RQuantLib (version 0.3.2)

FloatingRateBond: Fixed rate bond evaluation using discount curve solution

Description

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

Usage

## S3 method for class 'default':
FloatingRateBond(bond, gearings, spreads,
                                   caps, floors, index, 
                                   curve, dateparams )
## S3 method for class 'Bond':
plotundefined
## S3 method for class 'Bond':
printundefined
## S3 method for class 'Bond':
summaryundefined

Arguments

bond

bond parameters: ll{ faceAmount a double, face amount of the bond issueDate a Date, the bond's issue date maturityDate a Date, the bond's maturity date redemption

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: l{ a DiscountCurve object A list that specifies a flat curve in two values "todayDate" and "rate" A list that specified 3 values to construct a Discoun

index

IborIndex term structure. ll{ type a string, currently support only "USDLibor" length an integer, length of the index inTermOf a string, period unit, currently support only 'Month'

dateparams

A list specifying date paramters, settlemenDays, calendar - a string 'us' or 'uk', businessDayConvention- an integer, dayCounter, period terminationDateConvention -

Value

• 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

Details

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.

References

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

Examples

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)