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(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.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(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")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)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) 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) 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)