How to retrieve the remaining cashflows from a FinancialBond object

Question

I would like to get the cash flows and dates for the remaining coupons and principal repayment for a FinancialBond object. These must be calculated internally by the FinancialBond object for many of its possible return values but I can't see how to get the cashflows explicitly. Thanks

Answer 1

Unless I'm mistaken, FinancialBond is a function that returns values given parameters. It isn't similar to those objects returned by the likes of NonlinearModelFit, that have internal data and methods.

Coupon dates can be found using, for instance, the following:

matDate = {2020, 12, 31};
faceValue = 1000;
couponRate = 0.07; 
cDates = 
 Rest@NestWhileList[
   FinancialBond[
     {"FaceValue" -> faceValue, "Coupon" -> couponRate, 
      "Maturity" -> matDate, "CouponInterval" -> 1/2}, 
     {"InterestRate" -> 0.06, "Settlement" -> #, "DayCountBasis" -> "Actual/360"}, 
     "NextCouponDate"
   ] &, 
   DateList[][[;; 3]], 
   DateDifference[#, matDate] > 0 &
]

{{2012, 12, 31}, {2013, 6, 30}, {2013, 12, 31}, {2014, 6, 30}, {2014, 12, 31}, {2015, 6, 30}, {2015, 12, 31}, {2016, 6, 30}, {2016, 12, 31}, {2017, 6, 30}, {2017, 12, 31}, {2018, 6, 30}, {2018, 12, 31}, {2019, 6, 30}, {2019, 12, 31}, {2020, 6, 30}, {2020, 12, 31}}

Cash flows are simply the product of "FaceValue" and "Coupon" terms on these days plus the "FaceValue" at maturity date, unless you use a rate function instead of a fixed rate.

cf = ConstantArray[faceValue couponRate, Length@cDates];
cf[[-1]] += faceValue;

You could make a CashFlow object from that:

cfo = Cashflow[{cDates, cf}\[Transpose]];

This could be used to calculate the time value of the cashflow:

TimeValue[cfo, 0.05, DateList[][[;; 3]]]

1655.630782