BondValuation

Fixed Coupon Bond Valuation Allowing for Odd Coupon Periods and Various Day Count Conventions

v0.1.1 · May 28, 2022 · GPL-3

Description

Analysis of large datasets of fixed coupon bonds, allowing for irregular first and last coupon periods and various day count conventions. With this package you can compute the yield to maturity, the modified and MacAulay durations and the convexity of fixed-rate bonds. It provides the function AnnivDates, which can be used to evaluate the quality of the data and return time-invariant properties and temporal structure of a bond.

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r-devel-linux-x86_64-debian-clang	OK	76.3s
r-devel-linux-x86_64-debian-gcc	OK	52.7s
r-devel-linux-x86_64-fedora-clang	OK	120.1s
r-devel-linux-x86_64-fedora-gcc	OK	124.5s
r-devel-macos-arm64	ERROR	19s
r-devel-windows-x86_64	OK	109s
r-oldrel-macos-arm64	ERROR
r-oldrel-macos-x86_64	OK	76s
r-oldrel-windows-x86_64	OK	125s
r-patched-linux-x86_64	OK	71.7s
r-release-linux-x86_64	OK	72.5s
r-release-macos-arm64	ERROR
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r-release-windows-x86_64	OK	107s

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OK r-devel-linux-x86_64-debian-clang

OK r-devel-linux-x86_64-debian-gcc

OK r-devel-linux-x86_64-fedora-clang

OK r-devel-linux-x86_64-fedora-gcc

ERROR r-devel-macos-arm64

examples

Running examples in ‘BondValuation-Ex.R’ failed
The error most likely occurred in:

> ### Name: AnnivDates
> ### Title: AnnivDates (time-invariant properties and temporal structure)
> ### Aliases: AnnivDates
> 
> ### ** Examples
> 
> data(SomeBonds2016)
> 
> # Applying the function AnnivDates to the data frame SomeBonds2016.
> system.time(
+   FullAnalysis<-apply(SomeBonds2016[,c('Issue.Date','Mat.Date','CpY.Input','FIPD.Input',
+   'LIPD.Input','FIAD.Input','RV.Input','Coup.Input','DCC.Input','EOM.Input')],1,function(y)
+   AnnivDates(y[1],y[2],y[3],y[4],y[5],y[6],y[7],y[8],y[9],y[10],RegCF.equal=1)),
+ gcFirst = TRUE)
Warning in InputFormatCheck(Em = Em, Mat = Mat, CpY = CpY, FIPD = FIPD,  :
  The issue date (Em) is supplied as a string of class "character" in the format "yyyy-mm-dd". It is converted to class "Date" using the command "as.Date(Em,"%Y-%m-%d")" and processed as Em = 2016-03-24 .
Warning in InputFormatCheck(Em = Em, Mat = Mat, CpY = CpY, FIPD = FIPD,  :
  The maturity date (Mat) is supplied as a string of class "character" in the format "yyyy-mm-dd". It is converted to class "Date" using the command "as.Date(Mat,"%Y-%m-%d")" and processed as Mat = 2023-04-01 .
Warning in InputFormatCheck(Em = Em, Mat = Mat, CpY = CpY, FIPD = FIPD,  :
  The first interest payment date (FIPD) is supplied as a string of class "character" in the format "yyyy-mm-dd". It is converted to class "Date" using the command "as.Date(FIPD,"%Y-%m-%d")" and processed as FIPD = 2016-10-01 .
Warning in InputFormatCheck(Em = Em, Mat = Mat, CpY = CpY, FIPD = FIPD,  :
  The last interest payment date (LIPD) is supplied as a string of class "character" in the format "yyyy-mm-dd". It is converted to class "Date" using the command "as.Date(LIPD,"%Y-%m-%d")" and processed as LIPD = 2022-10-01 .
Warning in InputFormatCheck(Em = Em, Mat = Mat, CpY = CpY, FIPD = FIPD,  :
  The first interest accrual date (FIAD) is supplied as a string of class "character" in the format "yyyy-mm-dd". It is converted to class "Date" using the command "as.Date(FIAD,"%Y-%m-%d")" and processed as FIAD = 2016-03-24 .
Warning in InputFormatCheck(Em = Em, Mat = Mat, CpY = CpY, FIPD = FIPD,  :
  The number of interest payments per year (CpY) is supplied as a number of class "character".
                            Its conversion to class numeric results in CpY = 12 .
Warning in InputFormatCheck(Em = Em, Mat = Mat, CpY = CpY, FIPD = FIPD,  :
  The redemption value (RV) is supplied as a number of class "character".
                            Its conversion to class numeric results in RV = 100 .
Warning in InputFormatCheck(Em = Em, Mat = Mat, CpY = CpY, FIPD = FIPD,  :
  The nominal interest rate p.a. (Coup) is supplied as a number of class "character".
                            Its conversion to class numeric results in Coup = 5.02 .
Warning in InputFormatCheck(Em = Em, Mat = Mat, CpY = CpY, FIPD = FIPD,  :
  The day count convention identifier (DCC) is supplied as a number of class "character".
                            Its conversion to class numeric results in DCC = 14 .
Warning in InputFormatCheck(Em = Em, Mat = Mat, CpY = CpY, FIPD = FIPD,  :
  The End-of-Month rule boolean (EOM) is supplied as a number of class "character".
                            Its conversion to class numeric results in EOM = 1 .
Warning in AnnivDates(y[1], y[2], y[3], y[4], y[5], y[6], y[7], y[8], y[9],  :
  The provided EOM = 1 conflicts with one or several provided calendar dates.
                              EOM is set 0 .
Warning in DIST(c(DCC, Atom1AD_PreFin, Atom2AD_PreFin, Atom3AD_PreFin, Atom1AD_PreFin,  :
  subscript out of bounds (index 20 >= vector size 20)
Warning in DIST(c(DCC, Atom1AD_PreFin, Atom2AD_PreFin, Atom3AD_PreFin, Atom1AD_PreFin,  :
  subscript out of bounds (index 21 >= vector size 20)
Warning in DIST(c(DCC, Atom1AD_PreFin, Atom2AD_PreFin, Atom3AD_PreFin, Atom1AD_PreFin,  :
  subscript out of bounds (index 20 >= vector size 20)
Warning in DIST(c(DCC, Atom1AD_PreFin, Atom2AD_PreFin, Atom3AD_PreFin, Atom1AD_PreFin,  :
  subscript out of bounds (index 21 >= vector size 20)
Error in if (index_LIPD >= 1) { : argument is of length zero
Calls: system.time -> apply -> FUN -> AnnivDates
Timing stopped at: 0.005 0 0.006
Execution halted

OK r-devel-windows-x86_64

ERROR r-oldrel-macos-arm64

examples

Running examples in ‘BondValuation-Ex.R’ failed
The error most likely occurred in:

> ### Name: AnnivDates
> ### Title: AnnivDates (time-invariant properties and temporal structure)
> ### Aliases: AnnivDates
> 
> ### ** Examples
> 
> data(SomeBonds2016)
> 
> # Applying the function AnnivDates to the data frame SomeBonds2016.
> system.time(
+   FullAnalysis<-apply(SomeBonds2016[,c('Issue.Date','Mat.Date','CpY.Input','FIPD.Input',
+   'LIPD.Input','FIAD.Input','RV.Input','Coup.Input','DCC.Input','EOM.Input')],1,function(y)
+   AnnivDates(y[1],y[2],y[3],y[4],y[5],y[6],y[7],y[8],y[9],y[10],RegCF.equal=1)),
+ gcFirst = TRUE)
Warning in InputFormatCheck(Em = Em, Mat = Mat, CpY = CpY, FIPD = FIPD,  :
  The issue date (Em) is supplied as a string of class "character" in the format "yyyy-mm-dd". It is converted to class "Date" using the command "as.Date(Em,"%Y-%m-%d")" and processed as Em = 2016-03-24 .
Warning in InputFormatCheck(Em = Em, Mat = Mat, CpY = CpY, FIPD = FIPD,  :
  The maturity date (Mat) is supplied as a string of class "character" in the format "yyyy-mm-dd". It is converted to class "Date" using the command "as.Date(Mat,"%Y-%m-%d")" and processed as Mat = 2023-04-01 .
Warning in InputFormatCheck(Em = Em, Mat = Mat, CpY = CpY, FIPD = FIPD,  :
  The first interest payment date (FIPD) is supplied as a string of class "character" in the format "yyyy-mm-dd". It is converted to class "Date" using the command "as.Date(FIPD,"%Y-%m-%d")" and processed as FIPD = 2016-10-01 .
Warning in InputFormatCheck(Em = Em, Mat = Mat, CpY = CpY, FIPD = FIPD,  :
  The last interest payment date (LIPD) is supplied as a string of class "character" in the format "yyyy-mm-dd". It is converted to class "Date" using the command "as.Date(LIPD,"%Y-%m-%d")" and processed as LIPD = 2022-10-01 .
Warning in InputFormatCheck(Em = Em, Mat = Mat, CpY = CpY, FIPD = FIPD,  :
  The first interest accrual date (FIAD) is supplied as a string of class "character" in the format "yyyy-mm-dd". It is converted to class "Date" using the command "as.Date(FIAD,"%Y-%m-%d")" and processed as FIAD = 2016-03-24 .
Warning in InputFormatCheck(Em = Em, Mat = Mat, CpY = CpY, FIPD = FIPD,  :
  The number of interest payments per year (CpY) is supplied as a number of class "character".
                            Its conversion to class numeric results in CpY = 12 .
Warning in InputFormatCheck(Em = Em, Mat = Mat, CpY = CpY, FIPD = FIPD,  :
  The redemption value (RV) is supplied as a number of class "character".
                            Its conversion to class numeric results in RV = 100 .
Warning in InputFormatCheck(Em = Em, Mat = Mat, CpY = CpY, FIPD = FIPD,  :
  The nominal interest rate p.a. (Coup) is supplied as a number of class "character".
                            Its conversion to class numeric results in Coup = 5.02 .
Warning in InputFormatCheck(Em = Em, Mat = Mat, CpY = CpY, FIPD = FIPD,  :
  The day count convention identifier (DCC) is supplied as a number of class "character".
                            Its conversion to class numeric results in DCC = 14 .
Warning in InputFormatCheck(Em = Em, Mat = Mat, CpY = CpY, FIPD = FIPD,  :
  The End-of-Month rule boolean (EOM) is supplied as a number of class "character".
                            Its conversion to class numeric results in EOM = 1 .
Warning in AnnivDates(y[1], y[2], y[3], y[4], y[5], y[6], y[7], y[8], y[9],  :
  The provided EOM = 1 conflicts with one or several provided calendar dates.
                              EOM is set 0 .
Warning in DIST(c(DCC, Atom1AD_PreFin, Atom2AD_PreFin, Atom3AD_PreFin, Atom1AD_PreFin,  :
  subscript out of bounds (index 20 >= vector size 20)
Warning in DIST(c(DCC, Atom1AD_PreFin, Atom2AD_PreFin, Atom3AD_PreFin, Atom1AD_PreFin,  :
  subscript out of bounds (index 21 >= vector size 20)
Warning in DIST(c(DCC, Atom1AD_PreFin, Atom2AD_PreFin, Atom3AD_PreFin, Atom1AD_PreFin,  :
  subscript out of bounds (index 20 >= vector size 20)
Warning in DIST(c(DCC, Atom1AD_PreFin, Atom2AD_PreFin, Atom3AD_PreFin, Atom1AD_PreFin,  :
  subscript out of bounds (index 21 >= vector size 20)
Error in if (index_LIPD >= 1) { : argument is of length zero
Calls: system.time -> apply -> FUN -> AnnivDates
Timing stopped at: 0.012 0.001 0.014
Execution halted

OK r-oldrel-macos-x86_64

OK r-oldrel-windows-x86_64

OK r-patched-linux-x86_64

OK r-release-linux-x86_64

ERROR r-release-macos-arm64

examples

Running examples in ‘BondValuation-Ex.R’ failed
The error most likely occurred in:

> ### Name: AnnivDates
> ### Title: AnnivDates (time-invariant properties and temporal structure)
> ### Aliases: AnnivDates
> 
> ### ** Examples
> 
> data(SomeBonds2016)
> 
> # Applying the function AnnivDates to the data frame SomeBonds2016.
> system.time(
+   FullAnalysis<-apply(SomeBonds2016[,c('Issue.Date','Mat.Date','CpY.Input','FIPD.Input',
+   'LIPD.Input','FIAD.Input','RV.Input','Coup.Input','DCC.Input','EOM.Input')],1,function(y)
+   AnnivDates(y[1],y[2],y[3],y[4],y[5],y[6],y[7],y[8],y[9],y[10],RegCF.equal=1)),
+ gcFirst = TRUE)
Warning in InputFormatCheck(Em = Em, Mat = Mat, CpY = CpY, FIPD = FIPD,  :
  The issue date (Em) is supplied as a string of class "character" in the format "yyyy-mm-dd". It is converted to class "Date" using the command "as.Date(Em,"%Y-%m-%d")" and processed as Em = 2016-03-24 .
Warning in InputFormatCheck(Em = Em, Mat = Mat, CpY = CpY, FIPD = FIPD,  :
  The maturity date (Mat) is supplied as a string of class "character" in the format "yyyy-mm-dd". It is converted to class "Date" using the command "as.Date(Mat,"%Y-%m-%d")" and processed as Mat = 2023-04-01 .
Warning in InputFormatCheck(Em = Em, Mat = Mat, CpY = CpY, FIPD = FIPD,  :
  The first interest payment date (FIPD) is supplied as a string of class "character" in the format "yyyy-mm-dd". It is converted to class "Date" using the command "as.Date(FIPD,"%Y-%m-%d")" and processed as FIPD = 2016-10-01 .
Warning in InputFormatCheck(Em = Em, Mat = Mat, CpY = CpY, FIPD = FIPD,  :
  The last interest payment date (LIPD) is supplied as a string of class "character" in the format "yyyy-mm-dd". It is converted to class "Date" using the command "as.Date(LIPD,"%Y-%m-%d")" and processed as LIPD = 2022-10-01 .
Warning in InputFormatCheck(Em = Em, Mat = Mat, CpY = CpY, FIPD = FIPD,  :
  The first interest accrual date (FIAD) is supplied as a string of class "character" in the format "yyyy-mm-dd". It is converted to class "Date" using the command "as.Date(FIAD,"%Y-%m-%d")" and processed as FIAD = 2016-03-24 .
Warning in InputFormatCheck(Em = Em, Mat = Mat, CpY = CpY, FIPD = FIPD,  :
  The number of interest payments per year (CpY) is supplied as a number of class "character".
                            Its conversion to class numeric results in CpY = 12 .
Warning in InputFormatCheck(Em = Em, Mat = Mat, CpY = CpY, FIPD = FIPD,  :
  The redemption value (RV) is supplied as a number of class "character".
                            Its conversion to class numeric results in RV = 100 .
Warning in InputFormatCheck(Em = Em, Mat = Mat, CpY = CpY, FIPD = FIPD,  :
  The nominal interest rate p.a. (Coup) is supplied as a number of class "character".
                            Its conversion to class numeric results in Coup = 5.02 .
Warning in InputFormatCheck(Em = Em, Mat = Mat, CpY = CpY, FIPD = FIPD,  :
  The day count convention identifier (DCC) is supplied as a number of class "character".
                            Its conversion to class numeric results in DCC = 14 .
Warning in InputFormatCheck(Em = Em, Mat = Mat, CpY = CpY, FIPD = FIPD,  :
  The End-of-Month rule boolean (EOM) is supplied as a number of class "character".
                            Its conversion to class numeric results in EOM = 1 .
Warning in AnnivDates(y[1], y[2], y[3], y[4], y[5], y[6], y[7], y[8], y[9],  :
  The provided EOM = 1 conflicts with one or several provided calendar dates.
                              EOM is set 0 .
Warning in DIST(c(DCC, Atom1AD_PreFin, Atom2AD_PreFin, Atom3AD_PreFin, Atom1AD_PreFin,  :
  subscript out of bounds (index 20 >= vector size 20)
Warning in DIST(c(DCC, Atom1AD_PreFin, Atom2AD_PreFin, Atom3AD_PreFin, Atom1AD_PreFin,  :
  subscript out of bounds (index 21 >= vector size 20)
Warning in DIST(c(DCC, Atom1AD_PreFin, Atom2AD_PreFin, Atom3AD_PreFin, Atom1AD_PreFin,  :
  subscript out of bounds (index 20 >= vector size 20)
Warning in DIST(c(DCC, Atom1AD_PreFin, Atom2AD_PreFin, Atom3AD_PreFin, Atom1AD_PreFin,  :
  subscript out of bounds (index 21 >= vector size 20)
Error in if (index_LIPD >= 1) { : argument is of length zero
Calls: system.time -> apply -> FUN -> AnnivDates
Timing stopped at: 0.008 0.001 0.008
Execution halted

OK r-release-macos-x86_64

OK r-release-windows-x86_64

Check History

ERROR 11 OK · 0 NOTE · 0 WARNING · 3 ERROR · 0 FAILURE Mar 9, 2026

ERROR r-devel-macos-arm64

examples

Running examples in ‘BondValuation-Ex.R’ failed
The error most likely occurred in:

> ### Name: AnnivDates
> ### Title: AnnivDates (time-invariant properties and temporal structure)
> ### Aliases: AnnivDates
> 
> ### ** Examples
> 
> data(SomeBonds2016)
> 
> # Applying the function AnnivDates to the data frame SomeBonds2016.
> system.time(
+   FullAnalysis<-apply(SomeBonds2016[,c('Issue.Date','Mat.Date','CpY.Input','FIPD.Input',
+   'LIPD.Input','FIAD.Input','RV.Input','Coup.Input','DCC.Input','

ERROR r-release-macos-arm64

examples

Running examples in ‘BondValuation-Ex.R’ failed
The error most likely occurred in:

> ### Name: AnnivDates
> ### Title: AnnivDates (time-invariant properties and temporal structure)
> ### Aliases: AnnivDates
> 
> ### ** Examples
> 
> data(SomeBonds2016)
> 
> # Applying the function AnnivDates to the data frame SomeBonds2016.
> system.time(
+   FullAnalysis<-apply(SomeBonds2016[,c('Issue.Date','Mat.Date','CpY.Input','FIPD.Input',
+   'LIPD.Input','FIAD.Input','RV.Input','Coup.Input','DCC.Input','

ERROR r-oldrel-macos-arm64

examples

Running examples in ‘BondValuation-Ex.R’ failed
The error most likely occurred in:

> ### Name: AnnivDates
> ### Title: AnnivDates (time-invariant properties and temporal structure)
> ### Aliases: AnnivDates
> 
> ### ** Examples
> 
> data(SomeBonds2016)
> 
> # Applying the function AnnivDates to the data frame SomeBonds2016.
> system.time(
+   FullAnalysis<-apply(SomeBonds2016[,c('Issue.Date','Mat.Date','CpY.Input','FIPD.Input',
+   'LIPD.Input','FIAD.Input','RV.Input','Coup.Input','DCC.Input','

BondValuation

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