[R-SIG-Finance] termstrc's bonds dataset creation

[spencerg]

      I believe you can get an answer to that question by first Googling 
for "Robert Ferstl, Josef Hayden", the authors of the package.  The 
first match allows you to download a 23-page manuscript describing the 
package (http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1307149).  
This paper discusses "clean" vs. "dirty" prices.  From this, you should 
be able to construct a very simple special case that will answer your 
question.  I do not remember now the answer to your question, but I 
believe I did this a couple of months ago and got a clear answer. 


      Hope this helps. 
      Spencer Graves


Hsiao-nan Cheung wrote:
> Hi,
>
>  
>
>          I want to do a bonds analysis and now plan to create my own bonds
> set with package termstrc. But during construction, I got two problems.
>
> 1.       In the given datasets, there¡¯s a domain called PRICE, and should I
> use bonds¡¯ CLEAN price or DIRTY price here?
>
> 2.       In the list CF, the given bonds tend to be coupon bonds, and the
> coupon frequencies are once per year. Then how about zero-coupon (pure
> discounted) bonds? Or coupon frequencies larger then 1?
>
>  
>
> Thanks
>
> Hsiao-nan Cheung
>
> 2009/7/19
>
>
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>
>   
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