RQuantLib (version 0.3.4)

FixedRateBondPriceByYield: Zero Coupon Bond Yield evaluation

Description

The FixedRateBondPriceByYield function calculates the theoretical price of a fixed rate bond from its yield

Usage

## S3 method for class 'default':
FixedRateBondPriceByYield( settlementDays=1, yield, faceAmount, 
                                 effectiveDate, maturityDate,
                                 period, calendar="us", 
                                 rates, dayCounter=2,
                                 businessDayConvention=0, compound = 0, redemption=100, 
                                 issueDate)
## S3 method for class 'Bond':
plotundefined
## S3 method for class 'Bond':
printundefined
## S3 method for class 'Bond':
summaryundefined

Arguments

settlementDays

an integer, 1 for T+1, 2 for T+2, etc...

yield

yield of the bond

effectiveDate

bond's effective date

maturityDate

bond's maturity date

period

frequency of events,0=NoFrequency, 1=Once, 2=Annual, 3=Semiannual, 4=EveryFourthMonth, 5=Quarterly, 6=Bimonthly ,7=Monthly ,8=EveryFourthWeely,9=Biweekly, 10=Weekly, 11=Daily. For more information, see QuantLib's Frequency class

calendar

Business Calendar. Either us or uk

faceAmount

face amount of the bond

rates

vector of rates

businessDayConvention

convention used to adjust a date in case it is not a valid business day. See quantlib for more detail. 0 = Following, 1 = ModifiedFollowing, 2 = Preceding, 3 = ModifiedPreceding, other = Unadjusted

dayCounter

day count convention. 0 = Actual360(), 1 = Actual365Fixed(), 2 = ActualActual(), 3 = Business252(), 4 = OneDayCounter(), 5 = SimpleDayCounter(), all other = Thirty360(). For more information, see QuantLib's DayCounter class

compound

compounding type. 0=Simple, 1=Compounded, 2=Continuous, all other=SimpleThenCompounded. See QuantLib's Compound class

redemption

redemption when the bond expires

issueDate

date the bond is issued

Value

• The FixedRateBondPriceByYield function returns an object of class FixedRateBondPriceByYield (which inherits from class Bond). It contains a list with the following components:
• yield
  yield of the bond

References

http://quantlib.org for details on QuantLib. http://www.mathworks.com/access/helpdesk/help/toolbox/finfixed/FixedRateBondPriceByYield.html for more details about this function

Examples

FixedRateBondPriceByYield(,0.0307, 100000, as.Date("2004-11-30"), as.Date("2008-11-30"), 3, , c(0.02875), , , , ,as.Date("2004-11-30"))