CallableBond: CallableBond evaluation

In RQuantLib: R Interface to the 'QuantLib' Library

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

## Default S3 method:
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.

Details

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

Value

The CallableBond function returns an object of class CallableBond (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

Note

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

Author(s)

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

References

https://www.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)
setEvaluationDate(as.Date("2004-11-22"))

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)

RQuantLib documentation built on May 2, 2023, 1:15 a.m.