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)

Arguments

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 IRR.
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 UnirootAll function in IRR

Value

a numeric value

Details

The one period returns are calculated as $$r_t = \frac{D_t+K_t-K_t-1}{K_t-1}$$

Author

Andri Signorell <andri@signorell.net>

Examples

# one root
IRR(cf <- c(-900, -250+450-90, 460-100, 500-120, 550-140))
#> [1] 0.1272989
# several IRR solutions
IRR(cf = c(-100, 500, -600))
#> [1] 1
# no solution
IRR(cf = c(-100, 400, -600))
#> numeric(0)
# negative and huge solution
IRR(cf = c(-100, 1000, -600), interval = c(-1.5, 1000))
#> numeric(0)