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Create Fixed Bond Object

Source: R/fixed-bond.R
fixed_bond.Rd

Create Fixed Bond Object

Usage

fixed_bond(value_date, mty_date, redem_value, cpn_rate, cpn_freq)

Arguments

value_date, mty_date

the value and maturity date of the bond

redem_value, cpn_rate, cpn_freq

the redemption value, coupon rate and coupon frequency of the bond. Note that the frequency can only be one of 1, 2, 4, 0 (pay at mature)

Value

it returns an environment containing the following objects:

  • .self: an external pointer of the Rust object.

  • len(): a function returns the length of the internal bonds object.

  • ytm_dur(ref_date, clean_price): a function returns a data.frame, with three columns, 'YTM' (Yield to Maturity), 'MODD' (Modified Duration) and 'MACD' (Macaulay Duration).

  • cf(ref_date): a function that returns the scheduled bond cash flows, in xts format.

Note

  • all arguments must be the same length or 1.

  • The date input will be converted to Date object via ymd::ymd().

  • It doesn't take the day count convention into account for now.

  • There's no support for business day calendar. The dates in the cash flow projection are the same days in the next few months (see ymd::edate()). It considers different days in each month but no weekend date adjustment.

  • The 'YTM' value is the cash flow's 'IRR' (internal rate of return) value. Thus, it doesn't equal to the Yield value returned by Excel, which is adjusted using this formula \(YTM (fcl) = (1 + frac{Yield (Excel)}{n})^n - 1\), where n is the coupon payment frequency, when the remaining life of the bond is larger than 1.

  • When the bond is going to mature within one year, the \(Yield (Excel) = frac{Cash flow}{Price} - 1\).

Examples

bond <- fixed_bond(
  value_date = 210101,
  mty_date = c(250101, 300201),
  redem_value = 100,
  cpn_rate = c(0.05, 0.03),
  cpn_freq = c(0, 1)
)
bond$ytm_dur(
  ref_date = c(220101, 220201),
  clean_price = 100
)
#>          YTM     MACD     MODD
#> 1 0.04552728 3.000000 2.869366
#> 2 0.02999755 7.212793 7.002728
bond$cf(
  ref_date = c(220101, 220131)
)
#>    ID       DATE     COUPON REDEM
#> 1   1 2025-01-01 20.0000000   100
#> 2   2 2023-01-01  3.0000000     0
#> 3   2 2024-01-01  3.0000000     0
#> 4   2 2025-01-01  3.0000000     0
#> 5   2 2026-01-01  3.0000000     0
#> 6   2 2027-01-01  3.0000000     0
#> 7   2 2028-01-01  3.0000000     0
#> 8   2 2029-01-01  3.0000000     0
#> 9   2 2030-01-01  3.0000000     0
#> 10  2 2030-02-01  0.2547945   100