The purpose of this paper is to introduce the R package BondValuation for the 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, most bonds feature coupon period irregularities. In addition, there are a multitude of day count methods that 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. Nevertheless, 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 using the generalized valuation methodology presented in Djatschenko (2019).
Supplementary materials are available in addition to this article. It can be downloaded at RJ-2019-055.zip
BondValuation, fBonds, RQuantLib, YieldCurve
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For attribution, please cite this work as
Djatschenko, "The R Journal: BondValuation: An R Package for Fixed Coupon Bond Analysis", The R Journal, 2020
BibTeX citation
@article{RJ-2019-055,
author = {Djatschenko, Wadim},
title = {The R Journal: BondValuation: An R Package for Fixed Coupon Bond Analysis},
journal = {The R Journal},
year = {2020},
note = {https://doi.org/10.32614/RJ-2019-055},
doi = {10.32614/RJ-2019-055},
volume = {11},
issue = {2},
issn = {2073-4859},
pages = {124-141}
}