BondValuation (version 0.1.1)

DP: DP (dirty price calculation of a fixed-coupon bond)

Description

DP returns a bond's temporal and pecuniary characteristics on the desired calendar date according to the methodology presented in Djatschenko (2018).

Usage

DP(
  CP = as.numeric(NA),
  SETT = as.Date(NA),
  Em = as.Date(NA),
  Mat = as.Date(NA),
  CpY = as.numeric(NA),
  FIPD = as.Date(NA),
  LIPD = as.Date(NA),
  FIAD = as.Date(NA),
  RV = as.numeric(NA),
  Coup = as.numeric(NA),
  DCC = as.numeric(NA),
  EOM = as.numeric(NA),
  DateOrigin = as.Date("1970-01-01"),
  InputCheck = 1,
  FindEOM = FALSE,
  RegCF.equal = 0,
  AnnivDatesOutput = as.list(NA)
)

Arguments

CP

The bond's clean price.

SETT

The settlement date. Date class object with format "%Y-%m-%d". (required)

Em

The bond's issue date. Date class object with format "%Y-%m-%d". (required)

Mat

So-called "maturity date" i.e. date on which the redemption value and the final interest are paid. Date class object with format "%Y-%m-%d". (required)

CpY

Number of interest payments per year (non-negative integer; element of the set {0,1,2,3,4,6,12}. Default: 2.

FIPD

First interest payment date after Em. Date class object with format "%Y-%m-%d". Default: NA.

LIPD

Last interest payment date before Mat. Date class object with format "%Y-%m-%d". Default: NA.

FIAD

Date on which the interest accrual starts (so-called "dated date"). Date class object with format "%Y-%m-%d". Default: NA.

RV

The redemption value of the bond. Default: 100.

Coup

Nominal interest rate per year in percent. Default: NA.

DCC

The day count convention the bond follows. Default: NA. For a list of day count conventions currently implemented type View(List.DCC).

EOM

Boolean indicating whether the bond follows the End-of-Month rule. Default: NA.

DateOrigin

Determines the starting point for the daycount in "Date" objects. Default: "1970-01-01".

InputCheck

If 1, the input variables are checked for the correct format. Default: 1.

FindEOM

If TRUE, EOM is overridden by the value inferred from the data. Default: FALSE.

RegCF.equal

If 0, the amounts of regular cash flows are calculated according to the stipulated DCC. Any other value forces all regular cash flows to be equal sized. Default: 0.

AnnivDatesOutput

A list containing the output of the function AnnivDates. Default: NA.

Value

Dates (data frame)

Previous_CouponDate

SettlementDate

Next_CouponDate

DaysAccrued

The number of days accrued from Previous_CouponDate to Next_CouponDate, incl. the earlier and excl. the later date.

DaysInPeriod

The number of interest accruing days in the coupon period from Previous_CouponDate to Next_CouponDate.

Cash (data frame)

Dirty_Price

Sum of Clean_Price and Accrued_Interest.

Clean_Price

The clean price entered.

Accrued_Interest

The amount of accrued interest on SettlementDate.

CouponPayment

The interest payment on Next_CouponDate.

Details

The function DP generates a list of the two data frames Dates and Cash, which contain the relevant date-related and pecuniary characteristics that were either provided by the user or calculated by the function. Value provides further information on the output.

References

1. Djatschenko, Wadim, The Nitty Gritty of Bond Valuation: A Generalized Methodology for Fixed Coupon Bond Analysis Allowing for Irregular Periods and Various Day Count Conventions (November 5, 2018). Available at SSRN: https://ssrn.com/abstract=3205167.

Examples

# NOT RUN {
CP<-rep(100,16)
SETT<-rep(as.Date("2014-10-15"),16)
Em<-rep(as.Date("2013-11-30"),16)
Mat<-rep(as.Date("2021-04-21"),16)
CpY<-rep(2,16)
FIPD<-rep(as.Date("2015-02-28"),16)
LIPD<-rep(as.Date("2020-02-29"),16)
FIAD<-rep(as.Date("2013-11-30"),16)
RV<-rep(100,16)
Coup<-rep(5.25,16)
DCC<-seq(1,16,by=1)
DP.DCC_Comparison<-data.frame(CP,SETT,Em,Mat,CpY,FIPD,LIPD,FIAD,RV,Coup,DCC)

# you can pass an array to AnnivDates
List<-suppressWarnings(
        AnnivDates(unlist(DP.DCC_Comparison[1,c(3:11)],use.names=FALSE))
)

# and use its output in DP
suppressWarnings(
       DP(unlist(DP.DCC_Comparison[1,c(1:11)],use.names=FALSE),AnnivDatesOutput=List)
)

# or just apply DP to the data frame
DP.Output<-suppressWarnings(
              apply(DP.DCC_Comparison[,c('CP','SETT','Em','Mat','CpY','FIPD',
                                           'LIPD','FIAD','RV','Coup','DCC')],
                     1,function(y) DP(y[1],y[2],y[3],y[4],y[5],y[6],y[7],
                                      y[8],y[9],y[10],y[11])))

DiryPrice<-do.call(rbind,lapply(lapply(DP.Output, `[[`, 2), `[[`, 1))
DP.DCC_Comparison<-cbind(DP.DCC_Comparison,DiryPrice)
DP.DCC_Comparison

# }