Description Usage Arguments Details Value Author(s) Examples
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
1 | bondFullPrice(bond, yield, cashFlowPd, t0, t1, currentDate)
|
bond |
is a bondSpec object created by |
yield |
is the yield on the bond |
cashFlowPd |
cash flow period |
t0 |
previous coupon date |
t1 |
next coupon period |
currentDate |
current date |
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.
price of the bond: clean, dirty and accrued interest
Thomas Fillebeen
1 2 3 4 5 6 7 8 9 | 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
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