detail_from_AnnivDates function

Convert output of BondValuation::AnnivDates to inputd for Bond

The BondValuation package provides day count convention treatments superior to quantmod or any other R package known (as of May 2019). This function takes output from BondValuation::AnnivDates(...) and parses it into notionals, maturity time, and coupon times and sizes.

detail_from_AnnivDates(
  anvdates,
  as_of = Sys.time(),
  normalization_factor = 365.25
)

Arguments

• anvdates: Output of BondValuation::AnnivDates(), which must have included a Coup argument so that the resulting list contains an entry for PaySched
• as_of: Date or time from whose perspective times should be computed
• normalization_factor: Factor by which raw R time differences should be multiplied. If volatilites are going to be annualized, then this should typically be 365 or so.

Returns

A list with some of the arguments appropriate for defining a Bond as follows: maturity - maturity notional - notional amount coupons - data.frame with payment_time, payment_size

Details

Note: volatilities used in ragtop must have compatible time units to these times.