CallableBond {RQuantLib}R Documentation

CallableBond evaluation

Description

The CallableBond function sets up and evaluates a callable fixed rate bond using Hull-White model and a TreeCallableFixedBondEngine pricing engine. For more detail, see the source codes in quantlib's example folder, Examples/CallableBond/CallableBond.cpp

Usage

## Default S3 method:
CallableBond(bondparams, hullWhite, coupon, dateparams)
## S3 method for class 'Bond':
plot
## S3 method for class 'Bond':
print
## S3 method for class 'Bond':
summary

Arguments

bondparams 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
hullWhite arguments that are needed to set up a HullWhite pricing engine in QuantLib:
term a double, to set up a flat rate yield term structure
alpha a double, Hull-White model's alpha value
sigma a double, Hull-White model's sigma value
gridIntervals. a double, time intervals parameter to set up the TreeCallableFixedBondEngine
Currently, the codes only support a flat rate yield term structure. For more detail, see QuantLib's doc on HullWhite and TreeCallableFixedBondEngine.
coupon a double vector of coupon rates
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, termination day convention. See Enum
See example below.

Details

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

Value

The CallableBond function returns an object of class CallableBond (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

#set-up a HullWhite according to example from QuantLib
HullWhite <- list(term = 0.055, alpha = 0.03, sigma = 0.01,
                  gridIntervals = 40)

#callability schedule dataframe
Price <- rep(as.double(100),24)
Type <- rep(as.character("C"), 24)
Date <- seq(as.Date("2006-09-15"), by = '3 months', length = 24)
callSch <- data.frame(Price, Type, Date)
callSch$Type <- as.character(callSch$Type)

bondparams <- list(faceAmount=100, issueDate = as.Date("2004-09-16"),
                   maturityDate=as.Date("2012-09-16"), redemption=100,
                   callabilitySchedule = callSch)
dateparams <- list(settlementDays=3, calendar="us", 
                   dayCounter = "ActualActual", 
                   period="Quarterly", 
                   businessDayConvention = "Unadjusted", 
                   terminationDateConvention= "Unadjusted")
coupon <- c(0.0465)

CallableBond(bondparams, HullWhite, coupon, dateparams)


[Package RQuantLib version 0.3.2 Index]