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bondAnalyst (version 1.0.1)

Methods for Fixed-Income Valuation, Risk and Return

Description

Bond Pricing and Fixed-Income Valuation of Selected Securities included here serve as a quick reference of Quantitative Methods for undergraduate courses on Fixed-Income and CFA Level I Readings on Fixed-Income Valuation, Risk and Return. CFA Institute ("CFA Program Curriculum 2020 Level I Volumes 1-6. (Vol. 5, pp. 107-151, pp. 237-299)", 2019, ISBN: 9781119593577). Barbara S. Petitt ("Fixed Income Analysis", 2019, ISBN: 9781119628132). Frank J. Fabozzi ("Handbook of Finance: Financial Markets and Instruments", 2008, ISBN: 9780470078143). Frank J. Fabozzi ("Fixed Income Analysis", 2007, ISBN: 9780470052211).

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install.packages('bondAnalyst')

Monthly Downloads

334

Version

1.0.1

License

GPL-3

Maintainer

MaheshP Kumar

Last Published

August 13th, 2022

Functions in bondAnalyst (1.0.1)

approxMacDurationUsingApprModifDuration

Calculates the Approximated Macaulay duration using the Approximate Modified Duration and Yield-To-Maturity.

changePvFullBondPrice

Calculates estimated change in the Full Price of the Bond (in currency units) for a given Money Duration and a given change in the Yield-To-Maturity.

bondPriceExcessCoupon

Calculates the Price of Bond making Excess Coupon Payments.

Calculates the accrued interest with actual-by-actual day convention.

aiRoundedDaysConv

Calculates the accrued interest with 30-by-360, day convention.

computingAORMoneyMarketInstr

Calculates Add-on Rate (AOR) of Money Market Instruments.

bondPriceDefCoupon

Calculates the Price of Bond making Deficient Coupon Payments.

annualYtmZcbForPeriodicity

Calculates annual Yield-To-Maturity (YTM) of Zero-Coupon Bond with given Price and given Maturity Value for various values of Periodicity.

approxModifDuration

Calculates the Approximate Modified Duration.

bondPriceYearlyCoupons

Calculates Present Value or the Price of the Bond paying Annual Coupons.

computingParRate

Calculates Par Rate using the given Spot Rates.

Calculates Yearly Forward Rates using the given Spot Rates.

Calculates Yield-To-Call (YTC).

computingQuotedDiscRateMMI

Calculates Discount Rate of Money Market Instrument.

estimatedPercentChangePVFullPrice

Calculates the percentage change in Full Price of the Bond for a given a change in its Yield-To-Maturity and Modified Duration statistic.

computingBondPVBP

Calculates Price Value of a Basis Point (PVBP) for the Bond.

periodicDiscRateFRN

Calculates periodic discount rate of a Floating-Rate Note (FRN).

extraCompensationForHigherRisk

Calculates desired extra compensation (in terms of bps) for a risky Bond as compared Annual Percentage Rate(APR) of a comparable Bond.

Calculates Money Duration of a Bond.

Calculates Bond Price using the Forward Rate Input.

computingBondYtmRateFiveDecimalPlaces

Calculates the Yield-To-Maturity (value up to five decimal places) of the Bond paying Annual Coupons.

disMaturityValBond

Calculates the Discounted Value of the the Par Value of the Bond or the amount to be paid at the maturity of the Bond using the Market Discount Rate.

computingZspread

Calculates Z-Spread.

fvMmiUsingQuotedDiscRate

Calculates Future Value of Money Market Instruments using the given Discount Rate.

macDurationOnFP

Calculates Macaulay Duration using the Full Price of the Bond and Yield-To-Maturity.

convertAPRtoDifferentPeriodcity

Converting an Annual Percentage Rate (APR) from a periodicity of 2 to another periodicity of 4, 12, or 1.

computingBondYtmRateSixDecimalPlaces

Calculates the Yield-To-Maturity (value up to six decimal places) of the Bond paying Annual Coupons.

pricingCommercialPaper

Calculates Price of Commercial Paper.

computingGspread

Calculates the G-Spread which is the spread between the yields-to-maturity on the corporate bond and that of government bond having the same maturity.

disCouponPmtsBond

Calculates Discounted Value of Coupon Payments of the Bond using Market Discount Rate or the Required Rate of Return.

modifDurationUsingMacDuration

Calculates Modified Duration using the Macaulay Duration and Yield-To-Maturity.

fvMoneyMarketInstrUsingAOR

Calculates Future Value of Money Market Instrument using Add-on Rate (AOR)

Calculates Modified Duration statistic of a traditional Fixed-Rate Bond.

Calculates Macaulay Duration of a traditional Fixed-Rate Bond.

Calculates Discount Margin of a Floating-Rate Note (FRN).

pricingSaCpnBond

Calculates Present Value or the Price of the Bond paying semi-annual Coupons.

Calculate Present Value or the Price of illiquid Bond using Matrix Method.

pricingWithSpots

Calculate Present Value or the Price of the Bond using Spot Rates.

pricingWithGspread

Calculates Bond Price using given values of G-Spread and yield-to-maturity for the government benchmark bond.

Calculates Price of a Treasury bill (T-bill).

macDurationOnCouponRate

#'Calculates Macaulay Duration using the Coupon Rate and Yield-To-Maturity.

Calculates Price of a Floating-Rate Note (FRN).

Calculates the Present Value of the Excess Coupon Payment resulting due to higher Coupon Rate as compared the Market Discount Rate.

pricingZeroCouponBond

Calculates the Price of a Zero-Coupon Bond.

pvCouponDeficiency

Calculates the Present Value of the Deficiency as result of lower Coupon Payments as compared that of the Market.

Calculates Present Value of the Full Price of the Bond including Accrued Interest.

earZcbVariousPeriodicity

Calculates Effective Annual Rate (EAR) of a Zero-Coupon Bond for various values of Periodicity.

pricingMoneyMarketInstrUsingAOR

Calculates Price of Money Market Instruments using Add-on Rate (AOR)

pricingQtrlyCpnBond

Calculates Present Value or the Price of the Bond paying Quarterly Coupons.

ytmZeroCouponBond

Calculates the Yield-To-Maturity(YTM) of a Zero-Coupon Bond.

returnIncomeFRN

Calculates estimated Return on Floating-Rate Note (FRN) for a given Index, Quoted Margin, Maturity Value, and Periodicity.

Calculates Semi-Annual Forward Rates using the given Spot Rates.

effDurtnCallableBond

Calculates the Effective Duration statistic of a Callable Bond.

pricingWithSptSeq

Calculate Present Value or the Price of the Bond using two different Sequences of Spot Rates.

pricingWithZspread

Calculates Bond Price using the given value of a Z-Spread and spot rates taken from the spots curve.