examples/fixedratebond.r

In wilsonfreitas/R-fixedincome: Fixed Income Models, Calculations, Data Structures and Instruments

source("examples/utils-functions.R")
library(fixedincome)
library(dplyr)
library(bizdays)
library(stringr)
# fini package

maturity2date <- function(x, expr = "first day") {
    year <- as.integer(str_sub(x, 2)) + 2000
    month <- str_pad(code2month(str_sub(x, 1, 1)), 2, pad = "0")
    getdate(expr, paste0(year, "-", month))
}

code2month <- function(x) {
    m <- c(
        F = 1, G = 2, H = 3, J = 4, K = 5, M = 6,
        N = 7, Q = 8, U = 9, V = 10, X = 11, Z = 12
    )
    m[x]
}

ZeroCouponBond(
    Name = "LTN_20110101",
    Currency = "BRL",
    Daycount = "business/252",
    Calendar = "Brazil/ANBIMA",
    DiscountCurve = Curve("curve_name"),
    Notional = 1000,
    MaturityDate = as.Date("2025-01-01"),
    MaturityDateAdjustment = "following",
    SpotPrice = 719.14,
    YieldRate = "0.1247 discrete business/252 Brazil/ANBIMA",
    TheoPrice = PricingFunction("function_name")
)

ZeroCouponBond(
    Name = "DI1F",
    Currency = "BRL",
    Daycount = "business/252",
    Calendar = "Brazil/ANBIMA",
    DiscountCurve = Curve("curve_name"),
    Notional = 1000,
    MaturityDate = as.Date("2025-01-01"),
    MaturityDateAdjustment = "following",
    SpotPrice = 719.14,
    YieldRate = "0.1247 discrete business/252 Brazil/ANBIMA",
    TheoPrice = PricingFunction("function_name")
)

df <- get_contracts(Sys.Date() - 1)

df |>
    filter(Mercadoria == "DI1") |>
    mutate(
        Name = paste0(Mercadoria, Vencimento),
        MaturityDate = maturity2date(Vencimento, "first day"),
        Currency = "BRL",
        Daycount = "business/252",
        Calendar = "Brazil/ANBIMA",
        CalendarAdjustment = "following",
        Notional = 100000,
    )