Basic Finance; NPV/IRR/Annuities/Bond-Pricing; Black Scholes

Implements the basic financial analysis functions similar to (but not identical to) what is available in most spreadsheet software. This includes finding the IRR and NPV of regularly spaced cash flows and annuities. Bond pricing and YTM calculations are included. In addition, Black Scholes option pricing and Greeks are also provided.


This R package implements the basic financial analysis functions similar to (but not identical to) what is available in most spreadsheet software. This includes finding the IRR and NPV of regularly spaced cash flows and annuities. Bond pricing and YTM calculations are included. In addition, Black Scholes option pricing and Greeks are also provided.

NPV, XNPV, IRR and XIRR functions

npv(cf=c(100,250,300), rate=5e-2)
npv(cf=c(1,3,2), rate=10e-2, cf.t=c(0.3,1.9,2.5))
irr(c(-600,300,400))
irr(cf=c(-450,100,300,200), cf.t=c(0, 0.3,1.9,2.5)) 

Annuity functions

annuity.pv(rate=10e-2, n.periods=15)
annuity.pv(rate=10e-2, n.periods=15, immediate.start = TRUE)
annuity.pv(rate=10e-2, instalment = 450, n.periods=360, cf.freq=12, comp.freq=2)
annuity.rate(pv=50000, instalment = 450, n.periods=360, cf.freq=12, comp.freq=2)
annuity.instalment(rate=9e-2, pv=10000, n.periods=8)
annuity.instalment.breakup(rate=9e-2, pv=10000, n.periods=8, period.no=5)

Bond Price, Yield and Duration

bond.price(settle="2012-04-15", mature="2022-01-01", coupon=8e-2,
           yield=8.8843e-2)
bond.price(settle="2012-04-15", mature="2022-01-01", coupon=8e-2,
bond.price(settle="2012-04-15", mature="2022-01-01", coupon=8e-2,
           yield=8.8843e-2, freq=1, comp.freq=2)
bond.yield(settle="2012-04-15", mature="2022-01-01", coupon=8e-2,
           price=95) 
bond.duration(settle="2012-04-15", mature="2022-01-01", coupon=8e-2,
              yield=8.8843e-2)
bond.duration(settle="2012-04-15", mature="2022-01-01", coupon=8e-2,
              yield=8.8843e-2, modified=TRUE)
coupons.dates(settle="2012-04-15", mature="2022-01-01")
coupons.next(settle="2012-04-15", mature="2022-04-01")
coupons.prev(settle="2012-04-15", mature="2022-04-01")
coupons.n(settle="2012-04-15", mature="2017-07-01")

(Generalized) Black Scholes Formulas

GenBS(s=100, X=100, r=0.1, Sigma=20e-2, t=1, div_yield=0)
GenBS(s=100, X=120, r=0.1, Sigma=15e-2, t=1, div_yield=5.8e-2)
GenBSImplied(s=100, X=900, r=0, price=7.97, t=1, div_yield=0)

Utility functions

equiv.rate(10e-2, from.freq = 12, to.freq = 2) 
equiv.rate(15e-2, from.freq = 1, to.freq = Inf)
edate("2005-05-17", -8) 
edate("2007-02-28", 4) 

Newton Raphson and bisection root solver

The package implements a Newton Raphson root solver that is used internally to calculate IRR and YTM. It is available for general use.

fn1 <-function(x){list(value=sin(x)-cos(x), gradient=cos(x)+sin(x))} 
newton.raphson.root(fn1) 

The package implements a bisection root solver that does a geometric grid search to bracket the root and then calls uniroot to find the root within this interval. The package uses the function internally to calculate IRR and YTM, but bisection.root is available for general use.

bisection.root(sin, guess = 7, lower=1, upper=13)
bisection.root(sin, guess = 12, lower=1, upper=13) 

News

jrvFinance 1.4.1

Bug fix release. The edate function was giving wrong answers under certain conditions when called with vector inputs. The incorrect if statement has now been changed to the correct ifelse. Thanks to Thethach Chuaprapaisilp for finding the bug.

jrvFinance 1.4.0

  • All the bond functions now accept an additional parameter redemption_value to handle the situation where the bond is expected to be called at premium to par. This is based on code provided by Tom McGinty. (#1)

Reference manual

It appears you don't have a PDF plugin for this browser. You can click here to download the reference manual.

install.packages("jrvFinance")

1.4.1 by Jayanth Varma, 3 months ago


http://github.com/jrvarma/jrvFinance


Report a bug at http://github.com/jrvarma/jrvFinance/issues


Browse source code at https://github.com/cran/jrvFinance


Authors: Jayanth Varma [aut, cre]


Documentation:   PDF Manual  


GPL (>= 2) license


Suggests knitr


See at CRAN