FixedRateBond: Fixed-Rate bond pricing

Description

The FixedRateBond function evaluates a fixed 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':
FixedRateBond(bond, rates, discountCurve, dateparams )
## S3 method for class 'Bond':
plotundefined
## S3 method for class 'Bond':
printundefined
## S3 method for class 'Bond':
summaryundefined

Arguments

bond

bond parameters, a named list whose elements are: ll{ issueDate a Date, the bond's issue date maturityDate a Date, the bond's maturity date faceAmount (Optional) a double, face am

rates

a numeric vector, bond's coupon rates

discountCurve

Can be one of the following: ll{ a DiscountCurve a object of DiscountCurve class For more detail, see example or the discountCurve function A 2 ite

dateparams

(Optional) a named list, QuantLib's date parameters of the bond. ll{ settlementDays (Optional) a double, settlement days. Default value is 1. calendar (Optional) a string, either

Value

The FixedRateBond function returns an object of class FixedRateBond (which inherits from class Bond). It contains a list with the following components:
NPVnet present value of the bond
cleanPriceclean price of the bond
dirtyPricedirty price of the bond
accruedAmountaccrued amount of the bond
yieldyield of the bond
cashFlowscash 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

Run this code

#Simple call with a flat curve
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 = 'Thirty360', period=2, 
                   businessDayConvention = 4, terminationDateConvention=4,
                   dateGeneration=1, endOfMonth=1)
coupon.rate <- c(0.02875)
                       
params <- list(tradeDate=as.Date('2002-2-15'),
               settleDate=as.Date('2002-2-19'),
               dt=.25,
               interpWhat="discount",
               interpHow="loglinear")

discountCurve.flat <- DiscountCurve(params, list(flat=0.05))
FixedRateBond(bond, coupon.rate, discountCurve.flat, dateparams)


#Same bond with a discount curve constructed from market quotes
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)

discountCurve <- DiscountCurve(params, tsQuotes)
FixedRateBond(bond, coupon.rate, discountCurve, dateparams)


#example with default dateparams
FixedRateBond(bond, coupon.rate, discountCurve)

##exampe with defaul bond parameter and dateparams
bond <- list(issueDate=as.Date("2004-11-30"),
             maturityDate=as.Date("2008-11-30"))
dateparams <- list(calendar="us",
                   dayCounter = "ActualActual", 
                   period="Annual")
FixedRateBond(bond, coupon.rate, discountCurve, dateparams)

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