ConvertibleBond {RQuantLib} | R Documentation |
Convertible Bond evaluation for Fixed, Floating and Zero Coupon
Description
The ConvertibleFixedCouponBond
function setups and evaluates a
ConvertibleFixedCouponBond using QuantLib's BinomialConvertibleEngine
and BlackScholesMertonProcess
The NPV, clean price, dirty price, accrued interest, yield and cash flows of
the bond is returned. For detail, see test-suite/convertiblebond.cpp
The ConvertibleFloatingCouponBond
function setups and evaluates a
ConvertibleFixedCouponBond using QuantLib's BinomialConvertibleEngine
and BlackScholesMertonProcess
The NPV, clean price, dirty price, accrued interest, yield and cash flows of
the bond is returned. For detail, see test-suite/convertiblebond.cpp
The ConvertibleZeroCouponBond
function setups and evaluates a
ConvertibleFixedCouponBond using QuantLib's BinomialConvertibleEngine
and BlackScholesMertonProcess
The NPV, clean price, dirty price, accrued interest, yield and cash flows of
the bond is returned. For detail, see test-suite/convertiblebond.cpp
.
Usage
## Default S3 method:
ConvertibleFloatingCouponBond(bondparams, iborindex, spread, process, dateparams)
## Default S3 method:
ConvertibleFixedCouponBond(bondparams, coupon, process, dateparams)
## Default S3 method:
ConvertibleZeroCouponBond(bondparams, process, dateparams)
Arguments
bondparams |
bond parameters, a named list whose elements are:
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iborindex |
a DiscountCurve object, represents an IborIndex | |||||||||||||||||||||||||||||||||||||||||||||
spread |
a double vector, represents paramter 'spreads' in ConvertibleFloatingBond's constructor. | |||||||||||||||||||||||||||||||||||||||||||||
coupon |
a double vector of coupon rate | |||||||||||||||||||||||||||||||||||||||||||||
process |
arguments to construct a BlackScholes process and set up the binomial pricing engine for this bond.
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dateparams |
(Optional) a named list, QuantLib's date parameters of the bond.
See the examples below. |
Details
Please see any decent Finance textbook for background reading, and the
QuantLib
documentation for details on the QuantLib
implementation.
Value
The ConvertibleFloatingCouponBond
function returns an object of class
ConvertibleFloatingCouponBond
(which inherits from class
Bond
). It contains a list with the following
components:
NPV |
net present value of the bond |
cleanPrice |
price 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 ConvertibleFixedCouponBond
function returns an object of class
ConvertibleFixedCouponBond
(which inherits from class
Bond
). It contains a list with the following
components:
NPV |
net present value of the bond |
cleanPrice |
price 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 ConvertibleZeroCouponBond
function returns an object of class
ConvertibleZeroCouponBond
(which inherits from class
Bond
). It contains a list with the following
components:
NPV |
net present value of the bond |
cleanPrice |
price 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 |
Author(s)
Khanh Nguyen knguyen@cs.umb.edu for the inplementation; Dirk Eddelbuettel edd@debian.org for the R interface;
the QuantLib Group for QuantLib
References
https://www.quantlib.org/ for details on QuantLib
.
Examples
# commented-out as it runs longer than CRAN likes
## Not run:
#this follow an example in test-suite/convertiblebond.cpp
params <- list(tradeDate=Sys.Date()-2,
settleDate=Sys.Date(),
dt=.25,
interpWhat="discount",
interpHow="loglinear")
dividendYield <- DiscountCurve(params, list(flat=0.02))
riskFreeRate <- DiscountCurve(params, list(flat=0.05))
dividendSchedule <- data.frame(Type=character(0), Amount=numeric(0),
Rate = numeric(0), Date = as.Date(character(0)))
callabilitySchedule <- data.frame(Price = numeric(0), Type=character(0),
Date = as.Date(character(0)))
process <- list(underlying=50, divYield = dividendYield,
rff = riskFreeRate, volatility=0.15)
today <- Sys.Date()
bondparams <- list(exercise="am", faceAmount=100,
divSch = dividendSchedule,
callSch = callabilitySchedule,
redemption=100,
creditSpread=0.005,
conversionRatio = 0.0000000001,
issueDate=as.Date(today+2),
maturityDate=as.Date(today+3650))
dateparams <- list(settlementDays=3,
dayCounter="ActualActual",
period = "Semiannual", calendar = "UnitedStates/GovernmentBond",
businessDayConvention="Following")
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))
curvedateparams <- list(settlementDays=0, period="Annual",
dayCounter="ActualActual",
businessDayConvention ="Unadjusted")
curveparams <- list(method="ExponentialSplinesFitting",
origDate = Sys.Date())
curve <- FittedBondCurve(curveparams, lengths, coupons, marketQuotes, curvedateparams)
iborindex <- list(type="USDLibor", length=6,
inTermOf="Month", term=curve)
spreads <- c()
#ConvertibleFloatingCouponBond(bondparams, iborindex, spreads, process, dateparams)
#example using default values
#ConvertibleFloatingCouponBond(bondparams, iborindex,spreads, process)
dateparams <- list(settlementDays=3,
period = "Semiannual",
businessDayConvention="Unadjusted")
bondparams <- list(
creditSpread=0.005, conversionRatio = 0.0000000001,
issueDate=as.Date(today+2),
maturityDate=as.Date(today+3650))
#ConvertibleFloatingCouponBond(bondparams, iborindex,
#spreads, process, dateparams)
#this follow an example in test-suite/convertiblebond.cpp
#for ConvertibleFixedCouponBond
#set up arguments to build a pricing engine.
params <- list(tradeDate=Sys.Date()-2,
settleDate=Sys.Date(),
dt=.25,
interpWhat="discount",
interpHow="loglinear")
times <- seq(0,10,.1)
dividendYield <- DiscountCurve(params, list(flat=0.02), times)
riskFreeRate <- DiscountCurve(params, list(flat=0.05), times)
dividendSchedule <- data.frame(Type=character(0), Amount=numeric(0),
Rate = numeric(0), Date = as.Date(character(0)))
callabilitySchedule <- data.frame(Price = numeric(0), Type=character(0),
Date = as.Date(character(0)))
process <- list(underlying=50, divYield = dividendYield,
rff = riskFreeRate, volatility=0.15)
today <- Sys.Date()
bondparams <- list(exercise="am", faceAmount=100, divSch = dividendSchedule,
callSch = callabilitySchedule, redemption=100,
creditSpread=0.005, conversionRatio = 0.0000000001,
issueDate=as.Date(today+2),
maturityDate=as.Date(today+3650))
dateparams <- list(settlementDays=3,
dayCounter="Actual360",
period = "Once", calendar = "UnitedStates/GovernmentBond",
businessDayConvention="Following"
)
coupon <- c(0.05)
ConvertibleFixedCouponBond(bondparams, coupon, process, dateparams)
#example with default value
ConvertibleFixedCouponBond(bondparams, coupon, process)
dateparams <- list(settlementDays=3,
dayCounter="Actual360")
ConvertibleFixedCouponBond(bondparams, coupon, process, dateparams)
bondparams <- list(creditSpread=0.005, conversionRatio = 0.0000000001,
issueDate=as.Date(today+2),
maturityDate=as.Date(today+3650))
ConvertibleFixedCouponBond(bondparams, coupon, process, dateparams)
#this follow an example in test-suite/convertiblebond.cpp
params <- list(tradeDate=Sys.Date()-2,
settleDate=Sys.Date(),
dt=.25,
interpWhat="discount",
interpHow="loglinear")
times <- seq(0,10,.1)
dividendYield <- DiscountCurve(params, list(flat=0.02), times)
riskFreeRate <- DiscountCurve(params, list(flat=0.05), times)
dividendSchedule <- data.frame(Type=character(0), Amount=numeric(0),
Rate = numeric(0), Date = as.Date(character(0)))
callabilitySchedule <- data.frame(Price = numeric(0), Type=character(0),
Date = as.Date(character(0)))
process <- list(underlying=50, divYield = dividendYield,
rff = riskFreeRate, volatility=0.15)
today <- Sys.Date()
bondparams <- list(exercise="am", faceAmount=100, divSch = dividendSchedule,
callSch = callabilitySchedule, redemption=100,
creditSpread=0.005, conversionRatio = 0.0000000001,
issueDate=as.Date(today+2),
maturityDate=as.Date(today+3650))
dateparams <- list(settlementDays=3,
dayCounter="Actual360",
period = "Once", calendar = "UnitedStates/GovernmentBond",
businessDayConvention="Following"
)
ConvertibleZeroCouponBond(bondparams, process, dateparams)
#example with default values
ConvertibleZeroCouponBond(bondparams, process)
bondparams <- list(creditSpread=0.005,
conversionRatio=0.0000000001,
issueDate=as.Date(today+2),
maturityDate=as.Date(today+3650))
dateparams <- list(settlementDays=3, dayCounter='Actual360')
ConvertibleZeroCouponBond(bondparams, process, dateparams)
ConvertibleZeroCouponBond(bondparams, process)
## End(Not run)