R/bond_option_pr.R

In veldanie/SuraFixedIncome: Sura Asset Management Fixed income

bond_option_pr<-function (date_ini, date_mat, sigma, c_p="call", strike, cc_curve, price, coupon, matur, freq, conv, base_vol=365, serie_float_rate = NULL, issue_date = NULL, cpn_days=NA, bullet = 1, in_arrears = 0, round_val = 5, clean_pr=TRUE){
  if (bullet == 0) {
    stop("Esta funcion no soporta titulos amortizables")
  }

  coupon0 = coupon
  model_count = switch(conv, act_360 = days_act_360, act_365 = days_act_365,
                       act_act = days_act_act, `30_360` = days_30_360, `30_360I` = days_30_360I,
                       `30_360E` = days_30_360E, nl_365 = days_nl_365)
  model_diff = switch(conv, act_360 = diff_act_360, act_365 = diff_act_365,
                      act_act = diff_act_act, `30_360` = diff_30_360, `30_360I` = diff_30_360I,
                      `30_360E` = diff_30_360E, nl_365 = diff_nl_365)
  if(is.na(cpn_days)){
    per = 1
    length = 1
    if (freq != 0) {
      per = 12/freq
      length = as.numeric(freq * (matur - date_ini)/365) + 2
    }
    if (freq == 0) {
      freq = 1
    }
    cpn_dates = sort(seq(matur, by = paste0("-", per, " months"), length = length))
  }
  if(!is.na(cpn_days)){
    cpn_dates = sort(seq(from=matur, to=issue_date, by = -cpn_days))
  }
  fut_cpn_dates = cpn_dates[cpn_dates > date_ini]

  times_count=model_count(fut_cpn_dates, date_ini)
  days=times_count$days
  times = times_count$times
  delta = tail(model_diff(cpn_dates)$times, length(fut_cpn_dates))
  full_price=price

  if (clean_pr==TRUE){
    if (!is.null(serie_float_rate)) {
      date_prev = tail(cpn_dates[cpn_dates < date_ini], 1)
      float_rate_1 = serie_float_rate[which(serie_float_rate[,1] == date_ini), 2]
      if (length(float_rate_1) == 0) {
        stop("Actualizar series de ?ndices!!")
      }
      coupon = rep(float_rate_1 + coupon, lfutcpn)
      if (in_arrears == 0) {
        float_rate_0 = serie_float_rate[which(serie_float_rate[,1] == date_prev), 2]
        coupon[1] = float_rate_0 + coupon0
      }
    }
    coupon1 = coupon[1]
    if (is.na(delta) & coupon1 != 0) {
      delta = model_count(fut_cpn_dates, issue_date)$times
    }
    delta = ifelse(is.na(delta), 1, delta)
    cum_coupon = round(coupon1 * (delta[1] - model_count(fut_cpn_dates[1], date_ini)$times), round_val)
    full_price = round(price + cum_coupon, round_val)
  }
  pv_int_coupon=0
  time_fwd=model_count(date_mat, date_ini)
  if(fut_cpn_dates[1]<date_mat){
    df_int=1/(1+approx(x=cc_curve[,1],y=cc_curve[,2],xout=days[1])$y*times[1])
    pv_int_coupon=coupon1*delta[1]*df_int
  }
  cp = (c_p == "call" | c_p == "c" | c_p == "CALL" | c_p == "C" | c_p == "Call") * 2 - 1
  rate_fwd=approx(x=cc_curve[,1],y=cc_curve[,2],xout=time_fwd$days)$y
  fwd_price=(full_price-pv_int_coupon)*(1+rate_fwd*time_fwd$times)
  te=time_fwd$days/base_vol
  d1=(log(fwd_price/strike)+(sigma^2/2)*te)/(sigma*sqrt(te))
  d2=d1-sigma*sqrt(te)
  df_mat=1/(1+rate_fwd*time_fwd$times)
  option_price=df_mat*(cp*fwd_price*pnorm(cp*d1)-cp*strike*pnorm(cp*d2))
  option_delta=pnorm(cp*d1)
  return(list(fwd_price=fwd_price, option_price=option_price, option_delta=option_delta, option_disc_rate=rate_fwd))
}