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jrvFinance

This R package implements the basic financial analysis functions similar to (but not identical to) what is available in most spreadsheet software. This includes finding the IRR and NPV of regularly spaced cash flows and annuities. Bond pricing and YTM calculations are included. In addition, Black Scholes option pricing and Greeks are also provided.

NPV, XNPV, IRR and XIRR functions

npv(cf=c(100,250,300), rate=5e-2)
npv(cf=c(1,3,2), rate=10e-2, cf.t=c(0.3,1.9,2.5))
irr(c(-600,300,400))
irr(cf=c(-450,100,300,200), cf.t=c(0, 0.3,1.9,2.5)) 

Annuity functions

annuity.pv(rate=10e-2, n.periods=15)
annuity.pv(rate=10e-2, n.periods=15, immediate.start = TRUE)
annuity.pv(rate=10e-2, instalment = 450, n.periods=360, cf.freq=12, comp.freq=2)
annuity.rate(pv=50000, instalment = 450, n.periods=360, cf.freq=12, comp.freq=2)
annuity.instalment(rate=9e-2, pv=10000, n.periods=8)
annuity.instalment.breakup(rate=9e-2, pv=10000, n.periods=8, period.no=5)

Bond Price, Yield and Duration

bond.price(settle="2012-04-15", mature="2022-01-01", coupon=8e-2,
           yield=8.8843e-2)
bond.price(settle="2012-04-15", mature="2022-01-01", coupon=8e-2,
bond.price(settle="2012-04-15", mature="2022-01-01", coupon=8e-2,
           yield=8.8843e-2, freq=1, comp.freq=2)
bond.yield(settle="2012-04-15", mature="2022-01-01", coupon=8e-2,
           price=95) 
bond.duration(settle="2012-04-15", mature="2022-01-01", coupon=8e-2,
              yield=8.8843e-2)
bond.duration(settle="2012-04-15", mature="2022-01-01", coupon=8e-2,
              yield=8.8843e-2, modified=TRUE)
coupons.dates(settle="2012-04-15", mature="2022-01-01")
coupons.next(settle="2012-04-15", mature="2022-04-01")
coupons.prev(settle="2012-04-15", mature="2022-04-01")
coupons.n(settle="2012-04-15", mature="2017-07-01")

(Generalized) Black Scholes Formulas

GenBS(s=100, X=100, r=0.1, Sigma=20e-2, t=1, div_yield=0)
GenBS(s=100, X=120, r=0.1, Sigma=15e-2, t=1, div_yield=5.8e-2)
GenBSImplied(s=100, X=900, r=0, price=7.97, t=1, div_yield=0)

Utility functions

equiv.rate(10e-2, from.freq = 12, to.freq = 2) 
equiv.rate(15e-2, from.freq = 1, to.freq = Inf)
edate("2005-05-17", -8) 
edate("2007-02-28", 4) 

Newton Raphson and bisection root solver

The package implements a Newton Raphson root solver that is used internally to calculate IRR and YTM. It is available for general use.

fn1 <-function(x){list(value=sin(x)-cos(x), gradient=cos(x)+sin(x))} 
newton.raphson.root(fn1) 

The package implements a bisection root solver that does a geometric grid search to bracket the root and then calls uniroot to find the root within this interval. The package uses the function internally to calculate IRR and YTM, but bisection.root is available for general use.

bisection.root(sin, guess = 7, lower=1, upper=13)
bisection.root(sin, guess = 12, lower=1, upper=13) 

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Install

install.packages('jrvFinance')

Monthly Downloads

618

Version

1.4.1

License

GPL (>= 2)

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Maintainer

Jayanth Varma

Last Published

March 15th, 2019

Functions in jrvFinance (1.4.1)

bonds

Bond pricing using yield to maturity.
edate

Shift date by a number of months
equiv.rate

Equivalent Rates under different Compounding Conventions
coupons

Bond pricing using yield to maturity.
annuity

Present Value of Annuity and Related Functions
npv

Net Present Value
bisection.root

Find zero of a function by bracketing the zero and then using bisection.
GenBS

Generalized Black Scholes model for pricing vanilla European options
GenBSImplied

Generalized Black Scholes model implied volatility
jrvFinance-package

Basic Finance: NPV/IRR/annuities, bond pricing, Black Scholes
newton.raphson.root

A Newton Raphson root finder: finds x such that f(x) = 0
daycount

Day count and year fraction for bond pricing
duration

Duration and Modified Duration
irr

Internal Rate of Return
irr.solve

Solve for IRR (internal rate of return) or YTM (yield to maturity)