coupons {QuantBondCurves}

Coupon payment calculation

Description

Function that returns coupon values according to specified payment dates and a day count convention. Yields the values of cash flows for the remaining duration of assets, following a date payment structure, face value -or principal- and a specified coupon rate.

Usage

coupons(
  dates = NULL,
  coupon.rate,
  principal = 1,
  asset.type = "TES",
  freq = NULL,
  daycount = "ACT/360",
  loc = "BOG",
  maturity = NULL,
  analysis.date = Sys.Date(),
  trade.date = NULL,
  coupon.schedule = "SF"
)

Arguments

dates

Coupon payment dates.

coupon.rate

Coupon rate of the asset. Can be an unique numeric value or a vector corresponding to each coupon payment date.

principal

Notional amount for the asset.

asset.type

String that determines the asset type to value. See also 'Details'.

freq

Frequency of payments of a given asset in a year. For LIBOR and IBR the default frequency is four (quarterly payments). TES has a default frequency of one (annual payments).

daycount

Day count convention. See also 'Details'.

loc

String related to the location of the asset. It is used to calculate the effective dates, taking into account the business days of the given location. See also 'Details'.

maturity

Only necessary in cases where coupon payment dates are not provided in the dates parameter. Last day of the contract. Can be a numeric value that represents the duration of the contract in years.

analysis.date

Date in which the asset is valued. By default, the current date.

trade.date

The date on which the transaction occurs. It is used to calculate maturity as a date, when given in years. Also required for non-trivial cases such as bonds with long first coupon.

coupon.schedule

String that establishes if a bond first coupon period is a long first coupon or a short first coupon. On the contrary, establishes if last coupon period is long last coupon or a short last coupon. See also 'Details'.

Details

asset.type makes reference to the following type of assets:

• "TES" for Colombian Treasury Bonds (default).

• "FixedIncome" for assets that are indexed to a fixed income with different frequency of payments.

• "IBR" for bonds and assets indexed to 3M IBR rate.

• "IBRSwaps" for swaps indexed to IBR rate.

• "LIBOR" for bonds and assets indexed to 3M LIBOR.

• "UVRSwaps" for cross-currency swaps indexed to UVR-IBR rate.

• "LIBORSwaps" for Interest Rate Swaps (IRS) indexed to 3M LIBOR.

daycount convention accepts the following values:

• 30/360.

• ACT/365.

• ACT/360 (Default).

• ACT/365L.

• NL/365.

• ACT/ACT-ISDA

• ACT/ACT-AFB

coupon.schedule makes reference to the following type of coupon payment schedule of a bond:

• "LF" for Long First coupon payment.

• "LL" for Long Last coupon payment.

• "SF" for Short First coupon payment.

• "SL" for Short Last coupon payment.

Value

$Coupons or $Cash flows of the asset in analysis.

Examples

coupons(dates = c("2020-09-10", "2020-12-10", "2021-03-10"),
        coupon.rate = 0.06)
coupons(dates = c("2020-09-10", "2020-12-10", "2021-03-10"),
        coupon.rate = 0.08, principal = 1000,
        asset.type = "LIBOR", daycount = "ACT/365")
coupons(dates = c("2020-09-10","2020-12-10", "2021-03-10"),
        coupon.rate = 0.07, asset.type = "FixedIncome",
        freq = 4, daycount = "NL/365")
coupons(coupon.rate = c(0.04,0.04,0.42,0.045,0.05),
        maturity = "2024-01-05", analysis.date = "2023-01-03",
        asset.type = "IBR")
coupons(coupon.rate = 0.03, maturity = 1.08,
        analysis.date = "2020-02-29", trade.date = "2020-02-29",
        asset.type = "IBR", coupon.schedule = "LF")