bundData: German Government Bond Data

In NMOF: Numerical Methods and Optimization in Finance

Description

A sample of data on 44 German government bonds. Contains ISIN, coupon, maturity and dirty price as of 2010-05-31.

Usage

bundData

Format

bundData is a list with three components: cfList, tmList and bM. cfList is list of 44 numeric vectors (the cash flows). tmList is a list of 44 character vectors (the payment dates) formatted as YYYY-MM-DD. bM is a numeric vector with 44 elements (the dirty prices of the bonds).

Details

All prices are as of 31 May 2010. See chapter 14 in Gilli et al. (2011).

Source

The data was obtained from http://www.deutsche-finanzagentur.de . The data is also freely available from the website of the Bundesbank http://www.bundesbank.de .

References

Gilli, M., Maringer, D. and Schumann, E. (2011) Numerical Methods and Optimization in Finance. Elsevier. http://www.elsevierdirect.com/product.jsp?isbn=9780123756626

Schumann, E. (2013) The NMOF Manual. http://enricoschumann.net/NMOF.htm

Examples

bundData
str(bundData)

## get ISINs of bonds
names(bundData$cfList)

## get a specific bond
thisBond <- "DE0001135358"
data.frame(dates = as.Date(bundData$tmList[[thisBond]]),
           payments = bundData$cfList[[thisBond]])

NMOF documentation built on May 2, 2019, 6:39 p.m.