #Bond basis function This function set the interest payment day count basis 
  #----------------------------
  # Note use switch to add additional basis default will be 30/360
  
  #' @title Bond Basis (day count) conventions
  #' @family BondBasis
  #' @description Applies the correct bond basis (day count) convention to interest
  #' calculations. Currently supported bond day count conventions:
  #' \itemize{
  #' \item{'30360' }{Agency MBS}
  #' \item{'30E360' }{European 30360}
  #' \item{'Actual360' }{used in money market}
  #' \item{'Actual365' }{}
  #' \item{'ActualActual' }
  #' }
  #' @param issue.date A date object, the issue date of the security
  #' @param start.date A date object, the start date for interest payment
  #' @param end.date A date object, the final payment date
  #' @param settlement.date A date object, the settlement date
  #' @param lastpmt.date  A date object, the last payment date
  #' @param nextpmt.date A date object, the next payment date to the investor
  #' @param type a character vector the interest basis day count type
  #' @importFrom lubridate year
  #' @importFrom lubridate month
  #' @export
  BondBasisConversion <- function(issue.date, 
                                  start.date, 
                                  end.date, 
                                  settlement.date,
                                  lastpmt.date, 
                                  nextpmt.date,
                                  type){
  # This function converts day count to bond U.S. Bond Basis 30/360 day count
  #  calculation. It returns the number of payments that will be received, 
  #  period, and n for discounting
  # issue.date is the issuance date of the bond
  # start.date is the dated date of the bond
  # end.date is the maturity date of the bond
  # settlement.date is the settlement date of the bond
  # lastpmt.date is the last coupon payment date
  # nextpmt.date is the next coupon payment date


    d1 <- ifelse(settlement.date == issue.date, day(issue.date), day(settlement.date))    
    m1 <- ifelse(settlement.date == issue.date, month(issue.date), month(settlement.date))
    y1 <- ifelse(settlement.date == issue.date, year(issue.date), year(settlement.date))
    d2 <- day(nextpmt.date)
    m2 <- month(nextpmt.date)
    y2 <- year(nextpmt.date)


  switch(type,
  "30360" = (max(0, 30 - d1) + min(30, d2) + 360*(y2-y1) + 30*(m2-m1-1))/360,
  "30E360"= (max(0, 30 - ifelse(d1 > 30, 30, d1)) +  
               min(30, ifelse(d2 > 30, 30, d2)) + 
               360*(y2-y1) + 30*(m2-m1-1))/360,
  "Actual360" = as.numeric(difftime(nextpmt.date, settlement.date, units = "days"))/360,
  "Actual365" = ActFactor(settlement.date =settlement.date, 
                          lastpmt.date = lastpmt.date,
                          nextpmt.date = nextpmt.date,
                          start.date = start.date),
  "ActualActual" = ActualFactor(settlement.date = settlement.date, 
                                nextpmt.date = nextpmt.date),
  "ActAct" = ActFactor(settlement.date = settlement.date, 
                       nextpmt.date = nextpmt.date, 
                       lastpmt.date = lastpmt.date,
                       start.date = start.date)
  ) # end of switch function
  } # end of function