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.
detail_from_AnnivDates(
anvdates,
as_of = Sys.time(),
normalization_factor = 365.25
)Output of BondValuation::AnnivDates(), which must have included a `Coup` argument so that the resulting list contains an entry for `PaySched`
Date or time from whose perspective times should be computed
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.
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`
Note: volatilities used in `ragtop` must have compatible time units to these times.