bundData {NMOF} | R Documentation |
German Government Bond Data
Description
A sample of data on 44 German government bonds. Contains ISIN, coupon, maturity and dirty price as of 2010-05-31.
Usage
bundData
Format
bundData
is a list with three components: cfList
,
tmList
and bM
.
cfList
is list of 44 numeric vectors (the cash
flows). tmList
is a list of 44 character vectors (the payment dates)
formatted as YYYY-MM-DD. bM
is a
numeric vector with 44 elements (the dirty prices of the bonds).
Details
All prices are as of 31 May 2010. See chapter 14 in Gilli et al. (2011).
Source
The data was obtained from https://www.deutsche-finanzagentur.de/en/ . The data is also freely available from the website of the Bundesbank https://www.bundesbank.de/en/ .
References
Gilli, M., Maringer, D. and Schumann, E. (2019) Numerical Methods and Optimization in Finance. 2nd edition. Elsevier. doi:10.1016/C2017-0-01621-X
Schumann, E. (2023) Financial Optimisation with R (NMOF Manual). http://enricoschumann.net/NMOF.htm#NMOFmanual
Examples
bundData
str(bundData)
## get ISINs of bonds
names(bundData$cfList)
## get a specific bond
thisBond <- "DE0001135358"
data.frame(dates = as.Date(bundData$tmList[[thisBond]]),
payments = bundData$cfList[[thisBond]])