termstrc (version 1.3.7)

prepro_bond: Bonddata preprocess function

Description

Preprocessing a static coupon bond data set, i.e., calculation of cashflows, maturities matrices, price, accrued interest vectors, yield-to-maturity and duration matrices.

Usage

prepro_bond(group, bonddata, matrange = "all")

Arguments

group

character, specifies group of a bond data set.

bonddata

Static bond data set.

matrange

bond data set is filtered according to chosen maturity spectrum c(min,max).

Value

n_group

group length

sgroup

sequence of the group length

cf

list with cashflows matrices

cf_p

list with cashflows matrices including the current dirty prices

m

list with maturites matrices

m_p

list with cashflows matrices including the maturities of the current dirty prices

p

list with the dirty price vectors

ac

list with the accrued interest vectors

y

list with the yield-to-maturity matrices

duration

list with the duration, duration based weights matrices

timestamp

date of the data

Examples

data(govbonds)
bdata <- prepro_bond("GERMANY",govbonds,c(0,10))
## print maturites matrix
bdata$m