bond-calculator

Yield and price calculations for bonds

Usage no npm install needed!

<script type="module">
  import bondCalculator from 'https://cdn.skypack.dev/bond-calculator';
</script>

README

Bond calculator

npm version Build Status Coverage Status Greenkeeper badge

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