FloatingRateBond {RQuantLib} | R Documentation |
The FloatingRateBond
function evaluates a floating 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
## Default S3 method: FloatingRateBond(bond, gearings, spreads, caps, floors, index, curve, dateparams ) ## S3 method for class 'Bond': plot ## S3 method for class 'Bond': print ## S3 method for class 'Bond': summary
bond |
bond parameters:
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gearings |
a double vectors, gearings paramters of FloatingRateBond's constructor. See quantlib's doc on FloatingRateBond for more detail | ||||||||||
spreads |
a double vectors, spreads paramters of FloatingRateBond's constructor. See quantlib's doc on FloatingRateBond for more detail | ||||||||||
caps |
a double vectors, spreads paramters of FloatingRateBond's constructor. See quantlib's doc on FloatingRateBond for more detail | ||||||||||
floors |
a double vectors, spreads paramters of FloatingRateBond's constructor. See quantlib's doc on FloatingRateBond for more detail | ||||||||||
curve |
a discount curve. Can be on of the following:
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index |
IborIndex term structure.
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dateparams |
A list specifying date paramters, settlemenDays ,
calendar - a string 'us' or 'uk', businessDayConvention - an integer,
dayCounter , period
terminationDateConvention - an integer,
period - an integer
dateGeneration - an integer,
endOfMonth - value 1 or 0. For more detail, see Enum and
the quantlib docs for FloatingRateBond
fixingDays - an integer
See Enum on how each values represents |
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.
The FloatingRateBond
function returns an object of class
FloatingRateBond
(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 |
The interface might change in future release as QuantLib
stabilises its own API.
Khanh Nguyen knguyen@cs.umb.edu for the inplementation; Dirk Eddelbuettel edd@debian.org for the R interface;
the QuantLib Group for QuantLib
http://quantlib.org for details on QuantLib
.
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 = 1, terminationDateConvention=1, dateGeneration=0, endOfMonth=0, fixingDays = 1) gearings <- c() spreads <- c() caps <- c() floors <- c() length2 <- list(todayDate=as.Date("2004-11-22"), riskFreeRate=0.025) 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) length3 <- list(params, tsQuotes, times) # both curves are flat curve <- length2 termstructure <- length2 iborindex <- list(type="USDLibor", length=6, inTermOf="Month", term=termstructure) FloatingRateBond(bond, gearings, spreads, caps, floors, iborindex, curve, dateparams) # one flat, another one is constructe curve <- length2 termstructure <- length3 iborindex <- list(type="USDLibor", length=6, inTermOf="Month", term = termstructure) FloatingRateBond(bond, gearings, spreads, caps, floors, iborindex, curve, dateparams) curve <- length3 termstructure <- length2 iborindex <- list(type="USDLibor", length=6, inTermOf="Month", term = termstructure) FloatingRateBond(bond, gearings, spreads, caps, floors, iborindex, curve, dateparams) # both curves are constructed curve <- length3 termstructure <- length3 iborindex <- list(type="USDLibor", length=6, inTermOf="Month", term = termstructure) FloatingRateBond(bond, gearings, spreads, caps, floors, iborindex, curve, dateparams) curve2 <- DiscountCurve(params, tsQuotes, times) index2 <- DiscountCurve(params, tsQuotes, times) ibor <- list(type="USDLibor", length=6, inTermOf="Month", term = index2) dateparams <- list(settlementDays=1, calendar="us", dayCounter = "Actual360", period="Semiannual", businessDayConvention = "Following", terminationDateConvention= "Following", dateGeneration= "Forward", endOfMonth=0, fixingDays = 1) FloatingRateBond(bond, gearings, spreads, caps, floors, ibor, curve2, dateparams)