RQuantLib (version 0.3.6)

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 file test-suite/bond.cpp.

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

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

Usage

## S3 method for class 'default':
FixedRateBond(bond, rates, discountCurve, dateparams )
## 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 'default':
FixedRateBondYield( settlementDays=1, price, faceAmount, 
                                 effectiveDate, maturityDate,
                                 period, calendar="us", 
                                 rates, dayCounter=2,
                                 businessDayConvention=0, 
                                 compound = 0, redemption=100, 
                                 issueDate)

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

settlementDays

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

yield

yield of the bond

price

price 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

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 FixedRateBond function returns an object of class FixedRateBond (which inherits from class Bond). It contains a list with the following components:
• NPV
  net present value of the bond
• cleanPrice
  clean 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
• The FixedRateBondPriceByYield function returns an object of class FixedRateBondPriceByYield (which inherits from class Bond). It contains a list with the following components:
• price
  price of the bond
• The FixedRateBondYield function returns an object of class FixedRateBondYield (which inherits from class Bond). It contains a list with the following components:
• yield
  yield 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 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)


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

FixedRateBondYield(,90, 100000, as.Date("2004-11-30"), as.Date("2008-11-30"), 3, , c(0.02875), , , , ,as.Date("2004-11-30"))