FixedRateBond | R Documentation |

The `FixedRateBond`

function evaluates a fixed rate bond using discount curve, the yield or the clean price.
More specificly, when a discount curve is provided the calculation is done by DiscountingBondEngine from QuantLib.
The NPV, clean price, dirty price, accrued interest, yield, duration, actual settlement date and cash flows of the bond is returned.
When a yield is provided instead, no engine is provided to the bond class and prices are computed from yield. In the latter case, NPV is set to NA. Same situation when the clean price is given instead of discount curve or yield.
For more detail, see the source codes in QuantLib's file `test-suite/bond.cpp`

.

The `FixedRateBondPriceByYield`

function calculates the theoretical price of a fixed rate bond from its yield.

The `FixedRateBondYield`

function calculates the theoretical yield of a fixed rate bond from its price.

```
## Default S3 method:
FixedRateBond(bond, rates, schedule,
calc=list(dayCounter='ActualActual.ISMA',
compounding='Compounded',
freq='Annual',
durationType='Modified'),
discountCurve = NULL, yield = NA, price = NA)
## Default S3 method:
FixedRateBondPriceByYield( settlementDays=1, yield, faceAmount=100,
effectiveDate, maturityDate,
period, calendar="UnitedStates/GovernmentBond",
rates, dayCounter=2,
businessDayConvention=0, compound = 0, redemption=100,
issueDate)
## Default S3 method:
FixedRateBondYield( settlementDays=1, price, faceAmount=100,
effectiveDate, maturityDate,
period, calendar="UnitedStates/GovernmentBond",
rates, dayCounter=2,
businessDayConvention=0,
compound = 0, redemption=100,
issueDate)
```

`bond` |
(Optional) bond parameters, a named list whose elements are:
| ||||||||||||||||||||||||||||||||||||||||||||||||||||

`rates` |
a numeric vector, bond's coupon rates | ||||||||||||||||||||||||||||||||||||||||||||||||||||

`schedule` |
(Optional) a named list, QuantLib's parameters of the bond's schedule.
See example below. | ||||||||||||||||||||||||||||||||||||||||||||||||||||

`calc` |
(Optional) a named list, QuantLib's parameters for calculations.
| ||||||||||||||||||||||||||||||||||||||||||||||||||||

`discountCurve` |
Can be one of the following:
| ||||||||||||||||||||||||||||||||||||||||||||||||||||

`yield` |
yield of the bond | ||||||||||||||||||||||||||||||||||||||||||||||||||||

`price` |
clean price of the bond | ||||||||||||||||||||||||||||||||||||||||||||||||||||

`settlementDays` |
an integer, 1 for T+1, 2 for T+2, etc... | ||||||||||||||||||||||||||||||||||||||||||||||||||||

`effectiveDate` |
bond's effective date | ||||||||||||||||||||||||||||||||||||||||||||||||||||

`maturityDate` |
bond's maturity date | ||||||||||||||||||||||||||||||||||||||||||||||||||||

`period` |
frequency of events,0=NoFrequency, 1=Once, 2=Annual, 3=Semiannual, 4=EveryFourthMonth, 5=Quarterly, 6=Bimonthly ,7=Monthly ,8=EveryFourthWeek,9=Biweekly, 10=Weekly, 11=Daily. For more information, see QuantLib's Frequency class | ||||||||||||||||||||||||||||||||||||||||||||||||||||

`calendar` |
Business Calendar. Either | ||||||||||||||||||||||||||||||||||||||||||||||||||||

`faceAmount` |
face amount of the bond | ||||||||||||||||||||||||||||||||||||||||||||||||||||

`businessDayConvention` |
convention used to adjust a date in case it is not a valid business day. See quantlib for more detail. 0 = Following, 1 = ModifiedFollowing, 2 = Preceding, 3 = ModifiedPreceding, other = Unadjusted | ||||||||||||||||||||||||||||||||||||||||||||||||||||

`dayCounter` |
day count convention. 0 = Actual360(), 1 = Actual365Fixed(), 2 = ActualActual(), 3 = Business252(), 4 = OneDayCounter(), 5 = SimpleDayCounter(), all other = Thirty360(). For more information, see QuantLib's DayCounter class | ||||||||||||||||||||||||||||||||||||||||||||||||||||

`compound` |
compounding type. 0=Simple, 1=Compounded, 2=Continuous, all other=SimpleThenCompounded. See QuantLib's Compound class | ||||||||||||||||||||||||||||||||||||||||||||||||||||

`redemption` |
redemption when the bond expires | ||||||||||||||||||||||||||||||||||||||||||||||||||||

`issueDate` |
date the bond is issued |

A discount curve is built to calculate the bond value.

Please see any decent Finance textbook for background reading, and the
`QuantLib`

documentation for details on the `QuantLib`

implementation.

The `FixedRateBond`

function returns an object of class
`FixedRateBond`

(which inherits from class
`Bond`

). It contains a list with the following
components:

`NPV` |
net present value of the bond |

`cleanPrice` |
clean price of the bond |

`dirtyPrice` |
dirty price of the bond |

`accruedAmount` |
accrued amount of the bond |

`yield` |
yield of the bond |

`duration` |
the duration of the bond |

`settlementDate` |
the actual settlement date used for the bond |

`cashFlows` |
cash flows of the bond |

The `FixedRateBondPriceByYield`

function returns an object of class
`FixedRateBondPriceByYield`

(which inherits from class
`Bond`

). It contains a list with the following
components:

`price` |
price of the bond |

The `FixedRateBondYield`

function returns an object of class
`FixedRateBondYield`

(which inherits from class
`Bond`

). It contains a list with the following
components:

`yield` |
yield of the bond |

The interface might change in future release as `QuantLib`

stabilises its own API.

Khanh Nguyen knguyen@cs.umb.edu for the inplementation; Dirk Eddelbuettel edd@debian.org for the **R** interface;
the QuantLib Group for `QuantLib`

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

.

```
#Simple call with a flat curve
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')
coupon.rate <- c(0.02875)
params <- list(tradeDate=as.Date('2002-2-15'),
settleDate=as.Date('2002-2-19'),
dt=.25,
interpWhat="discount",
interpHow="loglinear")
setEvaluationDate(as.Date("2004-11-22"))
discountCurve.flat <- DiscountCurve(params, list(flat=0.05))
FixedRateBond(bond,
coupon.rate,
schedule,
calc,
discountCurve=discountCurve.flat)
#Same bond with a discount curve constructed from market quotes
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,
s3y =0.0398,
s5y =0.0443,
s10y =0.05165,
s15y =0.055175)
tsQuotes <- list("flat" = 0.02) ## While discount curve code is buggy
discountCurve <- DiscountCurve(params, tsQuotes)
FixedRateBond(bond,
coupon.rate,
schedule,
calc,
discountCurve=discountCurve)
#Same bond calculated from yield rather than from the discount curve
yield <- 0.02
FixedRateBond(bond,
coupon.rate,
schedule,
calc,
yield=yield)
#same example with clean price
price <- 103.31
FixedRateBond(bond,
coupon.rate,
schedule,
calc,
price = price)
#example with default calc parameter
FixedRateBond(bond,
coupon.rate,
schedule,
discountCurve=discountCurve)
#example with default calc and schedule parameters
schedule <- list(effectiveDate=as.Date("2004-11-30"),
maturityDate=as.Date("2008-11-30"))
FixedRateBond(bond,
coupon.rate,
schedule,
discountCurve=discountCurve)
#example with default calc, schedule and bond parameters
FixedRateBond(,
coupon.rate,
schedule,
discountCurve=discountCurve)
FixedRateBondPriceByYield(,0.0307, 100000, as.Date("2004-11-30"),
as.Date("2008-11-30"), 3, , c(0.02875),
, , , ,as.Date("2004-11-30"))
FixedRateBondYield(,90, 100000, as.Date("2004-11-30"), as.Date("2008-11-30"),
3, , c(0.02875), , , , ,as.Date("2004-11-30"))
```

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