FixedRateBondPriceByYield {RQuantLib} | R Documentation |
The FixedRateBondPriceByYield
function calculates the theoretical price of a fixed rate bond from its yield
## Default S3 method: FixedRateBondPriceByYield( settlementDays=1, yield, faceAmount, effectiveDate, maturityDate, period, calendar="us", rates, dayCounter=2, businessDayConvention=0, compound = 0, redemption=100, issueDate) ## S3 method for class 'Bond': plot ## S3 method for class 'Bond': print ## S3 method for class 'Bond': summary
settlementDays |
an integer, 1 for T+1, 2 for T+2, etc... |
yield |
yield of the bond |
effectiveDate |
bond's effective date |
maturityDate |
bond's maturity date |
period |
frequency of events,0=NoFrequency, 1=Once, 2=Annual, 3=Semiannual, 4=EveryFourthMonth, 5=Quarterly, 6=Bimonthly ,7=Monthly ,8=EveryFourthWeely,9=Biweekly, 10=Weekly, 11=Daily. For more information, see QuantLib's Frequency class |
calendar |
Business Calendar. Either us or uk |
faceAmount |
face amount of the bond |
rates |
vector of rates |
businessDayConvention |
convention used to adjust a date in case it is not a valid business day. See quantlib for more detail. 0 = Following, 1 = ModifiedFollowing, 2 = Preceding, 3 = ModifiedPreceding, other = Unadjusted |
dayCounter |
day count convention. 0 = Actual360(), 1 = Actual365Fixed(), 2 = ActualActual(), 3 = Business252(), 4 = OneDayCounter(), 5 = SimpleDayCounter(), all other = Thirty360(). For more information, see QuantLib's DayCounter class |
compound |
compounding type. 0=Simple, 1=Compounded, 2=Continuous, all other=SimpleThenCompounded. See QuantLib's Compound class |
redemption |
redemption when the bond expires |
issueDate |
date the bond is issued |
The FixedRateBondPriceByYield
function returns an object of class
FixedRateBondPriceByYield
(which inherits from class
Bond
). It contains a list with the following
components:
yield |
yield of the bond |
The interface might change in future release as QuantLib
stabilises its own API.
Khanh Nguyen knguyen@cs.umb.edu
http://quantlib.org for details on QuantLib
. http://www.mathworks.com/access/helpdesk/help/toolbox/finfixed/FixedRateBondPriceByYield.html for more details about this function
FixedRateBondPriceByYield(,0.0307, 100000, as.Date("2004-11-30"), as.Date("2008-11-30"), 3, , c(0.02875), , , , ,as.Date("2004-11-30"))