BondValuation: Fixed Coupon Bond Valuation Allowing for Odd Coupon Periods and Various Day Count Conventions

Analysis of large datasets of fixed coupon bonds, allowing for irregular first and last coupon periods and various day count conventions. With this package you can compute the yield to maturity, the modified and MacAulay durations and the convexity of fixed-rate bonds. It provides the function AnnivDates, which can be used to evaluate the quality of the data and return time-invariant properties and temporal structure of a bond.

Version: 0.1.0
Depends: R (≥ 2.15.1)
Imports: Rcpp, timeDate
LinkingTo: Rcpp
Published: 2018-11-14
Author: Djatschenko Wadim [aut, cre]
Maintainer: Djatschenko Wadim <wadim.djatschenko at gmx.de>
License: GPL-3
NeedsCompilation: yes
Materials: NEWS
CRAN checks: BondValuation results

Downloads:

Reference manual: BondValuation.pdf
Package source: BondValuation_0.1.0.tar.gz
Windows binaries: r-devel: BondValuation_0.1.0.zip, r-release: BondValuation_0.1.0.zip, r-oldrel: BondValuation_0.1.0.zip
OS X binaries: r-release: BondValuation_0.1.0.tgz, r-oldrel: BondValuation_0.1.0.tgz

Reverse dependencies:

Reverse suggests: ragtop

Linking:

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