BondValuation: An R Package for Fixed Coupon Bond Analysis

18 Pages Posted: 18 Dec 2018 Last revised: 21 Dec 2018

See all articles by Wadim Djatschenko

Wadim Djatschenko

European University Viadrina Frankfurt (Oder)

Date Written: November 29, 2018

Abstract

The purpose of this paper is to introduce the R package BondValuation for 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, the majority of bonds feature coupon period irregularities. In addition, there is a multitude of day count methods, which 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. However, 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.

Keywords: R package, financial software, Bond Pricing, International Financial Markets, Interest Rate Risk

JEL Classification: G12, G15, G18

Suggested Citation

Djatschenko, Wadim, BondValuation: An R Package for Fixed Coupon Bond Analysis (November 29, 2018). Available at SSRN: https://ssrn.com/abstract=3292955 or http://dx.doi.org/10.2139/ssrn.3292955

Wadim Djatschenko (Contact Author)

European University Viadrina Frankfurt (Oder) ( email )

Grosse Scharrnstr. 59
Frankfurt (Oder), Brandenburg 15230
Germany

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