CallableBond {RQuantLib} | R Documentation |
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
## 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
bondparams |
bond parameters:
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hullWhite |
arguments that are needed to set up a HullWhite pricing engine in QuantLib:
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coupon |
a double vector of coupon rates | ||||||||||||
dateparams |
QuantLib's date parameters of the bond.
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Please see any decent Finance textbook for background reading, and the
QuantLib
documentation for details on the QuantLib
implementation.
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 |
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
.
#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)