ZeroCouponBond {RQuantLib}R Documentation

Zero-oupon bond evaluation using discount curve solution

Description

The ZeroCouponBond function evaluates a zero-coupon plainly 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:
ZeroCouponBond(bond, 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
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.
businessDayConvention a number or string, business day convention. 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 ZeroCouponBond function returns an object of class ZeroCouponBond (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

# simple call with unnamed parameters
bond <- list(faceAmount=100, issueDate=as.Date("2004-11-30"),
             maturityDate=as.Date("2008-11-30"), redemption=100 )

dateparams <-list(settlementDays=1, calendar="us", businessDayConvention=4)

discountCurve <- list(todayDate=as.Date("2004-11-04"), riskFreeRate=0.03)

ZeroCouponBond(bond, discountCurve, 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)
discountCurve <- list(params, tsQuotes, times)

# depreciated
ZeroCouponBond(bond, discountCurve, dateparams)

# construct a curve
curves <- DiscountCurve(params, tsQuotes, times)
ZeroCouponBond(bond, curves, dateparams)

#construct a flat curve
flatquote <- list(flat=0.04)
flatCurve <- DiscountCurve(params, flatquote, times)
dateparams <-list(settlementDays=1, calendar="us", 
                  businessDayConvention="Following")

ZeroCouponBond(bond, flatCurve, dateparams)


[Package RQuantLib version 0.3.2 Index]