FixedRateBond: Fixed-Rate bond pricing
In RQuantLib: R Interface to the 'QuantLib' Library
FixedRateBond R Documentation
Fixed-Rate bond pricing
Description
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.
Usage
## 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)
Arguments
bond
(Optional) bond parameters, a named list whose elements are:
settlementDays (Optional) a double, settlement days.
Default value is 1.
faceAmount (Optional) a double, face amount of the bond.
Default value is 100.
dayCounter (Optional) a number or string,
day counter convention. Defaults to 'Thirty360'
issueDate (Optional) a Date, the bond's issue date
Defaults to QuantLib default.
paymentConvention (Optional) a number or string, the bond
payment convention.
Defaults to QuantLib default.
redemption (Optional) a double, the redemption amount.
Defaults to QuantLib default (100).
paymentCalendar (Optional) a string, the name of the calendar.
Defaults to QuantLib default.
exCouponPeriod (Optional) a number, the number of days when
the coupon goes ex relative to the coupon date.
Defaults to QuantLib default.
exCouponCalendar (Optional) a string, the name of the
ex-coupon calendar.
Defaults to QuantLib default.
exCouponConvention (Optional) a number or string, the coupon
payment convention.
Defaults to QuantLib default.
exCouponEndOfMonth (Optional) 1 or 0, use End of Month rule for
ex-coupon dates. Defaults to 0 (false).
rates
a numeric vector, bond's coupon rates
schedule
(Optional) a named list, QuantLib's parameters of the bond's schedule.
effectiveDate a Date, when the schedule becomes effective.
maturityDate a Date, when the schedule matures.
period (Optional) a number or string, the frequency of
the schedule. Default value is 'Semiannual'.
calendar (Optional) a string, the calendar name.
Defaults to 'TARGET'
businessDayConvention (Optional) a number or string, the
day convention to use.
Defaults to 'Following'.
terminationDateConvention (Optional) a number or string, the
day convention to use for the terminal date.
Defaults to 'Following'.
dateGeneration (Optional) a number or string, the
date generation rule.
Defaults to 'Backward'.
endOfMonth (Optional) 1 or 0, use End of Month rule for
schedule dates. Defaults to 0 (false).
See example below.
calc
(Optional) a named list, QuantLib's parameters for calculations.
dayCounter (Optional) a number or string, day counter
convention. Defaults to 'ActualActual.ISMA'
compounding a string, what kind of compounding to use.
Defaults to 'Compounded'
freq (Optional) a number or string, the frequency
to use. Default value is 'Annual'.
durationType (Optional) a number or string, the type of
duration to calculate. Defaults to 'Simple'
accuracy (Optional) a number, the accuracy required.
Defaults to 1.0e-8.
maxEvaluations (Optional) a number, max number of iterations.
Defaults to 100.
discountCurve
Can be one of the following:
a DiscountCurve a object of DiscountCurve class
For more detail, see example or
the discountCurve function
A 2 items list specifies a flat curve in two
values "todayDate" and "rate"
A 3 items list specifies three values to construct a
DiscountCurve object, "params" ,
"tsQuotes", "times".
For more detail, see example or
the discountCurve function
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 us or uk
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
Details
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.
Value
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
Note
The interface might change in future release as QuantLib
stabilises its own API.
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
#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"))
RQuantLib documentation built on Nov. 27, 2023, 1:07 a.m.
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| FixedRateBond | R Documentation |
Fixed-Rate bond pricing
Description
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.
Usage
## 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)
Arguments
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 |
Details
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.
Value
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 |
Note
The interface might change in future release as QuantLib
stabilises its own API.
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
#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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