RQuantLib (version 0.4.3)

CallableBond: CallableBond evaluation

Description

The CallableBond function sets up and evaluates a callable fixed rate bond using Hull-White model and a TreeCallableFixedBondEngine pricing engine. For more detail, see the source codes in quantlib's example folder, Examples/CallableBond/CallableBond.cpp

Usage

"CallableBond"(bondparams, hullWhite, coupon, dateparams)

Arguments

bondparams

a named list whose elements are:

issueDate

a Date, the bond's issue date

maturityDate

a Date, the bond's maturity date

faceAmount

(Optional) a double, face amount of the bond.

Default value is 100.

redemption

(Optional) a double, percentage of the initial face

amount that will be returned at maturity date.

Default value is 100.

callSch

(Optional) a data frame whose columns are "Price",

"Type" and "Date" corresponding to QuantLib's

CallabilitySchedule. Defaule is an empty frame, or no callability.

hullWhite

a named list whose elements are parameters needed to set up a HullWhite pricing engine in QuantLib:

term

a double, to set up a flat rate yield term structure

alpha

a double, Hull-White model's alpha value

sigma

a double, Hull-White model's sigma value

gridIntervals.

a double, time intervals parameter to

set up the TreeCallableFixedBondEngine

Currently, the codes only support a flat rate yield term structure. For more detail, see QuantLib's doc on HullWhite and TreeCallableFixedBondEngine.

coupon

a numeric vector of coupon rates

dateparams

(Optional) a named list, QuantLib's date parameters of the bond.

settlementDays

(Optional) a double, settlement days.

Default value is 1.

calendar

(Optional) a string, either 'us' or 'uk'

corresponding to US Goverment Bond

calendar and UK Exchange calendar.

Default value is 'us'.

dayCounter

(Optional) a number or string,

day counter convention.

See Enum. Default value is 'Thirty360'

period

(Optional) a number or string,

interest compounding interval. See Enum.

Default value is 'Semiannual'.

businessDayConvention

(Optional) a number or string,

business day convention.

See Enum. Default value is 'Following'.

terminationDateConvention

(Optional) a number or string

termination day convention.

See Enum. Default value is'Following'.

See example below.

Value

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

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

#set-up a HullWhite according to example from QuantLib
HullWhite <- list(term = 0.055, alpha = 0.03, sigma = 0.01,
                  gridIntervals = 40)

#callability schedule dataframe
Price <- rep(as.double(100),24)
Type <- rep(as.character("C"), 24)
Date <- seq(as.Date("2006-09-15"), by = '3 months', length = 24)
callSch <- data.frame(Price, Type, Date)
callSch$Type <- as.character(callSch$Type)

bondparams <- list(faceAmount=100, issueDate = as.Date("2004-09-16"),
                   maturityDate=as.Date("2012-09-16"), redemption=100,
                   callSch = callSch)
dateparams <- list(settlementDays=3, calendar="UnitedStates/GovernmentBond", 
                   dayCounter = "ActualActual", 
                   period="Quarterly", 
                   businessDayConvention = "Unadjusted", 
                   terminationDateConvention= "Unadjusted")
coupon <- c(0.0465)

CallableBond(bondparams, HullWhite, coupon, dateparams)
#examples using default values
CallableBond(bondparams, HullWhite, coupon)
dateparams <- list(                   
                   period="Quarterly", 
                   businessDayConvention = "Unadjusted", 
                   terminationDateConvention= "Unadjusted")
CallableBond(bondparams, HullWhite, coupon, dateparams)


bondparams <- list(issueDate = as.Date("2004-09-16"),
                   maturityDate=as.Date("2012-09-16")
                   )
CallableBond(bondparams, HullWhite, coupon, dateparams)