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Yield and price calculations for bonds

License: MIT License

JavaScript 100.00%

yield bond finance price

bond-calculator's Introduction

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

More info about day count conventions can be found on Wikipedia.

Installation

npm install --save bond-calculator

Usage

const bondCalculator = require('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
  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

bond-calculator's People

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ianmadlenya floydspace alexdorsch ek0519 jmike1211 lapalusd mukulgupta21 natanhp

bond-calculator's Issues

An in-range update of date-fns is breaking the build 🚨

The dependency date-fns was updated from `1.29.0` to `1.30.0`.

🚨 View failing branch.

This version is covered by your current version range and after updating it in your project the build failed.

date-fns is a direct dependency of this project, and it is very likely causing it to break. If other packages depend on yours, this update is probably also breaking those in turn.

Status Details

❌ continuous-integration/travis-ci/push: The Travis CI build failed (Details).

FAQ and help

There is a collection of frequently asked questions. If those don’t help, you can always ask the humans behind Greenkeeper.

Your Greenkeeper Bot 🌴

Angualr 6 help!

I'm using the repo in angular 6 and i'm a novice. after i import the file i get errors with its dependencies when trying to use the app. is help possible?

Quarterly Payments are returning null response

I am have a list of bonds and when the frequency is set to 4 for a couple of bonds the response is NaN. When used with Annual or Semi-Annual it works fine

{ 
maturity: 2025-01-15,
redemption: 100,
settlement: 2018-08-21,
frequency: 4,
rate: .0.07,
convention: '30U/360' 
}

yld = bond.yield(100);

An Suggestions?

An in-range update of eslint-plugin-import is breaking the build 🚨

The devDependency eslint-plugin-import was updated from `2.16.0` to `2.17.0`.

🚨 View failing branch.

This version is covered by your current version range and after updating it in your project the build failed.

eslint-plugin-import is a devDependency of this project. It might not break your production code or affect downstream projects, but probably breaks your build or test tools, which may prevent deploying or publishing.

Status Details

❌ continuous-integration/travis-ci/push: The Travis CI build could not complete due to an error (Details).

Commits

The new version differs by 61 commits.

0499050 bump to v2.17.0
f479635 [webpack] v0.11.1
8a4226d Merge pull request #1320 from bradzacher/export-ts-namespaces
988e12b fix(export): Support typescript namespaces
70c3679 [docs] make rule names consistent
6ab25ea [Tests] skip a TS test in eslint < 4
405900e [Tests] fix tests from #1319
2098797 [fix] export: false positives for typescript type + value export
70a59fe [fix] Fix overwriting of dynamic import() CallExpression
e4850df [ExportMap] fix condition for checking if block comment
918567d [fix] namespace: add check for null ExportMap
2d21c4c Merge pull request #1297 from echenley/ech/fix-isBuiltIn-local-aliases
0ff1c83 [dev deps] lock typescript to ~, since it doesn’t follow semver
40bf40a [*] [deps] update resolve
28dd614 Merge pull request #1304 from bradennapier/feature/typescript-export-type

There are 61 commits in total.

See the full diff

FAQ and help

There is a collection of frequently asked questions. If those don’t help, you can always ask the humans behind Greenkeeper.

Your Greenkeeper Bot 🌴

Purpose of dPriceDYld

This is not an entirely new issue but I wanted to understand the logic behind the dPriceDYld calculation. The reason I'm asking is that its Newton root is computed alongside the usual bond price _price.

Thank you.

Error: Newton's method failed to converge after 100 iterations

Hi! I have bond with next params:

{ 
  maturity: 2031-08-15T00:00:00.000Z,
  redemption: 100,
  settlement: 2018-04-25T00:00:00.000Z,
  frequency: 2,
  rate: 0.09,
  convention: '30U/360' 
}

When i try to calculate yield with price 58.4, i get error "Newton's method failed to converge after 100 iterations"

But in EXCEL this bond works fine.

Help me please!