RQuantLib (version 0.3.6)

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':
print(x, digits=5, ...)
## S3 method for class 'Bond':
plot(x, ...)
## S3 method for class 'Bond':
summary(object, digits=5, ...)

Arguments

x

Any Bond object derived from this base class

object

Any Bond object derived from this base class

digits

Number of digits of precision shown

...

Further arguments

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

## This data is taken from sample code shipped with QuantLib 0.9.7
## from the file Examples/Swap/swapvaluation
params <- list(tradeDate=as.Date('2004-09-20'),
               settleDate=as.Date('2004-09-22'),
               dt=.25,
               interpWhat="discount",
               interpHow="loglinear")

## We got numerical issues for the spline interpolation if we add
## any on of these three extra futures, at least with QuantLib 0.9.7
## The curve data comes from QuantLib's Examples/Swap/swapvaluation.cpp
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,
                 s2y = 0.037125,
                 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)