corpbonds {termstrc}R Documentation

Corporate Bonds

Description

Corporate bonds

Usage

data(corpbonds)

Details

The data set eurobonds consists of bonds of the rating classes AAA ,AA+, AA, AA-, A+, A, A-, BBB+, BBB, BBB-

Note

If you use your own data set, make sure that the structure is identical to the provided data sets. Use the function str() to explore the data set.

Every element of the list except $RATING, $NAME is required for the estimation. The elements $COUPONRATE, $PRICE are not necessarily required. The calculation of the accrued interest is not implemented and has therefore be provided by the user. For the provided data sets the list element $ACCRUED includes the accrued interest.

See Also

eurobonds, govbonds

Examples

data(corpbonds)
str(corpbonds) 

# The following code may use this to generate an empty data set,
# which can be filled with bond data:

ISIN <- vector()
MATURITYDATE <- vector()
STARTDATE <- vector()
COUPONRATE <- vector()
PRICE <- vector()
ACCRUED <- vector()

CFISIN <- vector()
CF <- vector()
DATE <- vector()

CASHFLOWS <- list(CFISIN,CF,DATE)
names(CASHFLOWS) <- c("ISIN","CF","DATE")

TODAY <- vector()

mycountry1 <- list(ISIN,MATURITYDATE,STARTDATE,
                   COUPONRATE,PRICE,ACCRUED,CASHFLOWS,TODAY)
mycountry2 <- list(ISIN,MATURITYDATE,STARTDATE,
                   COUPONRATE,PRICE,ACCRUED,CASHFLOWS,TODAY)

names(mycountry1) <- c("ISIN","MATURITYDATE","STARTDATE","COUPONRATE",
                       "PRICE","ACCRUED","CASHFLOWS","TODAY")
names(mycountry2) <- c("ISIN","MATURITYDATE","STARTDATE","COUPONRATE",
                       "PRICE","ACCRUED","CASHFLOWS","TODAY")

mybonds <- list(mycountry1,mycountry2)

names(mybonds) <- c("mycountry1","mycountry2")


[Package termstrc version 1.1 Index]