Bond {RQuantLib}

Base class for Bond price evalution

Description

This class forms the basis from which the more specific classes are derived.

Usage

## S3 method for class 'Bond'
print(x, digits=5, ...)
## S3 method for class 'FixedRateBond'
print(x, digits=5, ...)
## S3 method for class 'Bond'
plot(x, ...)
## S3 method for class 'Bond'
summary(object, digits=5, ...)

Arguments

x

Any Bond object derived from this base class

object

Any Bond object derived from this base class

digits

Number of digits of precision shown

...

Further arguments

Details

Please see any decent Finance textbook for background reading, and the QuantLib documentation for details on the QuantLib implementation.

Value

None, but side effects of displaying content.

Note

The interface might change in future release as QuantLib stabilises its own API.

Author(s)

Khanh Nguyen [e-mail]; Dirk Eddelbuettel [e-mail] for the R interface; the QuantLib Group for QuantLib

References

https://www.quantlib.org/ for details on QuantLib.

Examples

## Not run: 

## This data is taken from sample code shipped with QuantLib 0.9.7
## from the file Examples/Swap/swapvaluation
params <- list(tradeDate=as.Date('2004-09-20'),
               settleDate=as.Date('2004-09-22'),
               dt=.25,
               interpWhat="discount",
               interpHow="loglinear")
setEvaluationDate(as.Date("2004-09-20"))

## We got numerical issues for the spline interpolation if we add
## any on of these three extra futures, at least with QuantLib 0.9.7
## The curve data comes from QuantLib's Examples/Swap/swapvaluation.cpp
## Removing s2y helps, as kindly pointed out by Luigi Ballabio
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,
                 # s2y = 0.037125,  ## s2y perturbs
                 s3y = 0.0398,
                 s5y = 0.0443,
                 s10y = 0.05165,
                 s15y = 0.055175)
times <- seq(0,10,.1)

setEvaluationDate(params$tradeDate)
discountCurve <- DiscountCurve(params, tsQuotes, times)

# price a zero coupon bond
bondparams <- list(faceAmount=100, issueDate=as.Date("2004-11-30"),
                   maturityDate=as.Date("2008-11-30"), redemption=100 )
dateparams <-list(settlementDays=1,
                  calendar="UnitedStates/GovernmentBond",
                  businessDayConvention=4)
ZeroCouponBond(bondparams, discountCurve, dateparams)

# price a fixed rate coupon bond

bond <- list(settlementDays=1, issueDate=as.Date("2004-11-30"),
             faceAmount=100, dayCounter='Thirty360',
             paymentConvention='Unadjusted')
schedule <- list(effectiveDate=as.Date("2004-11-30"),
                 maturityDate=as.Date("2008-11-30"),
                 period='Semiannual',
                 calendar='UnitedStates/GovernmentBond',
                 businessDayConvention='Unadjusted',
                 terminationDateConvention='Unadjusted',
                 dateGeneration='Forward',
                 endOfMonth=1)
calc=list(dayCounter='Actual360', compounding='Compounded',
          freq='Annual', durationType='Modified')
rates <- c(0.02875)
FixedRateBond(bond, rates, schedule, calc, discountCurve=discountCurve)

# price a fixed rate coupon bond from yield

yield <- 0.050517
FixedRateBond(bond, rates, schedule, calc, yield=yield)

# calculate the same bond from the clean price

price <- 92.167
FixedRateBond(bond, rates, schedule, calc, price=price)

# price a floating rate bond
bondparams <- list(faceAmount=100, issueDate=as.Date("2004-11-30"),
                   maturityDate=as.Date("2008-11-30"), redemption=100,
                   effectiveDate=as.Date("2004-12-01"))

dateparams <- list(settlementDays=1, calendar="UnitedStates/GovernmentBond",
                   dayCounter = 1, period=3, businessDayConvention = 1,
                   terminationDateConvention=1, dateGeneration=0, endOfMonth=0,
                   fixingDays = 1)

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

iborCurve <- DiscountCurve(params,list(flat=0.05), times)
ibor <- list(type="USDLibor", length=6, inTermOf="Month",
             term=iborCurve)
FloatingRateBond(bondparams, gearings, spreads, caps, floors,
                 ibor, discountCurve, dateparams)

## End(Not run)