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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CRAN Check Status

3 ERROR

11 OK

Show all 14 flavors

Flavor	Status	Time
r-devel-linux-x86_64-debian-clang	OK	77.1s
r-devel-linux-x86_64-debian-gcc	OK	54.8s
r-devel-linux-x86_64-fedora-clang	OK	119.6s
r-devel-linux-x86_64-fedora-gcc	OK	134.5s
r-devel-macos-arm64	ERROR	18s
r-devel-windows-x86_64	OK	118s
r-oldrel-macos-arm64	ERROR
r-oldrel-macos-x86_64	OK	76s
r-oldrel-windows-x86_64	OK	123s
r-patched-linux-x86_64	OK	75s
r-release-linux-x86_64	OK	70.7s
r-release-macos-arm64	ERROR
r-release-macos-x86_64	OK	75s
r-release-windows-x86_64	OK	112s

Check details (3 non-OK)

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 da
...[truncated]...
  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: 0.006 0.001 0.007
Execution halted

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 da
...[truncated]...
  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

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 da
...[truncated]...
  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

Check History

ERROR 11 OK · 0 NOTE · 0 WARNING · 3 ERROR · 0 FAILURE Mar 10, 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(SomeBonds20
...[truncated]...
 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

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(SomeBonds20
...[truncated]...
m3AD_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

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(SomeBonds20
...[truncated]...
m3AD_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

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Version History

new 0.1.1 Mar 10, 2026

updated 0.1.1 ← 0.1.0 diff May 27, 2022

new 0.1.0 Nov 13, 2018