R/bond_price_float.R

bond_price_float <- function (date_ini, disc_mar, coupon, matur, freq, conv, serie_float_rate, issue_date=NULL, amort_mat = NULL, in_arrears=0, round_val=5)
{
  ##Esta funcion calcula precio para un titulo a partir de la tasa variable y un margen de descuento.
  ##disc_mar: margen de descuento
  ## serie_float_rate: Matrix donde columna 1 es fecha, columna 2 es valor.
  ##conv=c("act_360","act_365","act_act","30_360","30_360I","30_360E","nl_365"  )
  ##si in_arrears==1, todos los flujos se proyectan con indicador actual. Si in_arrears=0, el primer flujo se proyecta con tasa previa.

  model_count=switch(conv, "act_360"=days_act_360, "act_365"=days_act_365,"act_act"=days_act_act,"30_360"=days_30_360,"30_360I"=days_30_360I,"30_360E"=days_30_360E,"nl_365"=days_nl_365)
  model_diff=switch(conv, "act_360"=diff_act_360, "act_365"=diff_act_365,"act_act"=diff_act_act,"30_360"=diff_30_360,"30_360I"=diff_30_360I,"30_360E"=diff_30_360E,"nl_365"=diff_nl_365)
  coupon0=coupon

  per = 1
  length = 1
  if (freq != 0) {
    per = 12/freq
    length = as.numeric(freq * (matur - date_ini)/365) + 2
  }
  cpn_dates = sort(unique(c(seq(matur, by = paste0("-", per, " months"), length = length),issue_date)))
  fut_cpn_dates = cpn_dates[cpn_dates > date_ini]
  lfutcpn=length(fut_cpn_dates)

  times = model_count(fut_cpn_dates, date_ini)$times
  delta = tail(model_diff(cpn_dates)$times, length(fut_cpn_dates))


    date_prev=tail(cpn_dates[cpn_dates < date_ini],1)
    float_rate_1=as.numeric(serie_float_rate[findInterval(date_ini, index(serie_float_rate))])
    if(length(float_rate_1)==0){stop("Actualizar Series de Indices!!")}
    coupon=rep(float_rate_1+coupon,lfutcpn)
    if(in_arrears==0){

      float_rate_0=as.numeric(serie_float_rate[findInterval(date_prev, index(serie_float_rate))])
      coupon[1]=float_rate_0+coupon0
    }

  if(any(is.na(delta)) & coupon[1]!=0){
    delta = model_count(fut_cpn_dates, issue_date)$times}
  delta=ifelse(is.na(delta),1,delta)
  df = 1/(1 + (float_rate_1+disc_mar)*times)
  df=ifelse(df<0,1,df)
  cum_coupon=round(coupon[1]*(delta[1]-model_count(fut_cpn_dates[1], date_ini)$times),round_val)
  if(!is.null(amort_mat)){
    cf_cap=rep(0,lfutcpn)
    pos_amort=match(amort_mat[,1],fut_cpn_dates)
    if(any(is.na(pos_amort))){stop("Fechas de amortizaci?n no coinciden con fechas de flujos.")}
    cf_cap[pos_amort]=amort_mat[,2]
    cf = coupon * delta + cf_cap
  }else{
    cf = coupon * delta
    cf[lfutcpn] = cf[lfutcpn] + 1
  }
  full_price = round(sum(cf * df),round_val)
  clean_price=round(full_price-cum_coupon, round_val)
  return(list(full_price = full_price, clean_price = clean_price, cum_coupon=cum_coupon))
}
veldanie/SuraFixedIncome documentation built on Feb. 15, 2021, 9:42 a.m.