RQuantLib (version 0.3.0)

Bond: Base class for Bond price evalution

Description

This class forms the basis from which the more specific classes are derived.

Usage

## S3 method for class 'Bond':
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## S3 method for class 'Bond':
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## S3 method for class 'Bond':
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Arguments

Bond

Any Bond object derived from this base class

Value

• None, but side effects of displaying content.

Details

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

References

http://quantlib.org for details on QuantLib.

Examples

#build a curve
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)

discountCurve <- DiscountCurve(params, tsQuotes, times)

# price a zero coupon bond
bondparams <- list(faceAmount=100, issueDate=as.Date("2004-11-30"),
             maturityDate=as.Date("2008-11-30"), redemption=100 )
dateparams <-list(settlementDays=1, calendar="us", businessDayConvention=4)
ZeroCouponBond(bondparams, discountCurve, dateparams)

# price a fixed rate coupon bond

bondparams <- 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 = 4, terminationDateConvention=4,
                   dateGeneration=1, endOfMonth=1)
rates <- c(0.02875)
FixedRateBond(bondparams, rates, discountCurve, dateparams)

# price a floating rate bond
bondparams <- 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()

iborCurve <- DiscountCurve(params,list(flat=0.05), times)
ibor <- list(type="USDLibor", length=6, inTermOf="Month", 
             term=iborCurve)
FloatingRateBond(bondparams, gearings, spreads, caps, floors, 
                 ibor, discountCurve, dateparams)