R/FIBond.R
In solavrov/fval: Financial instrument valuation
#' Constructor of simple fixed income bond object
#'
#' Attributes:
#' $name - name as you wish
#' $isin - isin code
#' $currency - currency i.e. USD, RUB...
#' $faceAmount - face amount
#' $couponFreq - coupon frequency i.e. 2 for semiannual etc
#' $issueDate - issue date
#' $maturity - maturity date
#' $formula - yield formular where STD stands for standard convention, OFZ stands for OFZ convention
#' $dayCounter - day counter from dayCounter
#' $cfactor - conversion factor for T-bonds-notes for T-futures
#' $couponDates - vector of coupon dates
#' $couponAmounts - vector of coupon amounts
#'
#' @param file Name of csv file that contains bond attributes (can be a vector).
#' Heads should have names of attributes.
#' File should be located in fval_data folder. Just name without extension
#' @param dateFormat File date format from lubridate package i.e. "dmy", "mdy" etc
#' @param sep Separator i.e. comma, semicolon or else
#'
#' @return FIBond object
#' @export
FIBond <- function(file = NA,
dateFormat = "mdy",
sep = ",") {
list <- list()
for (i in 1:length(file)) {
bond <- list()
class(bond) <- "FIBond"
#default attributes
bond$name <- NA
bond$isin <- NA
bond$currency <- NA
bond$initialFace <- NA
bond$couponFreq <- NA
bond$issueDate <- NA
bond$maturity <- NA
bond$formula <- "STD"
bond$dayCounter <- dayCounter$ActualActual
bond$cfactor <- NA
bond$couponDates <- NA
bond$couponAmounts <- NA
bond$faceAmounts <- NA
if (!is.na(file[i])) {
file[i] <- paste0("fval_data/", file[i], ".csv")
if (file.exists(file[i])) {
df <- read.csv(file[i], sep = sep)
if (!is.null(df$name)) bond$name <- as.character(df$name[1])
if (!is.null(df$isin)) bond$isin <- as.character(df$isin[1])
if (!is.null(df$currency)) bond$currency <- as.character(df$currency[1])
if (!is.null(df$issueDate)) bond$issueDate <-
as.Date(lubridate::parse_date_time(as.character(df$issueDate[1]), dateFormat))
if (!is.null(df$formula)) bond$formula <- as.character(df$formula[1])
if (!is.null(df$dayCounter)) bond$dayCounter <- df$dayCounter[1]
if (!is.null(df$cfactor)) bond$cfactor <- df$cfactor[1]
if (!is.null(df$couponDates)) {
bond$couponDates <-
as.Date(lubridate::parse_date_time(as.character(df$couponDates), dateFormat))
bond$maturity <- tail(bond$couponDates, 1)
bond$couponFreq <-
round(length(bond$couponDates) / as.numeric(bond$maturity - bond$issueDate) * 365)
}
if (!is.null(df$couponAmounts)) bond$couponAmounts <- df$couponAmounts
if (!is.null(df$faceAmounts)) {
bond$faceAmounts <- df$faceAmounts
bond$initialFace <- sum(df$faceAmounts)
}
} else {
cat("ERROR!", file[i], "is not found\n")
}
}
list[[i]] <- bond
if (!is.na(bond$name)) names(list)[i] <- bond$name
}
if (length(list) == 1)
return (list[[1]])
else
return (list)
}
#' Print FIBond object
#'
#' @param bond FIBond object
#'
#' @return Info on screen
#' @export
print.FIBond <- function(bond) {
cat("name: ", bond$name, "\n")
cat("isin: ", bond$isin, "\n")
cat("currency: ", bond$currency, "\n")
cat("initialFace: ", bond$initialFace, "\n")
cat("couponFreq: ", bond$couponFreq, "\n")
cat("issueDate: ", as.character(bond$issueDate), "\n")
cat("maturuty: ", as.character(bond$maturity), "\n")
cat("formula: ", bond$formula, "\n")
cat("dayCounter: ", counterName(bond$dayCounter), "\n")
cat("cfactor: ", bond$cfactor, "\n\n")
print(
data.frame(
couponDates = bond$couponDates,
couponAmounts = bond$couponAmounts,
faceAmounts = bond$faceAmounts
)
)
}
#' Calculate coupon time i.e. days passed over days in coupon period for FIBond object
#'
#' @param bond FIBond object (can be a list)
#' @param settleDate Calculation date (can be a vector)
#'
#' @return Coupon time for FIBond object
#' @export
getCouponTime.FIBond <- function(bond, settleDate = nextBizDay()) {
len <- L(bond, settleDate)
time <- numeric()
for (i in 1:len) {
bond.i <- E(bond, i)
settleDate.i <- E(settleDate, i)
if (settleDate.i >= bond.i$issueDate && settleDate.i <= bond.i$maturity) {
nextPaymentIndex <- which(bond.i$couponDates > settleDate.i)[1]
nextDay <- bond.i$couponDates[nextPaymentIndex]
if (nextPaymentIndex >= 2) {
prevDay <- bond.i$couponDates[nextPaymentIndex - 1]
} else {
prevDay <- bond.i$issueDate
}
period <- RQuantLib::dayCount(prevDay, nextDay, bond.i$dayCounter)
daysPassed <- RQuantLib::dayCount(prevDay, settleDate.i, bond.i$dayCounter)
time[i] <- daysPassed / period
} else {
time[i] <- NA
}
}
return (time)
}
#' Return current face amount
#'
#' @param bond FIBond object (can be a list)
#' @param settleDate Calculation date (can be a vector)
#'
#' @return Current face amount
#' @export
getFace.FIBond <- function(bond, settleDate = nextBizDay()) {
len <- L(bond, settleDate)
face <- numeric()
for (i in 1:len) {
bond.i <- E(bond, i)
settleDate.i <- E(settleDate, i)
if (settleDate.i >= bond.i$issueDate && settleDate.i <= bond.i$maturity) {
face[i] <- sum(bond.i$faceAmounts[bond.i$couponDates > settleDate.i])
} else {
face[i] <- NA
}
}
return (face)
}
#' Calculate accrued interest for FIBond object
#'
#' @param bond FIBond object (can be a list)
#' @param settleDate Calculation date (can be a vector)
#'
#' @return Accrued interest
#' @export
getAccruedValue.FIBond <- function(bond, settleDate = nextBizDay()) {
len <- L(bond, settleDate)
accrued <- numeric()
for (i in 1:len) {
bond.i <- E(bond, i)
settleDate.i <- E(settleDate, i)
if (settleDate.i >= bond.i$issueDate && settleDate.i <= bond.i$maturity) {
nextPaymentIndex <- which(bond.i$couponDates > settleDate.i)[1]
coupon <- bond.i$couponAmounts[nextPaymentIndex]
accrued[i] <- coupon * getCouponTime.FIBond(bond.i, settleDate.i)
if (bond.i$formula == "OFZ") {
accrued[i] <-
round(accrued[i] / bond.i$initialFace * 1000, digits = 2) * bond.i$initialFace / 1000
}
} else {
accrued[i] <- NA
}
}
return (accrued)
}
#' Calculate accrued interest in percentage of current face
#'
#' @param bond FIBond object (can be a list)
#' @param settleDate Calculation date (can be a vector)
#'
#' @return Accrued interest in percentage of current face
#' @export
getAccrued.FIBond <- function(bond, settleDate = nextBizDay()) {
getAccruedValue.FIBond(bond, settleDate) / getFace.FIBond(bond, settleDate) * 100
}
#' Calculate value of FIBond object
#'
#' @param bond FIBond object (can be a list)
#' @param yield FIBond yield in percentage (can be a vector)
#' @param settleDate Calculation date (can be a vector)
#'
#' @return Dirty value of bond object
#' @export
getValue.FIBond <- function(bond, yield, settleDate = nextBizDay()) {
len <- L(bond, yield, settleDate)
value <- numeric()
for (i in 1:len) {
bond.i <- E(bond, i)
yield.i <- E(yield, i)
settleDate.i <- E(settleDate, i)
if (settleDate.i >= bond.i$issueDate && settleDate.i <= bond.i$maturity) {
spans <- as.numeric(bond.i$couponDates - settleDate.i)
if (bond.i$formula == "OFZ") {
factors <- (spans > 0) * 1 / (1 + yield.i / 100) ^ (spans / 365)
payments <- bond.i$couponAmounts + bond.i$faceAmounts
} else {
numOfFutureCoupons <- length(spans[spans > 0])
factors <- 1 / (1 + yield.i / 100 / bond.i$couponFreq) ^
(1:numOfFutureCoupons - getCouponTime.FIBond(bond.i, settleDate.i))
payments <- tail(bond.i$couponAmounts + bond.i$faceAmounts, numOfFutureCoupons)
}
value[i] <- sum(payments * factors)
} else {
value[i] <- NA
}
}
return (value)
}
#' Calculate clean price of FIBond
#'
#' @param bond FIBond object (can be a list)
#' @param yield FIBond yield in percentage (can be a vector)
#' @param settleDate Calculation date (can be a vector)
#'
#' @return Clean price of FIBond object in percentage
#' @export
getPrice.FIBond <- function(bond, yield, settleDate = nextBizDay()) {
price <-
(getValue.FIBond(bond, yield, settleDate) - getAccruedValue.FIBond(bond, settleDate)) /
getFace.FIBond(bond, settleDate) * 100
return (price)
}
#' Calculate yield of FIBond object
#'
#' @param bond FIBond object (can be a list)
#' @param price FIBond clean price in percentage (can be a vector)
#' @param settleDate Calculation date (can be a vector)
#' @param digits Accuracy as a number of digits after point
#'
#' @return FIBond yield in percentage
#' @export
getYield.FIBond <- function(bond,
price,
settleDate = nextBizDay(),
digits = 4,
yieldRange = c(-90, 90)) {
yield <- numeric()
len <- L(bond, price, settleDate)
for (i in 1:len) {
bond.i <- E(bond, i)
price.i <- E(price, i)
settleDate.i <- E(settleDate, i)
if (settleDate.i >= bond.i$issueDate && settleDate.i <= bond.i$maturity) {
f <- function(x) (getPrice.FIBond(bond.i, x, settleDate.i) - price.i)
solution <- uniroot(f, yieldRange, tol = 10 ^ (-digits - 1))
yield[i] <- round(solution$root, digits)
} else {
yield[i] <- NA
}
}
return (yield)
}
#' Calculate PVBP of FIBond object
#'
#' @param bond FIBond object (can be a list)
#' @param price FIBond clean price in percentage (can be a vector)
#' @param settleDate Calculation date (can be a vector)
#'
#' @return PVBP of FIBond object in percentage
#' @export
getPVBP.FIBond <- function(bond, price, settleDate = nextBizDay()) {
bp <- 0.01
yield <- getYield.FIBond(bond, price, settleDate)
pvbp <- (getPrice.FIBond(bond, yield + bp) -
getPrice.FIBond(bond, yield - bp)) / 2
return (pvbp)
}
#' Calculate carry for FIBond object
#'
#' @param bond FIBond object (can be a list)
#' @param price FIBond clean price in percentage (can be a vector)
#' @param settleDate1 Start date (can be a vector)
#' @param settleDate2 End date (can be a vector)
#' @param repoRate Funding term repo rate in percentage (can be a vector)
#'
#' @return Carry for FIBond object
#' @export
getCarryValue.FIBond <- function(bond,
price,
settleDate1,
settleDate2,
repoRate) {
len <- L(bond, price, settleDate1, settleDate2, repoRate)
carry <- numeric()
for (i in 1:len) {
bond.i <- E(bond, i)
price.i <- E(price, i)
settleDate1.i <- E(settleDate1, i)
settleDate2.i <- E(settleDate2, i)
repoRate.i <- E(repoRate, i)
inPlay <- which(bond.i$couponDates > settleDate1.i & bond.i$couponDates <= settleDate2.i)
payments <- bond.i$couponAmounts[inPlay] + bond.i$faceAmounts[inPlay]
couponDates <- bond.i$couponDates[inPlay]
carry[i] <-
getAccruedValue.FIBond(bond.i, settleDate2.i) - getAccruedValue.FIBond(bond.i, settleDate1.i) +
sum(payments * (1 + repoRate.i / 100 * as.numeric(settleDate2.i - couponDates) / 360)) -
(
price.i / 100 * getFace.FIBond(bond.i, settleDate1.i) +
getAccruedValue.FIBond(bond.i, settleDate1.i)
) *
repoRate.i / 100 * as.numeric(settleDate2.i - settleDate1.i) / 360
}
return (carry)
}
#' Calculate carry for FIBond object in percentage of current face
#'
#' @param bond FIBond object (can be a list)
#' @param price FIBond clean price in percentage (can be a vector)
#' @param settleDate1 Start date (can be a vector)
#' @param settleDate2 End date (can be a vector)
#' @param repoRate Funding term repo rate in percentage (can be a vector)
#'
#' @return Carry for FIBond object in percentage of current face
#' @export
getCarry.FIBond <- function(bond,
price,
settleDate1,
settleDate2,
repoRate) {
getCarryValue.FIBond(bond, price, settleDate1, settleDate2, repoRate) /
getFace.FIBond(bond, settleDate1) * 100
}
solavrov/fval documentation built on May 30, 2019, 4:40 p.m.
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#' Constructor of simple fixed income bond object
#'
#' Attributes:
#' $name - name as you wish
#' $isin - isin code
#' $currency - currency i.e. USD, RUB...
#' $faceAmount - face amount
#' $couponFreq - coupon frequency i.e. 2 for semiannual etc
#' $issueDate - issue date
#' $maturity - maturity date
#' $formula - yield formular where STD stands for standard convention, OFZ stands for OFZ convention
#' $dayCounter - day counter from dayCounter
#' $cfactor - conversion factor for T-bonds-notes for T-futures
#' $couponDates - vector of coupon dates
#' $couponAmounts - vector of coupon amounts
#'
#' @param file Name of csv file that contains bond attributes (can be a vector).
#' Heads should have names of attributes.
#' File should be located in fval_data folder. Just name without extension
#' @param dateFormat File date format from lubridate package i.e. "dmy", "mdy" etc
#' @param sep Separator i.e. comma, semicolon or else
#'
#' @return FIBond object
#' @export
FIBond <- function(file = NA,
dateFormat = "mdy",
sep = ",") {
list <- list()
for (i in 1:length(file)) {
bond <- list()
class(bond) <- "FIBond"
#default attributes
bond$name <- NA
bond$isin <- NA
bond$currency <- NA
bond$initialFace <- NA
bond$couponFreq <- NA
bond$issueDate <- NA
bond$maturity <- NA
bond$formula <- "STD"
bond$dayCounter <- dayCounter$ActualActual
bond$cfactor <- NA
bond$couponDates <- NA
bond$couponAmounts <- NA
bond$faceAmounts <- NA
if (!is.na(file[i])) {
file[i] <- paste0("fval_data/", file[i], ".csv")
if (file.exists(file[i])) {
df <- read.csv(file[i], sep = sep)
if (!is.null(df$name)) bond$name <- as.character(df$name[1])
if (!is.null(df$isin)) bond$isin <- as.character(df$isin[1])
if (!is.null(df$currency)) bond$currency <- as.character(df$currency[1])
if (!is.null(df$issueDate)) bond$issueDate <-
as.Date(lubridate::parse_date_time(as.character(df$issueDate[1]), dateFormat))
if (!is.null(df$formula)) bond$formula <- as.character(df$formula[1])
if (!is.null(df$dayCounter)) bond$dayCounter <- df$dayCounter[1]
if (!is.null(df$cfactor)) bond$cfactor <- df$cfactor[1]
if (!is.null(df$couponDates)) {
bond$couponDates <-
as.Date(lubridate::parse_date_time(as.character(df$couponDates), dateFormat))
bond$maturity <- tail(bond$couponDates, 1)
bond$couponFreq <-
round(length(bond$couponDates) / as.numeric(bond$maturity - bond$issueDate) * 365)
}
if (!is.null(df$couponAmounts)) bond$couponAmounts <- df$couponAmounts
if (!is.null(df$faceAmounts)) {
bond$faceAmounts <- df$faceAmounts
bond$initialFace <- sum(df$faceAmounts)
}
} else {
cat("ERROR!", file[i], "is not found\n")
}
}
list[[i]] <- bond
if (!is.na(bond$name)) names(list)[i] <- bond$name
}
if (length(list) == 1)
return (list[[1]])
else
return (list)
}
#' Print FIBond object
#'
#' @param bond FIBond object
#'
#' @return Info on screen
#' @export
print.FIBond <- function(bond) {
cat("name: ", bond$name, "\n")
cat("isin: ", bond$isin, "\n")
cat("currency: ", bond$currency, "\n")
cat("initialFace: ", bond$initialFace, "\n")
cat("couponFreq: ", bond$couponFreq, "\n")
cat("issueDate: ", as.character(bond$issueDate), "\n")
cat("maturuty: ", as.character(bond$maturity), "\n")
cat("formula: ", bond$formula, "\n")
cat("dayCounter: ", counterName(bond$dayCounter), "\n")
cat("cfactor: ", bond$cfactor, "\n\n")
print(
data.frame(
couponDates = bond$couponDates,
couponAmounts = bond$couponAmounts,
faceAmounts = bond$faceAmounts
)
)
}
#' Calculate coupon time i.e. days passed over days in coupon period for FIBond object
#'
#' @param bond FIBond object (can be a list)
#' @param settleDate Calculation date (can be a vector)
#'
#' @return Coupon time for FIBond object
#' @export
getCouponTime.FIBond <- function(bond, settleDate = nextBizDay()) {
len <- L(bond, settleDate)
time <- numeric()
for (i in 1:len) {
bond.i <- E(bond, i)
settleDate.i <- E(settleDate, i)
if (settleDate.i >= bond.i$issueDate && settleDate.i <= bond.i$maturity) {
nextPaymentIndex <- which(bond.i$couponDates > settleDate.i)[1]
nextDay <- bond.i$couponDates[nextPaymentIndex]
if (nextPaymentIndex >= 2) {
prevDay <- bond.i$couponDates[nextPaymentIndex - 1]
} else {
prevDay <- bond.i$issueDate
}
period <- RQuantLib::dayCount(prevDay, nextDay, bond.i$dayCounter)
daysPassed <- RQuantLib::dayCount(prevDay, settleDate.i, bond.i$dayCounter)
time[i] <- daysPassed / period
} else {
time[i] <- NA
}
}
return (time)
}
#' Return current face amount
#'
#' @param bond FIBond object (can be a list)
#' @param settleDate Calculation date (can be a vector)
#'
#' @return Current face amount
#' @export
getFace.FIBond <- function(bond, settleDate = nextBizDay()) {
len <- L(bond, settleDate)
face <- numeric()
for (i in 1:len) {
bond.i <- E(bond, i)
settleDate.i <- E(settleDate, i)
if (settleDate.i >= bond.i$issueDate && settleDate.i <= bond.i$maturity) {
face[i] <- sum(bond.i$faceAmounts[bond.i$couponDates > settleDate.i])
} else {
face[i] <- NA
}
}
return (face)
}
#' Calculate accrued interest for FIBond object
#'
#' @param bond FIBond object (can be a list)
#' @param settleDate Calculation date (can be a vector)
#'
#' @return Accrued interest
#' @export
getAccruedValue.FIBond <- function(bond, settleDate = nextBizDay()) {
len <- L(bond, settleDate)
accrued <- numeric()
for (i in 1:len) {
bond.i <- E(bond, i)
settleDate.i <- E(settleDate, i)
if (settleDate.i >= bond.i$issueDate && settleDate.i <= bond.i$maturity) {
nextPaymentIndex <- which(bond.i$couponDates > settleDate.i)[1]
coupon <- bond.i$couponAmounts[nextPaymentIndex]
accrued[i] <- coupon * getCouponTime.FIBond(bond.i, settleDate.i)
if (bond.i$formula == "OFZ") {
accrued[i] <-
round(accrued[i] / bond.i$initialFace * 1000, digits = 2) * bond.i$initialFace / 1000
}
} else {
accrued[i] <- NA
}
}
return (accrued)
}
#' Calculate accrued interest in percentage of current face
#'
#' @param bond FIBond object (can be a list)
#' @param settleDate Calculation date (can be a vector)
#'
#' @return Accrued interest in percentage of current face
#' @export
getAccrued.FIBond <- function(bond, settleDate = nextBizDay()) {
getAccruedValue.FIBond(bond, settleDate) / getFace.FIBond(bond, settleDate) * 100
}
#' Calculate value of FIBond object
#'
#' @param bond FIBond object (can be a list)
#' @param yield FIBond yield in percentage (can be a vector)
#' @param settleDate Calculation date (can be a vector)
#'
#' @return Dirty value of bond object
#' @export
getValue.FIBond <- function(bond, yield, settleDate = nextBizDay()) {
len <- L(bond, yield, settleDate)
value <- numeric()
for (i in 1:len) {
bond.i <- E(bond, i)
yield.i <- E(yield, i)
settleDate.i <- E(settleDate, i)
if (settleDate.i >= bond.i$issueDate && settleDate.i <= bond.i$maturity) {
spans <- as.numeric(bond.i$couponDates - settleDate.i)
if (bond.i$formula == "OFZ") {
factors <- (spans > 0) * 1 / (1 + yield.i / 100) ^ (spans / 365)
payments <- bond.i$couponAmounts + bond.i$faceAmounts
} else {
numOfFutureCoupons <- length(spans[spans > 0])
factors <- 1 / (1 + yield.i / 100 / bond.i$couponFreq) ^
(1:numOfFutureCoupons - getCouponTime.FIBond(bond.i, settleDate.i))
payments <- tail(bond.i$couponAmounts + bond.i$faceAmounts, numOfFutureCoupons)
}
value[i] <- sum(payments * factors)
} else {
value[i] <- NA
}
}
return (value)
}
#' Calculate clean price of FIBond
#'
#' @param bond FIBond object (can be a list)
#' @param yield FIBond yield in percentage (can be a vector)
#' @param settleDate Calculation date (can be a vector)
#'
#' @return Clean price of FIBond object in percentage
#' @export
getPrice.FIBond <- function(bond, yield, settleDate = nextBizDay()) {
price <-
(getValue.FIBond(bond, yield, settleDate) - getAccruedValue.FIBond(bond, settleDate)) /
getFace.FIBond(bond, settleDate) * 100
return (price)
}
#' Calculate yield of FIBond object
#'
#' @param bond FIBond object (can be a list)
#' @param price FIBond clean price in percentage (can be a vector)
#' @param settleDate Calculation date (can be a vector)
#' @param digits Accuracy as a number of digits after point
#'
#' @return FIBond yield in percentage
#' @export
getYield.FIBond <- function(bond,
price,
settleDate = nextBizDay(),
digits = 4,
yieldRange = c(-90, 90)) {
yield <- numeric()
len <- L(bond, price, settleDate)
for (i in 1:len) {
bond.i <- E(bond, i)
price.i <- E(price, i)
settleDate.i <- E(settleDate, i)
if (settleDate.i >= bond.i$issueDate && settleDate.i <= bond.i$maturity) {
f <- function(x) (getPrice.FIBond(bond.i, x, settleDate.i) - price.i)
solution <- uniroot(f, yieldRange, tol = 10 ^ (-digits - 1))
yield[i] <- round(solution$root, digits)
} else {
yield[i] <- NA
}
}
return (yield)
}
#' Calculate PVBP of FIBond object
#'
#' @param bond FIBond object (can be a list)
#' @param price FIBond clean price in percentage (can be a vector)
#' @param settleDate Calculation date (can be a vector)
#'
#' @return PVBP of FIBond object in percentage
#' @export
getPVBP.FIBond <- function(bond, price, settleDate = nextBizDay()) {
bp <- 0.01
yield <- getYield.FIBond(bond, price, settleDate)
pvbp <- (getPrice.FIBond(bond, yield + bp) -
getPrice.FIBond(bond, yield - bp)) / 2
return (pvbp)
}
#' Calculate carry for FIBond object
#'
#' @param bond FIBond object (can be a list)
#' @param price FIBond clean price in percentage (can be a vector)
#' @param settleDate1 Start date (can be a vector)
#' @param settleDate2 End date (can be a vector)
#' @param repoRate Funding term repo rate in percentage (can be a vector)
#'
#' @return Carry for FIBond object
#' @export
getCarryValue.FIBond <- function(bond,
price,
settleDate1,
settleDate2,
repoRate) {
len <- L(bond, price, settleDate1, settleDate2, repoRate)
carry <- numeric()
for (i in 1:len) {
bond.i <- E(bond, i)
price.i <- E(price, i)
settleDate1.i <- E(settleDate1, i)
settleDate2.i <- E(settleDate2, i)
repoRate.i <- E(repoRate, i)
inPlay <- which(bond.i$couponDates > settleDate1.i & bond.i$couponDates <= settleDate2.i)
payments <- bond.i$couponAmounts[inPlay] + bond.i$faceAmounts[inPlay]
couponDates <- bond.i$couponDates[inPlay]
carry[i] <-
getAccruedValue.FIBond(bond.i, settleDate2.i) - getAccruedValue.FIBond(bond.i, settleDate1.i) +
sum(payments * (1 + repoRate.i / 100 * as.numeric(settleDate2.i - couponDates) / 360)) -
(
price.i / 100 * getFace.FIBond(bond.i, settleDate1.i) +
getAccruedValue.FIBond(bond.i, settleDate1.i)
) *
repoRate.i / 100 * as.numeric(settleDate2.i - settleDate1.i) / 360
}
return (carry)
}
#' Calculate carry for FIBond object in percentage of current face
#'
#' @param bond FIBond object (can be a list)
#' @param price FIBond clean price in percentage (can be a vector)
#' @param settleDate1 Start date (can be a vector)
#' @param settleDate2 End date (can be a vector)
#' @param repoRate Funding term repo rate in percentage (can be a vector)
#'
#' @return Carry for FIBond object in percentage of current face
#' @export
getCarry.FIBond <- function(bond,
price,
settleDate1,
settleDate2,
repoRate) {
getCarryValue.FIBond(bond, price, settleDate1, settleDate2, repoRate) /
getFace.FIBond(bond, settleDate1) * 100
}
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