| Type: | Package |
| Title: | Time Value of Money Functions |
| Version: | 0.5.2 |
| Author: | Juan Manuel Truppia |
| Maintainer: | Juan Manuel Truppia <jmtruppia@gmail.com> |
| Description: | Functions for managing cashflows and interest rate curves. |
| License: | MIT + file LICENSE |
| Depends: | R (≥ 3.1.0) |
| Suggests: | testthat, knitr, markdown, rmarkdown |
| Imports: | ggplot2, reshape2, scales, stats, utils |
| VignetteBuilder: | knitr |
| RoxygenNote: | 7.2.3 |
| Encoding: | UTF-8 |
| URL: | https://bitbucket.org/juancentro/tvm |
| NeedsCompilation: | no |
| Packaged: | 2023-08-30 13:33:41 UTC; Juan |
| Repository: | CRAN |
| Date/Publication: | 2023-08-30 13:50:02 UTC |
tvm: Time Value of Money Functions
Description
Functions for managing cashflows and interest rate curves.
See Also
Useful links:
Returns a particular rate or rates from a curve
Description
Returns a particular rate or rates from a curve
Usage
## S3 method for class 'rate_curve'
r[rate_type = "zero_eff", x = NULL]
Arguments
r |
The rate_curve object |
rate_type |
The rate type |
x |
The points in time to return |
Value
If x is NULL, then returns a rate function of rate_type type.
Else, it returns the rates of rate_type type and corresponding to time x
Examples
r <- rate_curve(rates = c(0.1, 0.2, 0.3), rate_type = "zero_eff")
r["zero_eff"]
r["swap",c(1.5, 2)]
Adjusts the discount factors by a spread
Description
Adjusts the discount factors by a spread
Usage
adjust_disc(fd, spread)
Arguments
fd |
vector of discount factors used to discount cashflows in |
spread |
effective spread |
Examples
adjust_disc(fd = c(0.99, 0.98), spread = 0.01)
Get the cashflow for a loan
Description
Returns the cashflow for the loan, excluding the initial inflow for the loan taker
Usage
cashflow(l)
Arguments
l |
The loan |
Examples
l <- loan(rate = 0.05, maturity = 10, amt = 100, type = "bullet")
cashflow(l)
Calculates the Total Financial Cost (CFT)
Description
This is the IRR of the loan's cashflow, after adding all the extra costs
Usage
cft(amt, maturity, rate, up_fee = 0, per_fee = 0)
Arguments
amt |
The amount of the loan |
maturity |
The maturity of the loan |
rate |
The loan rate, in effective rate |
up_fee |
The fee that the loan taker pays upfront |
per_fee |
The fee that the loan payer pays every period |
Details
It is assumed that the loan has monthly payments The CFT is returned as an effective rate of periodicity equal to that of the maturity and the rate The interest is calculated over amt + fee
Examples
cft(amt = 100, maturity = 10, rate = 0.05, up_fee = 1, per_fee = 0.1)
Value of a discounted cashflow
Description
Value of a discounted cashflow
Usage
disc_cf(fd, cf)
Arguments
fd |
The discount factor vector |
cf |
The cashflow |
Examples
disc_cf(fd = c(1, 0.99, 0.98, 0.97), cf = c(1, -0.3, -0.4, -0.6))
Calculates the present value of a cashflow
Description
Calculates the present value of a cashflow
Usage
disc_value(r, cf, d = 1:length(cf))
Arguments
r |
A rate curve |
cf |
The vector of values corresponding to the cashflow |
d |
The periods on which the cashflow occurs. If missing, it is assumed that cf[i] occurs on period i |
Value
The present value of the cashflow
Examples
r <- rate_curve(rates = c(0.1, 0.2, 0.3), rate_type = "zero_eff")
disc_value(r, cf = c(-1, 1.10), d = c(0,1))
disc_value(r, cf = c(-1, 1.15*1.15), d = c(0,2))
Find the rate for a loan given the discount factors
Description
Thru a root finding process, this function finds the rate that corresponds to a given set of discount factors, as for the loan to have the same present value discounted with the discount factors or with that constant rate
Usage
find_rate(m, d, loan_type, interval = c(1e-06, 2), tol = 1e-08)
Arguments
m |
The maturity of the loan |
d |
The discount factor vector |
loan_type |
One of the loan types |
interval |
The interval for the root finding process |
tol |
The tolerance for the root finding process |
Examples
find_rate(m = 3, d = c(0.99, 0.98, 0.97), loan_type = "bullet")
The IRR is returned as an effective rate with periodicity equal to that of the cashflow
Description
Internal Rate of Return of a periodic cashflow (IRR)
Usage
irr(cf, ts = seq(from = 0, by = 1, along.with = cf), interval = c(-1, 10), ...)
Arguments
cf |
The cashflow |
ts |
The times on which the cashflow occurs. It is assumed that |
interval |
A length 2 vector that indicates the root finding algorithm where to search for the irr |
... |
Other arguments to be passed on to uniroot |
Examples
irr(cf = c(-1, 0.5, 0.9), ts = c(0, 1, 3))
Creates an instance of a loan class
Description
Creates an instance of a loan class
Usage
loan(rate, maturity, amt, type, grace_int = 0, grace_amort = grace_int)
Arguments
rate |
The periodic effective rate of the loan |
maturity |
The maturity of the loan, measured in the same units as the periodicity of the rate |
amt |
The amount loaned |
type |
The type of loan. Available types are |
grace_int |
The number of periods that the loan doesn't pay interest and capitalizes it. Leave in 0 for zero loans |
grace_amort |
The number of periods that the loan doesn't amortize |
Examples
loan(rate = 0.05, maturity = 10, amt = 100, type = "bullet")
Net Present Value of a periodic cashflow (NPV)
Description
Net Present Value of a periodic cashflow (NPV)
Usage
npv(i, cf, ts = seq(from = 0, by = 1, along.with = cf))
Arguments
i |
The rate used to discount the cashflow. It must be effective and with a periodicity that matches that of the cashflow |
cf |
The cashflow |
ts |
The times on which the cashflow occurs. It is assumed that |
Value
The net present value at
Examples
npv(i = 0.01, cf = c(-1, 0.5, 0.9), ts = c(0, 1, 3))
Plots a rate curve
Description
Plots a rate curve
Usage
## S3 method for class 'rate_curve'
plot(x, rate_type = NULL, y_labs_perc = TRUE, y_labs_acc = NULL, ...)
Arguments
x |
The rate curve |
rate_type |
The rate types to plot, in c("french", "fut", "german", "zero_eff", "zero_nom", "swap", "zero_cont") |
y_labs_perc |
If TRUE, the y axe is labeled with percentages |
y_labs_acc |
If y_labs_perc is TRUE, the accuracy for the percentages (i.e., 1 for xx%, 0.1 for xx.x%, 0.01 for xx.xx%, etc) |
... |
Other arguments (unused) |
Examples
r <- rate_curve(rates = c(0.1, 0.2, 0.3), rate_type = "zero_eff")
plot(r)
## Not run:
plot(r, rate_type = "german")
plot(r, rate_type = c("french", "german"))
## End(Not run)
The value of the payment of a loan with constant payments (french type amortization)
Description
The value of the payment of a loan with constant payments (french type amortization)
Usage
pmt(amt, maturity, rate)
Arguments
amt |
The amount of the loan |
maturity |
The maturity of the loan |
rate |
The rate of the loan |
Details
The periodicity of the maturity and the rate must match, and this will be the periodicity of the payments
Examples
pmt(amt = 100, maturity = 10, rate = 0.05)
The rate of a loan with constant payments (french type amortization)
Description
The rate of a loan with constant payments (french type amortization)
Usage
rate(amt, maturity, pmt, extrema = c(1e-04, 1e+09), tol = 1e-04)
Arguments
amt |
The amount of the loan |
maturity |
The maturity of the loan |
pmt |
The payments of the loan |
extrema |
Vector of length 2 that has the minimum and maximum value to search for the rate |
tol |
The tolerance to use in the root finding algorithm |
Details
The periodicity of the maturity and the payment must match, and this will be the periodicity of the rate (which is returned as an effective rate)
Examples
rate(amt = 100, maturity = 10, pmt = 15)
Creates a rate curve instance
Description
Creates a rate curve instance
Usage
rate_curve(
rates = NULL,
rate_type = "zero_eff",
pers = 1:length(rates),
rate_scale = 1,
fun_d = NULL,
fun_r = NULL,
knots = seq.int(from = 1, to = max(pers), by = 1),
functor = function(x, y) splinefun(x = x, y = y, method = "monoH.FC")
)
Arguments
rates |
A rate vector |
rate_type |
The rate type. Must be on of c("fut", "zero_nom", "zero_eff", "swap", "zero_cont) |
pers |
The periods the rates correspond to |
rate_scale |
In how many periods is the rate expressed. For example, when measuring periods in days, and using annual rates, you should use 365. When measuring periods in months, and using annual rates, you should use 12. If no scaling, use 1. |
fun_d |
A discount factor function. fun_d(x) returns the discount factor for time x, vectorized on x |
fun_r |
A rate function. fun_r(x) returns the EPR for time x, vectorized on x |
knots |
The nodes used to bootstrap the rates. This is a mandatory argument if a rate function or discount function is provided |
functor |
A function with parameters x and y, that returns a function used to interpolate |
Note
Currently a rate curve can only be built from one of the following sources
A discount factor function
A rate function and a rate type from the following types: "fut", "zero_nom", "zero_eff", "swap" or "zero_cont
A rate vector, a pers vector and a rate type as before
Examples
rate_curve(rates = c(0.1, 0.2, 0.3), rate_type = "zero_eff")
rate_curve(fun_r = function(x) rep_len(0.1, length(x)), rate_type = "swap", knots = 1:12)
rate_curve(fun_d = function(x) 1 / (1 + x), knots = 1:12)
Remaining capital in a loan
Description
The amount that has to be repayed at each moment in a loan, at the end of the period
Usage
rem(cf, amt, r)
Arguments
cf |
The cashflow of the loan, not including the initial inflow for the loan taker |
amt |
The original amount of the loan |
r |
The periodic rate of the loan |
Examples
rem(cf = rep_len(0.4, 4), amt = 1, r = 0.2)
The IRR is returned as an effective annual rate
Description
Internal Rate of Return of an irregular cashflow (IRR)
Usage
xirr(cf, d, tau = NULL, comp_freq = 1, interval = c(-0.99999, 10), ...)
Arguments
cf |
The cashflow |
d |
The dates when each cashflow occurs. Same length as the cashflow. Only used if tau is NULL. Assumes act/365 fractions |
tau |
The year fractions when each cashflow occurs. Same length as the cashflow |
comp_freq |
The compounding frequency used. Most relevant cases are 1 for yearly, 2 twice a year, 4 quarterly, 12 monthly, 0 no compounding, Inf continuous |
interval |
A length 2 vector that indicates the root finding algorithm where to search for the irr |
... |
Other arguments to be passed on to uniroot |
Examples
xirr(cf = c(-1, 1.5), d = Sys.Date() + c(0, 365))
Net Present Value of an irregular cashflow (NPV)
Description
Net Present Value of an irregular cashflow (NPV)
Usage
xnpv(i, cf, d, tau = NULL, comp_freq = 1)
Arguments
i |
The rate used to discount the cashflow |
cf |
The cashflow |
d |
The dates when each cashflow occurs. Same length as the cashflow. Only used if tau is NULL. Assumes act/365 fractions |
tau |
The year fractions when each cashflow occurs. Same length as the cashflow |
comp_freq |
The compounding frequency used. Most relevant cases are 1 for yearly, 2 twice a year, 4 quarterly, 12 monthly, 0 no compounding, Inf continuous |
Examples
xnpv(i = 0.01, cf = c(-1, 0.5, 0.9), d = as.Date(c("2015-01-01", "2015-02-15", "2015-04-10")))