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


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Documentation for package ‘BondValuation’ version 0.1.0

Help Pages

AccrInt AccrInt (calculation of accrued interest)
AnnivDates AnnivDates (time-invariant properties and temporal structure)
BondVal.Price BondVal.Price (calculation of CP, AccrInt, DP, ModDUR, MacDUR and Conv)
BondVal.Yield BondVal.Yield (calculation of YtM, AccrInt, DP, ModDUR, MacDUR and Conv)
DP DP (dirty price calculation of a fixed-coupon bond)
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.