R Package for Brazilian Fixed Income Bonds. It is a set of functions intended for academic use. There are functions for Federal Government Bonds and a set for generic bonds (with no anticipated amortization). For each bond type, there are four functions:
- For Computing Bond Prices
- For Computing the Yield to Maturity
- For Generating a table with event dates and Cash Flows
- For Computing Duration and Convexity
| Bond Type | PU Function | YTM Function | Events Function | Duration+Convexity |
|---|---|---|---|---|
| Tesouro Prefixado (LTN) | PU_LTN_BR.R | YTM_LTN_BR.R | Events_LTN_BR.R | DurConv_LTN_BR.R |
| Tes. Prefix. Juros (NTNF) | PU_NTNF_BR.R | YTM_NTNF_BR.R | Events_NTNF_BR.R | DurConv_NTNF_BR.R |
| Tesouro IPCA+ (NTNB) | PU_NTNB_BR.R | YTM_NTNB_BR.R | Events_NTNB_BR.R | DurConv_NTNB_BR.R |
| Tesouro IPCA+ Juros (NTNB) | PU_NTNBc_BR.R | YTM_NTNBc_BR.R | Events_NTNBc_BR.R | DurConv_NTNBc_BR.R |
| Generic Function | PU_BRBond.R | YTM_BRBond.R | Events_BRBond.R | DurConv_BRBond.R |
There is an additional function, get_VNA_AMBIMA.R which gets the relevant values for the indexed bonds. Another one is PChg_BRbond.Rwhich gives the predicted percentage in bond prices for a given change in Yield to Maturity.
There is also a suite of functions to price LTN bonds using the Black-Derman-Toy model using the ANBIMA model for the term structure.
There is also a function for using quadratic splines for estimating the term structure, called the Lorimier Method in the Damir Filipovic's Springer Book. There is an example in the Tests folder.
To install, use the devtools::install_github("claudiolucinda/FixedIncomeBR").