Package: BondValuation 0.1.1

Djatschenko Wadim

BondValuation: Fixed Coupon Bond Valuation Allowing for Odd Coupon Periods and Various Day Count Conventions

Analysis of large datasets of fixed coupon bonds, allowing for irregular first and last coupon periods and various day count conventions. With this package you can compute the yield to maturity, the modified and MacAulay durations and the convexity of fixed-rate bonds. It provides the function AnnivDates, which can be used to evaluate the quality of the data and return time-invariant properties and temporal structure of a bond.

Authors:Djatschenko Wadim [aut, cre]

BondValuation_0.1.1.tar.gz
BondValuation_0.1.1.tar.gz(r-4.5-noble)BondValuation_0.1.1.tar.gz(r-4.4-noble)
BondValuation_0.1.1.tgz(r-4.4-emscripten)BondValuation_0.1.1.tgz(r-4.3-emscripten)
BondValuation.pdf |BondValuation.html
BondValuation/json (API)
NEWS

# Install 'BondValuation' in R:
install.packages('BondValuation', repos = c('https://cran.r-universe.dev', 'https://cloud.r-project.org'))

Peer review:

Uses libs:
  • c++– GNU Standard C++ Library v3
Datasets:
  • List.DCC - List of the day count conventions implemented.
  • NonBusDays.Brazil - Non-business days in Brazil from 1946-01-01 to 2299-12-31.
  • PanelSomeBonds2016 - A panel of of 100 plain vanilla fixed coupon corporate bonds.
  • SomeBonds2016 - Properties of 100 plain vanilla fixed coupon corporate bonds.

This package does not link to any Github/Gitlab/R-forge repository. No issue tracker or development information is available.

cpp

1.00 score 8 scripts 192 downloads 5 exports 2 dependencies

Last updated 3 years agofrom:0b492c4eed. Checks:OK: 2. Indexed: yes.

TargetResultDate
Doc / VignettesOKDec 19 2024
R-4.5-linux-x86_64OKDec 19 2024

Exports:AccrIntAnnivDatesBondVal.PriceBondVal.YieldDP

Dependencies:RcpptimeDate