The R Journal: accepted article

This article will be copy edited and may be changed before publication.

BondValuation: An R Package for Fixed Coupon Bond Analysis PDF download
Wadim Djatschenko

Abstract 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 ?.

Received: 2018-12-01; online 2020-01-06, supplementary material, (3.3 Kb)
CRAN packages: BondValuation, fBonds, RQuantLib, YieldCurve
CRAN Task Views implied by cited CRAN packages: Finance


CC BY 4.0
This article and supplementary materials are licensed under a Creative Commons Attribution 4.0 International license.

@article{RJ-2019-055,
  author = {Wadim Djatschenko},
  title = {{BondValuation: An R Package for Fixed Coupon Bond Analysis}},
  year = {2019},
  journal = {{The R Journal}},
  doi = {10.32614/RJ-2019-055},
  url = {https://journal.r-project.org/archive/2019/RJ-2019-055/index.html}
}