Bond calculator
Yield and price calculations for bonds.
Gives the same results as Excel YIELD and PRICE functions.
The following day count conventions are supported:
- 30U/360
- ACTUAL/ACTUAL
- ACTUAL/360
- ACTUAL/365
- 30E/360
- 30/360
More info about day count conventions can be found on Wikipedia.
Installation
npm install --save @floydspace/bond-calculator
Usage
const bondCalculator = require('@floydspace/bond-calculator');
const bond = bondCalculator({
settlement: '2016-12-26',
maturity: '2023-01-17',
rate: 0.02625, // 2.625%
redemption: 100,
frequency: 2, // 1=Annual, 2=Semiannual, 4=Quarterly, 12=Monthly
convention: '30U/360',
});
// Calculate yield for a given price
const yld = bond.yield(98); // 2.98817753210426%
// Calculate price for a given yield
const price = bond.price(0.025); // 100.69785390232649