RQuantLib (version 0.4.9)

FittedBondCurve: Returns the discount curve (with zero rates and forwards) given set of bonds

Description

FittedBondCurve fits a term structure to a set of bonds using three different fitting methodologies. For more detail, see QuantLib/Example/FittedBondCurve.

Usage

FittedBondCurve(curveparams, lengths, coupons, marketQuotes, dateparams)

Arguments

curveparams

curve parameters

method	a string, fitting methods: "ExponentialSplinesFitting",
	"SimplePolynomialFitting", "NelsonSiegelFitting"
origDate	a Date, starting date of the curve

lengths

an numeric vector, length of the bonds in year

coupons

a numeric vector, coupon rate of the bonds

marketQuotes

a numeric vector, market price of the bonds

dateparams

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

settlementDays	(Optional) a double, settlement days.
	Default value is 1.
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'.

See example below.

Value

table, a three columns "date - zeroRate - discount" data frame

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

# NOT RUN {
lengths <- c(2,4,6,8,10,12,14,16,18,20,22,24,26,28,30)
coupons <- c( 0.0200, 0.0225, 0.0250, 0.0275, 0.0300,
              0.0325, 0.0350, 0.0375, 0.0400, 0.0425,
              0.0450, 0.0475, 0.0500, 0.0525, 0.0550 )
marketQuotes <- rep(100, length(lengths))
dateparams <- list(settlementDays=0, period="Annual", 
                   dayCounter="ActualActual", 
                  businessDayConvention ="Unadjusted")
curveparams <- list(method="ExponentialSplinesFitting", 
                    origDate = Sys.Date())
curve <- FittedBondCurve(curveparams, lengths, coupons, marketQuotes, dateparams)
z <- zoo::zoo(curve$table$zeroRates, order.by=curve$table$date)
plot(z)
# }