R/TimeValueFunction.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 compute the time value of money
  #'                  
  #' A standard generic function used to calculate time value of money
  #' @param interest.rate The interest rate used to determine the discount 
  #' factor in decimal
  #' form (i.e. 4.0\% is input as 0.04)
  #' @param number.periods The number of discount periods.  For example, 
  #' in the case of a mortgage whose cash flow occurs monthly over 
  #' 30 years the number of periods is 360.
  #' @param frequency The frequency of interest payments.  For example the 
  #' frequency of a mortgage whose payments occur monthly is 12
  #' @param type The type of calculation PV = present value, 
  #' PVA = present value of annuity, PVAD present value of annuity due,
  #' FV = future value, FVA = future value of annuity.
  #' @examples TimeValue(interest.rate = .05, number.periods = 3, 
  #' frequency = 1, type = "PV")
  #' @export TimeValue
  TimeValue <- function(interest.rate = numeric(), 
                      number.periods = numeric(), 
                      frequency = numeric(), 
                      type = "character"){
  if (missing(interest.rate))
    stop("Need to specify interest.rate as number between 0 and 1.")
  if (!is.numeric(interest.rate)  )
    stop("No numeric interest.rate specified.")
  if (interest.rate < 0 | interest.rate > 1)
    stop("No valid  interest.rate specified.")
  
  if(missing(number.periods))
    stop("Need to provide the number of discounting periods")
  if(!is.numeric(number.periods))
    stop(" No numeric discounting period specfified")
  if (number.periods < 1 )
    stop("No valid  number.periods specified.")
  
  if(missing(frequency))
    stop("Need to provide the frequency")
  if(!is.numeric(frequency))
    stop(" No numeric frequency specfified")
  if (frequency < 1 | frequency >12 )
    stop("No valid frequency specified.")
  
  if(identical(type %in% c("PV", "PVA", "PVAD", "FV", "FVA"), FALSE))
    stop("Time value function not specfied correctly")
  
  interest.rate = interest.rate/frequency
  
  switch(type,
         PV =  1/(1+interest.rate)^number.periods,
         PVA = ((1-(1/(1+interest.rate)^number.periods))/interest.rate),
         PVAD =   ((1-(1/(1+interest.rate)^number.periods))/interest.rate) * 
           (1+interest.rate),  
         FV =  (1+interest.rate)^number.periods,
         FVA =   (((1 + interest.rate)^(number.periods)) -1)/interest.rate)
  }