bondAnalyst (version 1.0.1)

pvFullPrice: 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)

Value

Input values to six arguments n , ytm, coupon, maturityVal, daysCpnToSettle, and daysCouponPeriod.

Arguments

n

A number.

ytm

A number.

coupon

A number.

maturityVal

A number.

daysCpnToSettle

A number.

daysCouponPeriod

A number

Author

MaheshP Kumar,

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.

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)