Statistics, Department of
The R Journal
Accessibility Remediation
If you are unable to use this item in its current form due to accessibility barriers, you may request remediation through our remediation request form.
Date of this Version
12-2019
Document Type
Article
Citation
The R Journal (December 2019) 11(2); Editor: Michael J. Kane
Abstract
t The purpose of this paper is to introduce the R package BondValuation for the analysis of large datasets of fixed coupon bonds. The conceptual heterogeneity of fixed coupon bonds traded in the global markets imposes a high degree of complexity on their comparative analysis. Contrary to baseline fixed income theory, in practice, most bonds feature coupon period irregularities. In addition, there are a multitude of day count methods that determine the interest accrual, the cash flows and the discount factors used in bond valuation. Several R packages, e.g., fBonds, RQuantLib, and YieldCurve, provide tools for fixed income analysis. Nevertheless, none of them is capable of evaluating bonds featuring irregular first and/or final coupon periods, and neither provides adequate coverage of day count conventions currently used in the global bond markets. The R package BondValuation closes this gap using the generalized valuation methodology presented in Djatschenko (2019).
Included in
Numerical Analysis and Scientific Computing Commons, Programming Languages and Compilers Commons
Comments
Copyright 2019, The R Foundation. Open access material. License: CC BY 4.0 International