search for: coupon_rate

# I have written this code in Notepad++ and copied here. ## ONS - PPA    Duration = function(par_value, coupon_rate, freq_coupon, tenure, ytm) { macaulay_duration  =   NULL modified_duration    =   NULL freq_coupon_new    =   NULL if(freq_coupon <= 0) {     freq_coupon_new = 365 } if(freq_coupon > 0 & freq_coupon <= 1) {     freq_coupon_new = 12 } if(freq_coupon > 1 & freq_coupon <=...

...ts for a given single set of data. I just wish to wish to use it for multiple data.)   I have defined a function (as given below) which helps me calculate Macaulay Duration and Modified Duration and its working fine with given set of data.   My Code -   ## ONS - PPA   duration = function(par_value, coupon_rate, frequency_copoun, tenure, ytm)   { macaulay_duration  =   NULL modified_duration    =   NULL freq_coupon_new    =   NULL   if(frequency_copoun <= 0) {     freq_coupon_new = 365 }   if(frequency_copoun > 0 & frequency_copoun <= 1) {     freq_coupon_new = 12 }   if(frequency_copoun &...

...ng csv file and thus my equation will change if tenure or no_comp etc. changes. So taking into account the variable nature of the input, I am trying to write a generalized code.   ## Input   price = 101       # Price of bond tenure = 3          no_comp = 1      # no of times coupon paid in a year. coupon_rate = 0.10  # i.e. 10% face_value  = 100   # Computations   coupon_payment = face_value * coupon_rate cash_flow = c(rep(c(coupon_payemnt), (no_comp * tenure - 1)), face_value + coupon_payment) cash_flow   ## I am trying to customize the code as given by Mr Ellison.   f.ytm = function(ytm)   {    for (i...

Dear R helpers   I have following csv file which is an input   id       par_value    coupon_rate     frequency_coupon   tenure    ytm   1            1000             10                      1                     5          12   # Here frequency_coupon is coded s.t. 0 means Daily compounding, 1 means monthly compouding, 2 means Quarterly, 3 means Half yearly and 4 means only once. Thus in the c...