RQuantLib (version 0.3.6)

ZeroCouponBond: Zero-Coupon bond pricing

Description

The ZeroCouponBond function evaluates a zero-coupon plainly 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 code in the QuantLib file test-suite/bond.cpp.

The ZeroPriceYield function evaluates a zero-coupon clean price based on its yield.

The ZeroYield function evaluations a zero-coupon yield based. See also http://www.mathworks.com/access/helpdesk/help/toolbox/finfixed/zeroyield.html

Usage

## S3 method for class 'default':
ZeroCouponBond(bond, discountCurve, dateparams)
## S3 method for class 'default':
ZeroPriceByYield(yield, faceAmount, 
                            issueDate, maturityDate, 
                            dayCounter=2, frequency=2, 
                            compound=0, businessDayConvention=4)
## S3 method for class 'default':
ZeroYield(price, faceAmount, 
                            issueDate, maturityDate, 
                            dayCounter=2, frequency=2, 
                            compound=0, businessDayConvention=4)

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

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

yield

yield of the bond

price

price of the bond

faceAmount

face amount of the bond

issueDate

date the bond is issued

maturityDate

maturity date, an R's date type

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

frequency

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

compound

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

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

Value

• The ZeroCouponBond function returns an object of class ZeroCouponBond (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 ZeroPriceByYield function returns an object of class ZeroPriceByYield (which inherits from class Bond). It contains a list with the following components:
• price
  price of the bond
• The ZeroYield function returns an object of class ZeroYield (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 all parameter and a flat curve
bond <- list(faceAmount=100,issueDate=as.Date("2004-11-30"),
             maturityDate=as.Date("2008-11-30"), redemption=100 )

dateparams <-list(settlementDays=1, calendar="us", businessDayConvention='Unadjusted')


discountCurve.param <- list(tradeDate=as.Date('2002-2-15'),
                           settleDate=as.Date('2002-2-15'),
                           dt=0.25,
                           interpWhat='discount', interpHow='loglinear')
discountCurve.flat <- DiscountCurve(discountCurve.param, list(flat=0.05))

ZeroCouponBond(bond, discountCurve.flat, dateparams)


# The 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(discountCurve.param, tsQuotes)
ZeroCouponBond(bond, discountCurve, dateparams)


#examples with default arguments
ZeroCouponBond(bond, discountCurve)

bond <- list(issueDate=as.Date("2004-11-30"),
             maturityDate=as.Date("2008-11-30"))
dateparams <-list(settlementDays=1)
ZeroCouponBond(bond, discountCurve, dateparams)


ZeroPriceByYield(0.1478, 100, as.Date("1993-6-24"), as.Date("1993-11-1"))

ZeroYield(90, 100, as.Date("1993-6-24"), as.Date("1993-11-1"))