| price.dirty2clean {QuantBondCurves} | R Documentation |
From one price to another
Description
Converts bond prices from dirty to clean and viceversa.
Usage
price.dirty2clean(
maturity,
analysis.date = Sys.Date(),
price,
dirty = 1,
coupon.rate,
principal = 1,
asset.type = "TES",
freq = NULL,
daycount = "NL/365"
)
Arguments
maturity |
Last day of the contract: YYYY-MM-DD. Alternatively, it 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. |
price |
Numeric value. Price of the bond to convert. |
dirty |
Numeric value. Determines if the input price corresponds to the
dirty price or the clean price. For dirty price, set |
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'. |
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.
"LIBOR" for bonds and assets 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
Value
The dirty price or clean price of a bond.
Examples
price.dirty2clean(maturity = "2026-01-03", analysis.date = "2023-01-02",
price = 1, dirty = 1, coupon.rate = 0.04, principal = 1)
price.dirty2clean(maturity = "2026-01-03", analysis.date = "2023-01-02",
price = 0.9601096, dirty = 0, coupon.rate = 0.04, principal = 1)