R/PaymentDateFunctions.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.


  #' A function to determine bond payment date
  #' 
  #' The function creates a vector of payment date from the 
  #' last payment date to the end payment date.
  #' @param issue.date A character vector the bond issue date.
  #' @param start.date A character vector the interest accrual
  #' start date followign the issue date.
  #' @param settlement.date A character vector the settlement date.
  #' @param nextpayment.date A character vector the date of the 
  #' next payment due to the bond holder.
  #' @param end.date A character vector the final payment (maturity) date of the bond
  #' @param payment.frequency A numeric value the number of payments. 
  #' made to the bondholder.
  #' @param payment.delay A numeric value the payment delay of the bond 
  #' @importFrom lubridate year
  #' @importFrom lubridate month
  #' @export 
  PaymentDate <- function(issue.date = "character",
                          start.date = "character",
                          settlement.date = "character",
                          nextpayment.date = "character",
                          end.date = "character",
                          payment.frequency = numeric(),
                          payment.delay = numeric()){
    
    paymentdate.interval = months.in.year/payment.frequency
    
    issue.date = as.Date(issue.date, "%m-%d-%Y")
    start.date = as.Date(start.date, "%m-%d-%Y")
    settlement.date = as.Date(settlement.date, "%m-%d-%Y")
    nextpayment.date = as.Date(nextpayment.date, "%m-%d-%Y")
    end.date = as.Date(end.date, "%m-%d-%Y")

    as.Date(c(if(settlement.date == issue.date) 
    {seq(start.date, end.date, by = paste(paymentdate.interval, "months"))} 
    else 
    {seq(nextpayment.date, end.date, by = paste(paymentdate.interval, 
                                            "months"))}), "%m-%d-%Y") + payment.delay
  }
  #' @title function to determine the last and next payment date of a standard bond
  #' 
  #' @description The function returns a list the first position is the last payment date and the 
  #' second position is the next payment date
  #' @family payment dates
  #' @param issue.date A character, the issue date mm-dd-YYYY
  #' @param dated.date A character, the dated date mm-dd-YYYY
  #' @param maturity.date A character, the maturity date mm-dd-YYYY
  #' @param settlement.date A character, the settlement date mm-dd-YYYY
  #' @param frequency The frequency of interest payments made to the investor
  #' \itemize{
  #' \item Annual = 1
  #' \item Semi Annual = 2
  #' \item Quarterly = 4
  #' \item Monthly = 12}
  #' @param bond.basis The day count convention used to calculate interest (see BondBasisConversion)
  #' 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' }
  #' }
  #' @importFrom lubridate %m+%
  #' @importFrom lubridate leap_year
  #' @export 
  LastandNextPmtDate <- function(issue.date, 
                                 dated.date, 
                                 maturity.date, 
                                 settlement.date,
                                 frequency,
                                 bond.basis){
  
    leap_day <- function(pmt.date){
      for(date in seq_along(pmt.date)){
        if(leap_year(pmt.date)[date] == TRUE & 
           month(pmt.date)[date] == 2 & day(pmt.date)[date] == 28){
          pmt.date[date] = pmt.date[date] %m+% days(1)} else {next}
      }
      return(pmt.date)
    }
    
    issue.date = as.Date(issue.date, format = '%m-%d-%Y')
    dated.date =  as.Date(dated.date, format = '%m-%d-%Y')
    maturity.date = as.Date(maturity.date, format = '%m-%d-%Y')
    settlement.date = as.Date(settlement.date, format = '%m-%d-%Y')
    
    numcashflow <- max(BondBasisConversion(issue.date = issue.date,
                                           start.date = dated.date,
                                           end.date = maturity.date,
                                           settlement.date = settlement.date,
                                           lastpmt.date = dated.date,
                                           nextpmt.date = maturity.date,
                                           type = bond.basis) %/% (1/frequency),1)
    
    monthvector <- seq(1,numcashflow,1) * (months.in.year/frequency)
    pmt.date <- c(as.Date(dated.date) %m+% months(monthvector))
    LastPmt <- if(settlement.date < pmt.date[1]){as.Date(dated.date)
    } else {pmt.date[max(which(difftime(pmt.date, settlement.date) <= 0))]}
    NextPmt <- pmt.date[min(which(difftime(pmt.date, settlement.date) > 0))]
    FirstandLast <- c(LastPmt, NextPmt)
    FirstandLast <- leap_day(FirstandLast)
    return(FirstandLast)
  }