fis {corpmetrics} | R Documentation |
Price & Macaulay Duration of a Fixed Income Security
Description
Calculate discounted cash flows of a bond's coupon payments and its sensitivity to interest rate change.
Usage
fis(FV,CR,YTM,MAT,SEMI)
Arguments
FV |
Face value of the bond (Numeric Variable). |
CR |
Coupon rate of the bond (Numeric Variable). |
YTM |
Yield to maturity (Numeric Variable). |
MAT |
Maturity in years (Numeric Variable). |
SEMI |
Select between annual or semi-annual coupon payments (default is annual). |
Details
The default option is annual coupon payments. To select semi-annual payments, set SEMI = TRUE.
Value
A data.frame with the results of the financial instrument's price in currency units, its duration and modified duration in years.
Author(s)
Pavlos Pantatosakis.
R implementation and documentation: Pavlos Pantatosakis pantatosakisp@yahoo.com.
References
Jordan, B. D., Ross, S. A., and Westerfield, R. W. (2010). Fundamentals of corporate finance. McGraw Hill. p. 193-202. - ISBN: 9780073382395
Berk, J. B. and DeMarzo, P. M. (2017). Corporate finance. Pearson Education. p.205-220 & p.1073-1074 - ISBN: 1292160160
Examples
##
# Example usage
# Face value = 1,000 currency units
# Coupon rate = 8%
# Yield to maturity = 8%
# Maturity = 6 years
example <- fis(
FV = 1000, # Bond with face value of 1.000 currency units
CR = 0.08, # 8% Coupon rate
YTM = 0.08, # 8% Yield to maturity
MAT = 6 # 6 periods to maturity
)
print(example)
# Face value = 1,000 currency units
# Coupon rate = 8%
# Yield to maturity = 12%
# Maturity = 2 years
# Coupons pay semi-annually
example2 <- fis(
FV = 1000, # Bond with face value of 1.000 currency units
CR = 0.08, # 8% Coupon rate
YTM = 0.12, # 8% Yield to maturity
MAT = 2, # 6 periods to maturity
SEMI = TRUE
)
print(example2)