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
#> 2021-01-10 114.4444