RQuantLib (version 0.3.6)

FloatingRateBond: Floating rate bond pricing

Description

The FloatingRateBond function evaluates a floating 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':
FloatingRateBond(bond, gearings, spreads,
                                   caps, floors, index, 
                                   curve, dateparams )

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

gearings

(Optional) a numeric vector, bond's gearings. See quantlib's doc on FloatingRateBond for more detail. Default value is an empty vector c().

spreads

(Optional) a numeric vector, bond's spreads. See quantlib's doc on FloatingRateBond for more detail.Default value is an empty vector c()

caps

(Optional) a numeric vector, bond's caps. See quantlib's doc on FloatingRateBond for more detail. Default value is an empty vector c()

floors

(Optional) a numeric vector, bond's floors. See quantlib's doc on FloatingRateBond for more detail. Default value is an empty vector c()

curve

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

index

a named list whose elements are parameters of an IborIndex term structure. ll{ type a string, currently support only "USDLibor" length an integer, length of the index inTermOf a string,

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 FloatingRateBond function returns an object of class FloatingRateBond (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

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

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 = 'ActualActual', period=2, 
                   businessDayConvention = 1, terminationDateConvention=1,
                   dateGeneration=0, endOfMonth=0, fixingDays = 1)

gearings <- c()
spreads <- c()
caps <- c()
floors <- c()

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)


## when both discount and libor curves are flat.

discountCurve.flat <- DiscountCurve(params, list(flat=0.05))
termstructure <- DiscountCurve(params, list(flat=0.03))
iborIndex.params <- list(type="USDLibor", length=6, 
                  inTermOf="Month", term=termstructure)                      
FloatingRateBond(bond, gearings, spreads, caps, floors, 
                 iborIndex.params, discountCurve.flat, dateparams)


## discount curve is constructed from market quotes
## and a flat libor curve
discountCurve <- DiscountCurve(params, tsQuotes)
termstructure <- DiscountCurve(params, list(flat=0.03))
iborIndex.params <- list(type="USDLibor", length=6, 
                  inTermOf="Month", term = termstructure)                      
FloatingRateBond(bond, gearings, spreads, caps, floors, 
                 iborIndex.params, discountCurve, dateparams)

#example using default values
FloatingRateBond(bond=bond, index=iborIndex.params, curve=discountCurve)