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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 returns the schedualed bond cashflows, 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 cashflow 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 cashflow's 'IRR' (internal rate of return) value. Thus, it doesn't equal to the Excel's Yield value, which is adjusted using this formula \(YTM (fcl) = (1 + frac{Yield (Excel)}{n})^n - 1\), where n is the 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 \(Yield (Excel) = frac{Cashflow}{Price} - 1\).

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