CallableBond: CallableBond evaluation

View source: R/bond.R

CallableBondR Documentation

CallableBond evaluation


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


## Default S3 method:
CallableBond(bondparams, hullWhite, coupon, dateparams)



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.

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.


a numeric vector of coupon rates


(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.


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


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


net present value of the bond


price price of the bond


dirty price of the bond


accrued amount of the bond


yield of the bond


cash flows of the bond


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


Khanh Nguyen for the inplementation; Dirk Eddelbuettel for the R interface; the QuantLib Group for QuantLib

References for details on QuantLib.


if (interactive()) {  # the example is too computationally expensive for normal checks
    #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",
                       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"),
    CallableBond(bondparams, HullWhite, coupon, dateparams)

RQuantLib documentation built on May 29, 2024, 8:11 a.m.