bondFullPrice: bondFullPrice

Description Usage Arguments Details Value Author(s) Examples

Description

Estimate price of bond w/ acrrued interest The present value of a bond's cash flows should be equated or compared with its full price, with the amount a purchaser actually pays to purchase those cash flows. The flat price is denoted by p, accrued interest is AI, the present value of the cash flows by PV, and the full price by P: P=p+AI=PV

Usage

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bondFullPrice(bond, yield, cashFlowPd, t0, t1, currentDate)

Arguments

bond

is a bondSpec object created by bondSpec

yield

is the yield on the bond

cashFlowPd

cash flow period

t0

previous coupon date

t1

next coupon period

currentDate

current date

Details

This function calculates the price of a fixed rate coupon bond given coupon rate, yield, compoundPd, cashFlowPd, face value, previous coupon date, next coupon date.

Value

price of the bond: clean, dirty and accrued interest

Author(s)

Thomas Fillebeen

Examples

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t0 = as.Date("2013-08-15")
t1 = as.Date("2014-02-15")
tn = as.Date("2013-10-04")
currentDate = tn
bond = bondSpec(face=100, m=2, couponRate = 0.0475)
y1 = 0.00961
bondFullPrice(bond, y1, 8, t0, t1, tn)$clean
bondFullPrice(bond, y1, 8, t0, t1, tn)$dirty
bondFullPrice(bond, y1, 8, t0, t1, tn)$accruedInterest

GARPFRM documentation built on May 2, 2019, 5:45 p.m.