Bond Pricing Calculator in JavaScript

A modular bond pricing engine implemented in JavaScript to compute clean price, dirty price, accrued interest, and yield-to-maturity (YTM) for both Government and Corporate bonds. A JavaScript-based bond pricing engine that calculates clean price, dirty price, yield-to-maturity (YTM), and accrued interest for government and corporate bonds. bond pricing in JavaScript

bond yield calculator JS

fixed income pricing code

YTM JavaScript formula

Supports different day count conventions and coupon frequencies such as monthly, semi-annual, and annual.

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🚀 Features

• 🏦 Government Bonds using 30E/360 day-count basis

• 🏢 Corporate Bonds using Actual/Actual basis

• 🗓 Supports multiple coupon payment frequencies — Monthly, Quarterly, Semi-Annual, Annual

• 📈 Calculates:

  • Yield to Maturity (YTM)
  • Clean and Dirty Prices
  • Accrued Interest
  • Future Cashflows

• ⚙️ Uses Newton-Raphson method for iterative yield solving

• 💡 Modular structure with reusable classes

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📂 Class Overview

1. BondPricer (Base Class)

Provides core functionalities:

• countDays30360(d1, m1, y1, d2, m2, y2) → 30E/360 day count
• accruedInterest() → Calculates accrued interest
• futureCashflows() → Generates coupon and redemption cashflows
• discountFactor(rate, t) → Computes discount factor
• Shared by both corporate and government bonds

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2. government (Subclass of BondPricer)

Implements 30E/360 basis with government-specific logic:

• _price() → Calculates bond price given a yield
• yieldFromPrice() → Computes yield from price using Newton–Raphson method
• priceFromYield() → Returns clean and dirty price
• numPeriods() → Determines remaining coupon periods
• Supports half-yearly (semi-annual) coupons

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3. corporate (Subclass of BondPricer)

Implements Actual/Actual day count with corporate bond behavior:

• priceFromYield(ytm) → Computes bond price for given yield
• yieldFromPrice(cleanPrice) → Computes yield iteratively
• Uses real coupon date schedule and redemption structure

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🧮 Example Usage

 var all_payment = {
        'Annual': "1",
        'ANNUAL': "1",
        'Once a year': "1",
        'Half-yearly': "2",
        'SEMI ANNUAL': "2",
        "Twice a year": '2',
        'Quarterly': "4",
        'QUARTERLY': "4",
        'Four times a year': '4',
        'Monthly': "12",
        "MONTHLY": '12',
        'Twelve times a year': '12',
        'On Maturity': "0"
    }
## 🧮 Government Bond
ISIN='IN0020230085'
let face = 100;
let coupon = 7.18;
let freq = 2;
let redemptions = { "2033-08-14": 100 };

let settlement = new Date();
settlement.setDate(settlement.getDate() + 1);

let last_ip = new Date("2025-08-14");
let next_ip = new Date("2026-02-14");
let maturity_date = new Date("2033-08-14");

let govBond = new government(
  face,
  coupon,
  freq,
  [],
  redemptions,
  settlement,
  "annual",
  last_ip,
  next_ip,
  maturity_date
);

console.log(govBond.yieldFromPrice(100));

Output Example:

{
  "Days Since": 54,
  "Coupon Days Duration": 180,
  "Accrued Interest": 1.077,
  "Clean Price": 100,
  "Yield": 7.1777,
  "Yield Annual": 7.1777
}

## 🧮 Corporate Bond
ISIN='INE07HK07825'

let face = 100;
let coupon = 10.65;
let freq = all_payment['MONTHLY'];
let redemptions = {
  "2027-05-12": 25,
  "2027-06-12": 25,
  "2027-07-12": 25,
  "2027-08-12": 25
};
// let redemptions = {
//   "2033-08-14": 100
// };
let settlement = new Date();
settlement.setDate(settlement.getDate() + 1);
let compound_based = "annual";
let last_ip = new Date("2025-10-12");
let nearest_date = new Date("2025-11-12");
let ipDates = [
  "2025-10-12",
  "2025-11-12",
  "2025-12-12",
  "2026-01-12",
  "2026-02-12",
  "2026-03-12",
  "2026-04-12",
  "2026-05-12",
  "2026-06-12",
  "2026-07-12",
  "2026-08-12",
  "2026-09-12",
  "2026-10-12",
  "2026-11-12",
  "2026-12-12",
  "2027-01-12",
  "2027-02-12",
  "2027-03-12",
  "2027-04-12",
  "2027-05-12",
  "2027-06-12",
  "2027-07-12",
  "2027-08-12"
];

let corporate_bond = new corporate(
  face,
  coupon,
  freq,
  ipDates,
  redemptions,
  settlement,
  compound_based,
  last_ip,
  nearest_date
);
 console.log(corporate_bond.priceFromYield(11 / 100));
console.log('yeild: ' + corporate_bond.yieldFromPrice(100)*100);
console.log(BondPricer.prototype.newFutureCashflows.call(corporate_bond, 100000));

Output Example:

{ "dirty": 100.147609, "clean": 100.2643, "accrued": -0.116712 }
yeild11.185949814866483
{
  '2025-11-12': 904.5205479452055,
  '2025-12-12': 875.3424657534244,
  '2026-01-12': 904.5205479452055,
  '2026-02-12': 904.5205479452055,
  '2026-03-12': 816.986301369863,
  '2026-04-12': 904.5205479452055,
  '2026-05-12': 875.3424657534244,
  '2026-06-12': 904.5205479452055,
  '2026-07-12': 875.3424657534244,
  '2026-08-12': 904.5205479452055,
  '2026-09-12': 904.5205479452055,
  '2026-10-12': 875.3424657534244,
  '2026-11-12': 904.5205479452055,
  '2026-12-12': 875.3424657534244,
  '2027-01-12': 904.5205479452055,
  '2027-02-12': 904.5205479452055,
  '2027-03-12': 816.986301369863,
  '2027-04-12': 904.5205479452055,
  '2027-05-12': 25875.342465753423,
  '2027-06-12': 25904.520547945205,
  '2027-07-12': 25875.342465753423,
  '2027-08-12': 25904.520547945205
}

---

🧫 Supported Payment Frequencies

Frequency Label	Value	Description
Annual / ANNUAL	1	Once a year
Half-yearly / SEMI ANNUAL	2	Twice a year
Quarterly / QUARTERLY	4	Four times a year
Monthly / MONTHLY	12	Twelve times a year
On Maturity	0	Bullet repayment

---

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📦 bond-pricing-js ├── src/ │ ├── BondPricer.js # Base class │ ├── government.js # Government bond class │ ├── corporate.js # Corporate bond class ├── example.js # Example usage └── README.md # Documentation

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⚙️ Mathematical Concepts

• Yield to Maturity (YTM) — Solved iteratively using Newton-Raphson
• Clean Price = Present Value of future cashflows
• Dirty Price = Clean Price + Accrued Interest
• Accrued Interest = Coupon × (Days since last payment / Total days in period)

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📘 Project Structure

📦 bond-pricing-js
├── BondPricer.js        # Base class with core functions
├── government.js        # Government bond logic (30E/360)
├── corporate.js         # Corporate bond logic (Actual/Actual)
├── index.js             # Example usage
└── README.md            # Documentation

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🤩 Dependencies

No external libraries required — runs on plain JavaScript.

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🧑‍💻 Author

Sanjay 📍 India 💼 Web Developer transitioning to AI & Financial Engineering

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🏁 License

This project is licensed under the MIT License — see the LICENSE file for details. Feel free to use, modify, and distribute with attribution.