Fixed Coupon Bond Valuation Allowing for Odd Coupon Periods and Various Day Count Conventions

Analysis of large datasets of fixed coupon bonds, allowing for irregular first and last coupon periods and various day count conventions. With this package you can compute the yield to maturity, the modified and MacAulay durations and the convexity of fixed-rate bonds. It provides the function AnnivDates, which can be used to evaluate the quality of the data and return time-invariant properties and temporal structure of a bond.


BondValuation 0.1.0

  • Added a file to track changes to the package.

Reference manual

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0.1.0 by Djatschenko Wadim, 3 years ago

Browse source code at

Authors: Djatschenko Wadim [aut, cre]

Documentation:   PDF Manual  

GPL-3 license

Imports Rcpp, timeDate

Linking to Rcpp

Suggested by ragtop.

See at CRAN