FittedBondCurve {RQuantLib}R Documentation

Returns the discount curve (with zero rates and forwards) given times

Description

FittedBondCurve fits a term structure to a set of bonds using three different fitting methodologies. For more detail, see QuantLib/Example/FittedBondCurve.

Usage

FittedBondCurve(curveparams, lengths, coupons, dateparams)

Arguments

curveparams curve parameters
method a string, fitting methods: "ExponentialSplinesFitting", "SimplePolynomialFitting", "NelsonSiegelFitting"
origDate a Date, starting date of the curve
lengths an integer vector, length of the bonds in year
coupons a double vector, coupon rate of the bonds
dateparams QuantLib's date parameters.
settlementDays a double, settlement days.
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
See example below.

Details

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

Value

table, a three columns "date - zeroRate - discount" data frame

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/reference/class_quant_lib_1_1_fitted_bond_discount_curve.html

Examples


lengths <- c(2,4,6,8,10,12,14,16,18,20,22,24,26,28,30)
coupons <- c( 0.0200, 0.0225, 0.0250, 0.0275, 0.0300,
              0.0325, 0.0350, 0.0375, 0.0400, 0.0425,
              0.0450, 0.0475, 0.0500, 0.0525, 0.0550 )
dateparams <- list(settlementDays=0, period="Annual", 
                   dayCounter="SimpleDayCounter", 
                  businessDayConvention ="Unadjusted")
curveparams <- list(method="ExponentialSplinesFitting", 
                    origDate = Sys.Date())
curve <- FittedBondCurve(curveparams, lengths, coupons, dateparams)
library(zoo)
z <- zoo(curve$table$zeroRates, order.by=curve$table$date)
plot(z)

[Package RQuantLib version 0.3.2 Index]