Short Selection of Financial Mathematical Functions
Calculate the one period returns, the net present value (NPV()), the internal rate of return (IRR()) of a sequence of payments. NPVFixBond() returns the netpresent value for a fixed-rate bond, YTM() the yield to maturity for a bond.
OPR(K, D = NULL, log = FALSE) NPV(i, cf, t = seq(along = cf) - 1) IRR(cf, t = seq(along = cf) - 1, interval = c(-1.5, 1.5), ...) NPVFixBond(i, Co, RV, n) YTM(Co, PP, RV, n)
i |
the interest rate |
cf |
numeric vector with the payments |
t |
periods |
K |
the capital at time t |
D |
dividend at time t |
log |
logical, determining if the simple returns (default) or log returns are to be calculated. |
interval |
a vector containing the end-points of the interval to
be searched for the root in the function |
Co |
coupon payments of a fixed-rate bond |
PP |
purchase price for a fixed-rate bond |
RV |
redemption value |
n |
the term of the bond, total number of periods |
... |
the dots are passed to the |
The one period returns are calculated as
r_t = \frac{D_t+K_t-K_t-1}{K_t-1}
a numeric value
Andri Signorell <andri@signorell.net>
# one root IRR(cf <- c(-900, -250+450-90, 460-100, 500-120, 550-140)) # several IRR solutions IRR(cf = c(-100, 500, -600)) # no solution IRR(cf = c(-100, 400, -600)) # negative and huge solution IRR(cf = c(-100, 1000, -600), interval = c(-1.5, 1000))
Please choose more modern alternatives, such as Google Chrome or Mozilla Firefox.