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\name{Bond}
\alias{Bond}
\alias{plot.Bond}
\alias{print.Bond}
\alias{print.FixedRateBond}
\alias{summary.Bond}
\title{Base class for Bond price evalution}
\description{
This class forms the basis from which the more specific classes are
derived. }
\usage{
\method{print}{Bond}(x, digits=5, ...)
\method{print}{FixedRateBond}(x, digits=5, ...)
\method{plot}{Bond}(x, ...)
\method{summary}{Bond}(object, digits=5, ...)
}
\arguments{
\item{x}{Any Bond object derived from this base class}
\item{object}{Any Bond object derived from this base class}
\item{digits}{Number of digits of precision shown}
\item{...}{Further arguments}
}
\value{
None, but side effects of displaying content.
}
\details{
Please see any decent Finance textbook for background reading, and the
\code{QuantLib} documentation for details on the \code{QuantLib}
implementation.
}
\references{\url{https://www.quantlib.org/} for details on \code{QuantLib}.}
\author{Khanh Nguyen \email{knguyen@cs.umb.edu}; Dirk Eddelbuettel \email{edd@debian.org} for the \R interface;
the QuantLib Group for \code{QuantLib}}
\note{The interface might change in future release as \code{QuantLib}
stabilises its own API.}
\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("2004-09-20"))
## 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
## Removing s2y helps, as kindly pointed out by Luigi Ballabio
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, ## s2y perturbs
s3y = 0.0398,
s5y = 0.0443,
s10y = 0.05165,
s15y = 0.055175)
times <- seq(0,10,.1)
setEvaluationDate(params$tradeDate)
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="UnitedStates/GovernmentBond",
businessDayConvention=4)
ZeroCouponBond(bondparams, discountCurve, dateparams)
# price a fixed rate coupon bond
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')
rates <- c(0.02875)
FixedRateBond(bond, rates, schedule, calc, discountCurve=discountCurve)
# price a fixed rate coupon bond from yield
yield <- 0.050517
FixedRateBond(bond, rates, schedule, calc, yield=yield)
# calculate the same bond from the clean price
price <- 92.167
FixedRateBond(bond, rates, schedule, calc, price=price)
# 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="UnitedStates/GovernmentBond",
dayCounter = 1, period=3, businessDayConvention = 1,
terminationDateConvention=1, dateGeneration=0, endOfMonth=0,
fixingDays = 1)
gearings <- spreads <- caps <- floors <- vector()
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)
}
\keyword{misc}
|
