Description Usage Arguments Value Examples
Preprocessing a static coupon bond data set, i.e., calculation of cashflows, maturities matrices, price, accrued interest vectors, yield-to-maturity and duration matrices.
1 | prepro_bond(group, bonddata, matrange = "all")
|
group |
character, specifies group of a bond data set. |
bonddata |
Static bond data set. |
matrange |
bond data set is filtered according to chosen maturity spectrum |
n_group |
group length |
sgroup |
sequence of the group length |
cf |
list with cashflows matrices |
cf_p |
list with cashflows matrices including the current dirty prices |
m |
list with maturites matrices |
m_p |
list with cashflows matrices including the maturities of the current dirty prices |
p |
list with the dirty price vectors |
ac |
list with the accrued interest vectors |
y |
list with the yield-to-maturity matrices |
duration |
list with the duration, duration based weights matrices |
timestamp |
date of the data |
1 2 3 4 | data(govbonds)
bdata <- prepro_bond("GERMANY",govbonds,c(0,10))
## print maturites matrix
bdata$m
|
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