So, I'm trying to compute the daily yielt to maturity on basis of data retrieved from Datastream. The data comprises EMU Treasury bonds with Prices, Coupon and Maturity date. In R the matrices are constructed that daily all prices, coupons and time-to maturites are arranged corresponding to their date. When matured, all three variables are 0 (zero).
Using the bondvalue function:
bondvalue = function(c,T,r,par)
{
bv = c/r + (par - c/r) * (1+r)^(-2*T) #from (3.3)
bv
}
I essentially use:
Yields = c(Yields,
uniroot(function(r) bondvalue(Coupon*100, Prices, r, 100) - Prices,
c(-1, 1))$root)
to find yield to maturities. However, as stated before I would like to compute daily yield to maturities. Therefore I use a for loop:
daily_ytm <- matrix(NA,ncol = ncol(Prices), nrow = nrow(Prices))
for (i in 1:nrow(Prices)) {
for (j in 1:ncol(Prices)) {
if (Prices[i,j] == 0){
daily_ytm[i,j]=0
}
else if (Prices > 0){
daily_ytm[i,j]=c(daily_ytm,
uniroot(function(r) bondvalue(Coupon*100, Prices, r, 100) - Prices,
c(-1, 1))$root)
}
}
}
Where I would like to get a 0 (zero) in the new matrix, whenever the Price/Coupon/Maturity is zero (or NA originally), otherwise it should find the ytm using uniroot().
However, I receive the error:
Error in pmax.int(pmin(x, .Machine$double.xmax), -.Machine$double.xmax) :
invalid input type
In addition: Warning messages:
1: In if (Prices > 0) { :
the condition has length > 1 and only the first element will be used
2: In if (is.na(f.lower)) stop("f.lower = f(lower) is NA") :
the condition has length > 1 and only the first element will be used
3: In if (is.na(f.upper)) stop("f.upper = f(upper) is NA") :
the condition has length > 1 and only the first element will be used
4: In cbind(is.na(mmm), is.na(each)) :
number of rows of result is not a multiple of vector length (arg 2)
What am I doing wrong here?
> head(Prices)
PTOTEAOE0013 PTOTEMOE0001 DE0004109103 PTOTEOOE0009
1999-12-31 105.88 100.13 120.033 108.4
2000-01-03 105.75 100.13 120.033 108.4
2000-01-04 105.85 100.13 120.033 108.4
2000-01-05 105.92 100.13 120.033 108.4
2000-01-06 105.92 100.13 120.033 108.4
2000-01-07 106.20 100.13 120.033 108.4
> head(Coupon[,1:4])
PTOTEUOE0001 PTOTEAOE0013 PTOTEMOE0001 DE0004109103
1999-12-31 0.0875 0.048125 0.10625 0.07125
2000-01-03 0.0875 0.048125 0.10625 0.07125
2000-01-04 0.0875 0.048125 0.10625 0.07125
2000-01-05 0.0875 0.048125 0.10625 0.07125
2000-01-06 0.0875 0.048125 0.10625 0.07125
2000-01-07 0.0875 0.048125 0.10625 0.07125
> head(ttm_y[,1:4])
PTOTEUOE0001 PTOTEAOE0013 PTOTEMOE0001 DE0004109103
1 1.16667 3.25 3.41667 3.50000
2 1.16667 3.25 3.41667 3.41667
3 1.16667 3.25 3.41667 3.41667
4 1.16667 3.25 3.41667 3.41667
5 1.16667 3.25 3.41667 3.41667
6 1.16667 3.25 3.41667 3.41667
Cheers
