RQuantLib (version 0.3.2)

ZeroCouponBond: Zero-oupon bond evaluation using discount curve solution

Description

The ZeroCouponBond function evaluates a zero-coupon plainly 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':
ZeroCouponBond(bond, discountCurve, 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

discountCurve

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 DiscountCurve object, "pa

dateparams

QuantLib's date parameters of the bond. ll{ settlementDays a double, settlement days. calendar a string, either 'us' or 'uk' corresponding to US Goverment Bond calendar and UK Exchange calendar.

Value

• The ZeroCouponBond function returns an object of class ZeroCouponBond (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

# simple call with unnamed parameters
bond <- 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)

discountCurve <- list(todayDate=as.Date("2004-11-04"), riskFreeRate=0.03)

ZeroCouponBond(bond, discountCurve, dateparams)

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 <- list(params, tsQuotes, times)

# depreciated
ZeroCouponBond(bond, discountCurve, dateparams)

# construct a curve
curves <- DiscountCurve(params, tsQuotes, times)
ZeroCouponBond(bond, curves, dateparams)

#construct a flat curve
flatquote <- list(flat=0.04)
flatCurve <- DiscountCurve(params, flatquote, times)
dateparams <-list(settlementDays=1, calendar="us", 
                  businessDayConvention="Following")

ZeroCouponBond(bond, flatCurve, dateparams)