| pvFullPrice {bondAnalyst} | R Documentation |
Calculates Present Value of the Full Price of the Bond including Accrued Interest.
Description
Calculates Present Value of the Full Price of the Bond including Accrued Interest.
Usage
pvFullPrice(n, ytm, coupon, maturityVal, daysCpnToSettle, daysCouponPeriod)
Arguments
n |
A number. |
ytm |
A number. |
coupon |
A number. |
maturityVal |
A number. |
daysCpnToSettle |
A number. |
daysCouponPeriod |
A number |
Details
According to information provided by Adams and Smith (2019), the method pvFullPrice() is developed to calculate the Present Value of the Full Price of the Bond including Accrued Interest. Full Price of the Bond is the present value of the coupon interest and principal payments with each cash flow discounted by Yield-To-Maturity rate. Here, n is number of periods, ytm is yield-to-maturity, coupon is dollar value of the coupon payment, maturityVal is maturity Value, daysCpnToSettle is the number of days from the last coupon payment to the settlement date, and daysCouponPeriod is the number of days in the coupon period.
Value
Input values to six arguments n , ytm, coupon, maturityVal, daysCpnToSettle, and daysCouponPeriod.
Author(s)
MaheshP Kumar, maheshparamjitkumar@gmail.com
References
Adams,J.F. & Smith,D.J.(2019). Understanding Fixed‑Income Risk and Return. In CFA Program Curriculum 2020 Level I Volumes 1-6. (Vol. 5, pp. 237-299). Wiley Professional Development (P&T). ISBN 9781119593577, https://bookshelf.vitalsource.com/books/9781119593577
Examples
pvFullPrice(n=8*2,ytm=0.06/2,coupon=3,maturityVal=100,daysCpnToSettle=57,daysCouponPeriod=180)
pvFullPrice(n=10,ytm=0.104,coupon=8,maturityVal=100,daysCpnToSettle=0,daysCouponPeriod=0)