RcmdrPlugin.RiskDemo (version 1.9)

bondPrice: Computing bond prices

Description

This function computes the bond price, given the yield to maturity.

Usage

bondPrice(buyDate, matDate, rateCoupon, yieldToMat, nPay)

Arguments

buyDate

the date at which the bond is bought (settlement date).

matDate

maturity date

rateCoupon

annual coupon date

yieldToMat

yield to maturity

nPay

number of coupon payments per day

Value

A list with the following components:

yieldToMaturity

yield to maturity

flatPrice

flat price

daysSinceLastCoupon

days since previous coupon payment

daysInCouponPeriod

days in a coupon period

accruedInterest

accrued interest since last coupon payment

invoicePrice

invoice price (= flat price + accrued interest)

Details

All the rates are given in decimals.

References

Bodie, Kane, and Marcus (2014) Investments, 10th Global Edition, McGraw-Hill Education, (see Bond Pricing between Coupon Dates in Section 14.2).

See Also

solveYield

Examples

# NOT RUN {
bondPrice("2012-7-31","2018-7-31",0.0225,0.0079,2)
bondPrice("2012-7-31","2018-7-31",0.0225,0.0079,4)
bondPrice("2012-7-31","2030-5-15",0.0625,0.02117,2)
# }

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