Sample bond contracts for fixed-income examples

A small pedagogical dataset containing bond contracts for pricing, yield-to-maturity, duration, and convexity examples.

A small pedagogical dataset containing bond contracts for pricing, yield-to-maturity, duration, and convexity examples.

Usage

bonds_sample

bonds_sample

Format

A tibble with 5 rows and 8 variables:

bond_id

Bond identifier.

face

Face value of the bond.

c

Annual coupon rate.

k

Number of coupon payments per year.

n

Maturity in years.

y

Annual nominal yield rate consistent with coupon frequency.

bond_type

Short bond type label.

P

Theoretical bond price computed from the listed yield rate.

A tibble with 5 rows and 8 variables:

bond_id

Bond identifier.

face

Face value of the bond.

c

Annual coupon rate.

k

Number of coupon payments per year.

n

Maturity in years.

y

Annual nominal yield rate consistent with coupon frequency.

bond_type

Short bond type label.

P

Theoretical bond price computed from the listed yield rate.

Source

Synthetic pedagogical data created for tidyactuarial examples.

Synthetic pedagogical data created for tidyactuarial examples.

Details

This dataset uses the compact bond notation adopted in tidyactuarial: face is the face value, c is the annual coupon rate, k is the coupon frequency, n is the maturity, y is the yield input, and P is the bond price.

This dataset uses the compact bond notation adopted in tidyactuarial: face is the face value, c is the annual coupon rate, k is the coupon frequency, n is the maturity, y is the yield input, and P is the bond price.

Examples

data(bonds_sample)

bonds_sample |>
  dplyr::select(bond_id, face, c, k, n, y, P)
#> # A tibble: 5 × 7
#>   bond_id  face     c     k     n     y     P
#>   <chr>   <dbl> <dbl> <dbl> <dbl> <dbl> <dbl>
#> 1 BOND_A   1000 0.05      2     5 0.055  978.
#> 2 BOND_B   1000 0.08      2    10 0.065 1109.
#> 3 BOND_C   1000 0         1     3 0.04   889.
#> 4 BOND_D   5000 0.045     4     7 0.05  4853.
#> 5 BOND_E   1000 0.06      1    15 0.06  1000.

data(bonds_sample)

bonds_sample |>
  dplyr::select(bond_id, face, c, k, n, y, P)
#> # A tibble: 5 × 7
#>   bond_id  face     c     k     n     y     P
#>   <chr>   <dbl> <dbl> <dbl> <dbl> <dbl> <dbl>
#> 1 BOND_A   1000 0.05      2     5 0.055  978.
#> 2 BOND_B   1000 0.08      2    10 0.065 1109.
#> 3 BOND_C   1000 0         1     3 0.04   889.
#> 4 BOND_D   5000 0.045     4     7 0.05  4853.
#> 5 BOND_E   1000 0.06      1    15 0.06  1000.