# DP (dirty price calculation of a fixed-coupon bond) DP returns a bond's temporal and pecuniary characteristics on the desired calendar date according to the methodology presented in Djatschenko (2018). ```r DP( CP = as.numeric(NA), SETT = as.Date(NA), Em = as.Date(NA), Mat = as.Date(NA), CpY = as.numeric(NA), FIPD = as.Date(NA), LIPD = as.Date(NA), FIAD = as.Date(NA), RV = as.numeric(NA), Coup = as.numeric(NA), DCC = as.numeric(NA), EOM = as.numeric(NA), DateOrigin = as.Date("1970-01-01"), InputCheck = 1, FindEOM = FALSE, RegCF.equal = 0, AnnivDatesOutput = as.list(NA) ) ``` ## Arguments - `CP`: The bond's clean price. - `SETT`: The settlement date. Date class object with format "%Y-%m-%d". (required) - `Em`: The bond's issue date. Date class object with format "%Y-%m-%d". (required) - `Mat`: So-called "maturity date" i.e. date on which the redemption value and the final interest are paid. Date class object with format "%Y-%m-%d". (required) - `CpY`: Number of interest payments per year (non-negative integer; element of the set {0,1,2,3,4,6,12}. Default: 2. - `FIPD`: First interest payment date after `Em`. Date class object with format "%Y-%m-%d". Default: `NA`. - `LIPD`: Last interest payment date before `Mat`. Date class object with format "%Y-%m-%d". Default: `NA`. - `FIAD`: Date on which the interest accrual starts (so-called "dated date"). Date class object with format "%Y-%m-%d". Default: `NA`. - `RV`: The redemption value of the bond. Default: 100. - `Coup`: Nominal interest rate per year in percent. Default: `NA`. - `DCC`: The day count convention the bond follows. Default: `NA`. For a list of day count conventions currently implemented type `View(List.DCC)`. - `EOM`: Boolean indicating whether the bond follows the End-of-Month rule. Default: `NA`. - `DateOrigin`: Determines the starting point for the daycount in "Date" objects. Default: "1970-01-01". - `InputCheck`: If 1, the input variables are checked for the correct format. Default: 1. - `FindEOM`: If `TRUE`, `EOM` is overridden by the value inferred from the data. Default: `FALSE`. - `RegCF.equal`: If 0, the amounts of regular cash flows are calculated according to the stipulated `DCC`. Any other value forces all regular cash flows to be equal sized. Default: 0. - `AnnivDatesOutput`: A list containing the output of the function AnnivDates. Default: `NA`. ## Returns - ****Dates** (data frame)**: - ****Previous_CouponDate****: - ****SettlementDate****: - ****Next_CouponDate****: - ****DaysAccrued****: The number of days accrued from **Previous_CouponDate** to **Next_CouponDate**, incl. the earlier and excl. the later date. - ****DaysInPeriod****: The number of interest accruing days in the coupon period from **Previous_CouponDate** to **Next_CouponDate**. - ****Cash** (data frame)**: - ****Dirty_Price****: Sum of **Clean_Price** and **Accrued_Interest**. - ****Clean_Price****: The clean price entered. - ****Accrued_Interest****: The amount of accrued interest on **SettlementDate**. - ****CouponPayment****: The interest payment on **Next_CouponDate**. ## Details The function DP generates a list of the two data frames `Dates` and `Cash`, which contain the relevant date-related and pecuniary characteristics that were either provided by the user or calculated by the function. Value provides further information on the output. ## Examples ```r CP<-rep(100,16) SETT<-rep(as.Date("2014-10-15"),16) Em<-rep(as.Date("2013-11-30"),16) Mat<-rep(as.Date("2021-04-21"),16) CpY<-rep(2,16) FIPD<-rep(as.Date("2015-02-28"),16) LIPD<-rep(as.Date("2020-02-29"),16) FIAD<-rep(as.Date("2013-11-30"),16) RV<-rep(100,16) Coup<-rep(5.25,16) DCC<-seq(1,16,by=1) DP.DCC_Comparison<-data.frame(CP,SETT,Em,Mat,CpY,FIPD,LIPD,FIAD,RV,Coup,DCC) # you can pass an array to AnnivDates List<-suppressWarnings( AnnivDates(unlist(DP.DCC_Comparison[1,c(3:11)],use.names=FALSE)) ) # and use its output in DP suppressWarnings( DP(unlist(DP.DCC_Comparison[1,c(1:11)],use.names=FALSE),AnnivDatesOutput=List) ) # or just apply DP to the data frame DP.Output<-suppressWarnings( apply(DP.DCC_Comparison[,c('CP','SETT','Em','Mat','CpY','FIPD', 'LIPD','FIAD','RV','Coup','DCC')], 1,function(y) DP(y[1],y[2],y[3],y[4],y[5],y[6],y[7], y[8],y[9],y[10],y[11]))) DiryPrice<-do.call(rbind,lapply(lapply(DP.Output, `[[`, 2), `[[`, 1)) DP.DCC_Comparison<-cbind(DP.DCC_Comparison,DiryPrice) DP.DCC_Comparison ``` ## References 1. Djatschenko, Wadim, The Nitty Gritty of Bond Valuation: A Generalized Methodology for Fixed Coupon Bond Analysis Allowing for Irregular Periods and Various Day Count Conventions (November 5, 2018). Available at SSRN: https://ssrn.com/abstract=3205167.

DP function