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A financial calculator written in Rust. It provides simple calculations for bond YTM, Duration, etc.
You’ll need the rust toolchain to compile this package from the source.
library(fcl)
## basic example code
bond <- fixed_bond(
value_date = 210101,
mty_date = c(250101, 300201),
redem_value = 100,
cpn_rate = c(0.05, 0.03),
cpn_freq = c(0, 1)
)
bond$ytm_dur(
ref_date = c(220101, 220201),
clean_price = 100
)
#> YTM MACD MODD
#> 1 0.04552728 3.000000 2.869366
#> 2 0.02999755 7.212793 7.002728
bond$cf(
ref_date = c(220101, 220131)
)
#> ID DATE COUPON REDEM
#> 1 1 2025-01-01 20.0000000 100
#> 2 2 2023-01-01 3.0000000 0
#> 3 2 2024-01-01 3.0000000 0
#> 4 2 2025-01-01 3.0000000 0
#> 5 2 2026-01-01 3.0000000 0
#> 6 2 2027-01-01 3.0000000 0
#> 7 2 2028-01-01 3.0000000 0
#> 8 2 2029-01-01 3.0000000 0
#> 9 2 2030-01-01 3.0000000 0
#> 10 2 2030-02-01 0.2547945 100
rtn <- make_rtn(date = c(210101, 210105, 210110), mv = c(100, 123, 140), pl = c(0, 3, 7))
rtn$twrr_cr(210102, 210110)
#> TWRR_CR
#> 2021-01-02 0.00000000
#> 2021-01-03 0.00000000
#> 2021-01-04 0.00000000
#> 2021-01-05 0.02500000
#> 2021-01-06 0.02500000
#> 2021-01-07 0.02500000
#> 2021-01-08 0.02500000
#> 2021-01-09 0.02500000
#> 2021-01-10 0.07894737
rtn$twrr_dr(210102, 210110)
#> TWRR_DR
#> 2021-01-02 0.00000000
#> 2021-01-03 0.00000000
#> 2021-01-04 0.00000000
#> 2021-01-05 0.02500000
#> 2021-01-06 0.00000000
#> 2021-01-07 0.00000000
#> 2021-01-08 0.00000000
#> 2021-01-09 0.00000000
#> 2021-01-10 0.05263158
rtn$dietz(210102, 210110)
#> DIETZ
#> 2021-01-02 0.00000000
#> 2021-01-03 0.00000000
#> 2021-01-04 0.00000000
#> 2021-01-05 0.02857143
#> 2021-01-06 0.02777778
#> 2021-01-07 0.02727273
#> 2021-01-08 0.02692308
#> 2021-01-09 0.02666667
#> 2021-01-10 0.08737864
rtn$dietz_avc(210102, 210110)
#> DIETZ_AVC
#> 2021-01-02 100.0000
#> 2021-01-03 100.0000
#> 2021-01-04 100.0000
#> 2021-01-05 105.0000
#> 2021-01-06 108.0000
#> 2021-01-07 110.0000
#> 2021-01-08 111.4286
#> 2021-01-09 112.5000
#> 2021-01-10 114.4444These binaries (installable software) and packages are in development.
They may not be fully stable and should be used with caution. We make no claims about them.
Health stats visible at Monitor.