FixedRateBond {RQuantLib}R Documentation

Fixed rate bond evaluation using discount curve solution

Description

The FixedRateBond function evaluates a fixed rate bond using discount curve. More specificly, the calculation is done by DiscountingBondEngine from QuantLib. The NPV, clean price, dirty price, accrued interest, yield and cash flows of the bond is returned. For more detail, see the source codes in quantlib's test-suite. test-suite/bond.cpp

Usage

## Default S3 method:
FixedRateBond(bond, rates, discountCurve, dateparams )
## S3 method for class 'Bond':
plot
## S3 method for class 'Bond':
print
## S3 method for class 'Bond':
summary

Arguments

bond bond parameters:
faceAmount a double, face amount of the bond
issueDate a Date, the bond's issue date
maturityDate a Date, the bond's maturity date
redemption a double, percentage of the initial face amount that will be returned at maturity date. Normally set at 100
effectiveDate a Date, the bond's effective date
rates a double vector of rates
discountCurve Can be on of the following:
a DiscountCurve object
A list that specifies a flat curve in two values "todayDate" and "rate"
A list that specified 3 values to construct a DiscountCurve object, "params" , "tsQuotes", "times". For more detail, see example or the discountCurve function
dateparams QuantLib's date parameters of the bond.
settlementDays a double, settlement days.
calendar a string, either 'us' or 'uk' corresponding to US Goverment Bond calendar and UK Exchange calendar.
dayCounter a number or string, day counter convention. See Enum
period a number or string, interest compounding interval. See Enum
businessDayConvention a number or string, business day convention. See Enum
terminationDateConvention a number or string, business day convention. See Enum
endOfMonth an integer with value 1 or 0.
dateGeneration an integer, date generation method. See Enum
See example below.

Details

A discount curve is built to calculate the bond value.

Please see any decent Finance textbook for background reading, and the QuantLib documentation for details on the QuantLib implementation.

Value

The FixedRateBond function returns an object of class FixedRateBond (which inherits from class Bond). It contains a list with the following components:

NPV net present value of the bond
cleanPrice price price of the bond
dirtyPrice dirty price of the bond
accruedAmount accrued amount of the bond
yield yield of the bond
cashFlows cash flows of the bond

Note

The interface might change in future release as QuantLib stabilises its own API.

Author(s)

Khanh Nguyen knguyen@cs.umb.edu for the inplementation; Dirk Eddelbuettel edd@debian.org for the R interface; the QuantLib Group for QuantLib

References

http://quantlib.org for details on QuantLib.

Examples


bond <- list(faceAmount=100, issueDate=as.Date("2004-11-30"),
             maturityDate=as.Date("2008-11-30"), redemption=100, 
             effectiveDate=as.Date("2004-11-30"))
dateparams <- list(settlementDays=1, calendar="us", dayCounter = 1, period=3, 
                   businessDayConvention = 4, terminationDateConvention=4,
                   dateGeneration=1, endOfMonth=1)
curve <- list(todayDate=as.Date("2004-11-04"), riskFreeRate=0.03)
rates <- c(0.02875)
                       
FixedRateBond(bond, rates, curve, dateparams)

params <- list(tradeDate=as.Date('2002-2-15'),
               settleDate=as.Date('2002-2-19'),
               dt=.25,
               interpWhat="discount",
               interpHow="loglinear")

tsQuotes <- list(d1w  =0.0382,
                 d1m  =0.0372,
                 fut1=96.2875,
                 fut2=96.7875,
                 fut3=96.9875,
                 fut4=96.6875,
                 fut5=96.4875,
                 fut6=96.3875,
                 fut7=96.2875,
                 fut8=96.0875,
                 s3y  =0.0398,
                 s5y  =0.0443,
                 s10y =0.05165,
                 s15y =0.055175)

times <- seq(0,10,.1)
curve <- list(params, tsQuotes, times)
FixedRateBond(bond, rates, curve, dateparams)

curve <- DiscountCurve(params, tsQuotes, times)
dateparams <- list(settlementDays=1, calendar="us", dayCounter = "Thirty360", 
                   period="Annual", businessDayConvention = "Preceding", 
                   terminationDateConvention="Preceding",
                   dateGeneration="Forward", endOfMonth=1)
FixedRateBond(bond, rates, curve, dateparams)


[Package RQuantLib version 0.3.2 Index]