Bond: Base class for Bond price evalution

In RQuantLib: R interface to the QuantLib library

Description

This class forms the basis from which the more specific classes are derived.

Usage

## S3 method for class 'Bond'
print(x, digits=5, ...)
## S3 method for class 'Bond'
plot(x, ...)
## S3 method for class 'Bond'
summary(object, digits=5, ...)

Arguments

x	Any Bond object derived from this base class
object	Any Bond object derived from this base class
digits	Number of digits of precision shown
...	Further arguments

Details

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

Value

None, but side effects of displaying content.

Note

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

Author(s)

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

References

http://quantlib.org for details on QuantLib.

Examples

## This data is taken from sample code shipped with QuantLib 0.9.7
## from the file Examples/Swap/swapvaluation
params <- list(tradeDate=as.Date('2004-09-20'),
               settleDate=as.Date('2004-09-22'),
               dt=.25,
               interpWhat="discount",
               interpHow="loglinear")
setEvaluationDate(as.Date("2004-11-22"))

## We got numerical issues for the spline interpolation if we add
## any on of these three extra futures, at least with QuantLib 0.9.7
## The curve data comes from QuantLib's Examples/Swap/swapvaluation.cpp
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,
                 s2y = 0.037125,
                 s3y = 0.0398,
                 s5y = 0.0443,
                 s10y = 0.05165,
                 s15y = 0.055175)
tsQuotes <- list("flat" = 0.02)		## While discount curve code is buggy
times <- seq(0,10,.1)

discountCurve <- DiscountCurve(params, tsQuotes, times)

# price a zero coupon bond
bondparams <- list(faceAmount=100, issueDate=as.Date("2004-11-30"),
             maturityDate=as.Date("2008-11-30"), redemption=100 )
dateparams <-list(settlementDays=1, calendar="us", businessDayConvention=4)
ZeroCouponBond(bondparams, discountCurve, dateparams)

# price a fixed rate coupon bond

bondparams <- list(faceAmount=100, issueDate=as.Date("2004-11-30"),
             maturityDate=as.Date("2008-11-30"), redemption=100, 
             effectiveDate=as.Date("2004-11-30"))
dateparams <- list(settlementDays=1, calendar="us", dayCounter = 1, period=3, 
                   businessDayConvention = 4, terminationDateConvention=4,
                   dateGeneration=1, endOfMonth=1)
rates <- c(0.02875)
FixedRateBond(bondparams, rates, discountCurve, dateparams)

# price a floating rate bond
bondparams <- list(faceAmount=100, issueDate=as.Date("2004-11-30"),
             maturityDate=as.Date("2008-11-30"), redemption=100, 
             effectiveDate=as.Date("2004-12-01"))

dateparams <- list(settlementDays=1, calendar="us", dayCounter = 1, period=3, 
                   businessDayConvention = 1, terminationDateConvention=1,
                   dateGeneration=0, endOfMonth=0, fixingDays = 1)

gearings <- c()
spreads <- c()
caps <- c()
floors <- c()

iborCurve <- DiscountCurve(params,list(flat=0.05), times)
ibor <- list(type="USDLibor", length=6, inTermOf="Month", 
             term=iborCurve)
FloatingRateBond(bondparams, gearings, spreads, caps, floors, 
                 ibor, discountCurve, dateparams)

RQuantLib documentation built on May 2, 2019, 4:48 p.m.