detail_from_AnnivDates {ragtop}

Convert output of BondValuation::AnnivDates to inputd for Bond

Description

The BondValuation package provides day count convention treatments superior to quantmod or any other R package known (as of May 2019). This function takes output from BondValuation::AnnivDates(...) and parses it into notionals, maturity time, and coupon times and sizes.

Usage

detail_from_AnnivDates(
  anvdates,
  as_of = Sys.time(),
  normalization_factor = 365.25
)

Arguments

anvdates

Output of BondValuation::AnnivDates(), which must have included a 'Coup' argument so that the resulting list contains an entry for 'PaySched'

as_of

Date or time from whose perspective times should be computed

normalization_factor

Factor by which raw R time differences should be multiplied. If volatilites are going to be annualized, then this should typically be 365 or so.

Details

Note: volatilities used in 'ragtop' must have compatible time units to these times.

Value

A list with some of the arguments appropriate for defining a Bond as follows: maturity - maturity notional - notional amount coupons - 'data.frame' with 'payment_time', 'payment_size'