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