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

# Methods for Fixed-Income Valuation, Risk and Return

## Documentation for package ‘bondAnalyst’ version 1.0.1

- DESCRIPTION file

## Help Pages

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