Package: bondAnalyst 1.0.1

bondAnalyst: Methods for Fixed-Income Valuation, Risk and Return

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).

Authors:MaheshP Kumar [aut, cre], MaheshP Kumar [aut], MaheshP Kumar [ctb]

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# Install 'bondAnalyst' in R:
install.packages('bondAnalyst', repos = c('https://maheshpkumar.r-universe.dev', 'https://cloud.r-project.org'))

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This package does not link to any Github/Gitlab/R-forge repository. No issue tracker or development information is available.

1.00 score 285 downloads 55 exports 2 dependencies

Last updated 2 years agofrom:e8939d5db2. Checks:OK: 7. Indexed: yes.

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Exports:aiActDtConaiRoundedDaysConvannualYtmZcbForPeriodicityapproxMacDurationUsingApprModifDurationapproxModifDurationbondPriceDefCouponbondPriceExcessCouponbondPriceYearlyCouponschangePvFullBondPricecomputingAORMoneyMarketInstrcomputingBondPVBPcomputingBondYtmRateFiveDecimalPlacescomputingBondYtmRateSixDecimalPlacescomputingGspreadcomputingParRatecomputingQuotedDiscRateMMIcomputingYTCcomputingZspreadconvertAPRtoDifferentPeriodcitydiscMarginFRNdisCouponPmtsBonddisMaturityValBondearZcbVariousPeriodicityeffDurtnCallableBondestimatedPercentChangePVFullPriceextraCompensationForHigherRiskforwardsfrPricingfvMmiUsingQuotedDiscRatefvMoneyMarketInstrUsingAORmacDurationmacDurationOnCouponRatemacDurationOnFPmatrixMethodmodifDurationmodifDurationUsingMacDurationmoneyDurationperiodicDiscRateFRNpricingCommercialPaperpricingFRNpricingMoneyMarketInstrUsingAORpricingQtrlyCpnBondpricingSaCpnBondpricingTbillpricingWithGspreadpricingWithSpotspricingWithSptSeqpricingWithZspreadpricingZeroCouponBondpvCouponDeficiencypvExcessCouponpvFullPricereturnIncomeFRNsaForwardsytmZeroCouponBond

Dependencies:rbibutilsRdpack

Readme and manuals

Help Manual

Help pageTopics
Calculates the accrued interest with actual-by-actual day convention.aiActDtCon
Calculates the accrued interest with 30-by-360, day convention.aiRoundedDaysConv
Calculates annual Yield-To-Maturity (YTM) of Zero-Coupon Bond with given Price and given Maturity Value for various values of Periodicity.annualYtmZcbForPeriodicity
Calculates the Approximated Macaulay duration using the Approximate Modified Duration and Yield-To-Maturity.approxMacDurationUsingApprModifDuration
Calculates the Approximate Modified Duration.approxModifDuration
Calculates the Price of Bond making Deficient Coupon Payments.bondPriceDefCoupon
Calculates the Price of Bond making Excess Coupon Payments.bondPriceExcessCoupon
Calculates Present Value or the Price of the Bond paying Annual Coupons.bondPriceYearlyCoupons
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.changePvFullBondPrice
Calculates Add-on Rate (AOR) of Money Market Instruments.computingAORMoneyMarketInstr
Calculates Price Value of a Basis Point (PVBP) for the Bond.computingBondPVBP
Calculates the Yield-To-Maturity (value up to five decimal places) of the Bond paying Annual Coupons.computingBondYtmRateFiveDecimalPlaces
Calculates the Yield-To-Maturity (value up to six decimal places) of the Bond paying Annual Coupons.computingBondYtmRateSixDecimalPlaces
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.computingGspread
Calculates Par Rate using the given Spot Rates.computingParRate
Calculates Discount Rate of Money Market Instrument.computingQuotedDiscRateMMI
Calculates Yield-To-Call (YTC).computingYTC
Calculates Z-Spread.computingZspread
Converting an Annual Percentage Rate (APR) from a periodicity of 2 to another periodicity of 4, 12, or 1.convertAPRtoDifferentPeriodcity
Calculates Discount Margin of a Floating-Rate Note (FRN).discMarginFRN
Calculates Discounted Value of Coupon Payments of the Bond using Market Discount Rate or the Required Rate of Return.disCouponPmtsBond
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.disMaturityValBond
Calculates Effective Annual Rate (EAR) of a Zero-Coupon Bond for various values of Periodicity.earZcbVariousPeriodicity
Calculates the Effective Duration statistic of a Callable Bond.effDurtnCallableBond
Calculates the percentage change in Full Price of the Bond for a given a change in its Yield-To-Maturity and Modified Duration statistic.estimatedPercentChangePVFullPrice
Calculates desired extra compensation (in terms of bps) for a risky Bond as compared Annual Percentage Rate(APR) of a comparable Bond.extraCompensationForHigherRisk
Calculates Yearly Forward Rates using the given Spot Rates.forwards
Calculates Bond Price using the Forward Rate Input.frPricing
Calculates Future Value of Money Market Instruments using the given Discount Rate.fvMmiUsingQuotedDiscRate
Calculates Future Value of Money Market Instrument using Add-on Rate (AOR)fvMoneyMarketInstrUsingAOR
Calculates Macaulay Duration of a traditional Fixed-Rate Bond.macDuration
#'Calculates Macaulay Duration using the Coupon Rate and Yield-To-Maturity.macDurationOnCouponRate
Calculates Macaulay Duration using the Full Price of the Bond and Yield-To-Maturity.macDurationOnFP
Calculate Present Value or the Price of illiquid Bond using Matrix Method.matrixMethod
Calculates Modified Duration statistic of a traditional Fixed-Rate Bond.modifDuration
Calculates Modified Duration using the Macaulay Duration and Yield-To-Maturity.modifDurationUsingMacDuration
Calculates Money Duration of a Bond.moneyDuration
Calculates periodic discount rate of a Floating-Rate Note (FRN).periodicDiscRateFRN
Calculates Price of Commercial Paper.pricingCommercialPaper
Calculates Price of a Floating-Rate Note (FRN).pricingFRN
Calculates Price of Money Market Instruments using Add-on Rate (AOR)pricingMoneyMarketInstrUsingAOR
Calculates Present Value or the Price of the Bond paying Quarterly Coupons.pricingQtrlyCpnBond
Calculates Present Value or the Price of the Bond paying semi-annual Coupons.pricingSaCpnBond
Calculates Price of a Treasury bill (T-bill).pricingTbill
Calculates Bond Price using given values of G-Spread and yield-to-maturity for the government benchmark bond.pricingWithGspread
Calculate Present Value or the Price of the Bond using Spot Rates.pricingWithSpots
Calculate Present Value or the Price of the Bond using two different Sequences of Spot Rates.pricingWithSptSeq
Calculates Bond Price using the given value of a Z-Spread and spot rates taken from the spots curve.pricingWithZspread
Calculates the Price of a Zero-Coupon Bond.pricingZeroCouponBond
Calculates the Present Value of the Deficiency as result of lower Coupon Payments as compared that of the Market.pvCouponDeficiency
Calculates the Present Value of the Excess Coupon Payment resulting due to higher Coupon Rate as compared the Market Discount Rate.pvExcessCoupon
Calculates Present Value of the Full Price of the Bond including Accrued Interest.pvFullPrice
Calculates estimated Return on Floating-Rate Note (FRN) for a given Index, Quoted Margin, Maturity Value, and Periodicity.returnIncomeFRN
Calculates Semi-Annual Forward Rates using the given Spot Rates.saForwards
Calculates the Yield-To-Maturity(YTM) of a Zero-Coupon Bond.ytmZeroCouponBond