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Rolling Present Value Calculation

roll_pv.Rd

This function computes the rolling present value of a series of payments (cash flows) over time. The first value in the pmt_vec vector must be zero, as it is a placeholder for calculations.

Usage

roll_pv(rate, g = 0, nper, pmt_vec, t = 1)

Arguments

rate

Numeric. The interest rate per period (e.g., 0.05 for 5%).

g

Numeric. The growth rate of payments per period (default is 0).

nper

Integer. The total number of periods (e.g., 10 for 10 periods).

pmt_vec

Numeric vector. A vector of payment amounts over the periods. The first value in this vector must be zero.

t

Integer. Timing of payments:

  • t = 1: Payments occur at the end of the period (default).

  • t = 0: Payments occur at the beginning of the period.

Value

Numeric vector. A vector containing the rolling present values for each period.

Details

The rolling present value is calculated iteratively:

  • For the first period (i = 1), the present value is calculated using the pv function for the second payment.

  • For subsequent periods (i > 1), the present value is updated by rolling forward the previous value with interest and subtracting the adjusted payment.

The formula for the rolling present value is: $$PV[i] = PV[i-1] \cdot (1 + rate) - pmt_vec[i] \cdot (1 + rate)^{1 - t}$$

See also

pv for the present value calculation used within this function.

Examples

# Example: Calculate rolling PV for a series of payments
pmt_vec <- c(0, 1000, 1200, 1300, 1100, 1400)
roll_pv(rate = 0.05, g = 0.02, nper = 10, pmt_vec = pmt_vec, t = 1)
#> [1] 8388.106 7807.511 6997.886 6047.781 5250.170 4112.678