BondValuation: An R Package for Fixed Coupon Bond Analysis

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).

Wadim Djatschenko

Supplementary materials

Supplementary materials are available in addition to this article. It can be downloaded at

CRAN packages used

BondValuation, fBonds, RQuantLib, YieldCurve

CRAN Task Views implied by cited packages



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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

  author = {Djatschenko, Wadim},
  title = {The R Journal: BondValuation: An R Package for Fixed Coupon Bond Analysis},
  journal = {The R Journal},
  year = {2020},
  note = {},
  doi = {10.32614/RJ-2019-055},
  volume = {11},
  issue = {2},
  issn = {2073-4859},
  pages = {124-141}