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\name{CallableBond}
\alias{CallableBond}
\alias{CallableBond.default}
\title{CallableBond evaluation}
\description{
The \code{CallableBond} function sets up and evaluates a callable fixed rate bond using Hull-White model
and a TreeCallableFixedBondEngine pricing engine. For more detail, see the source codes in quantlib's example folder, Examples/CallableBond/CallableBond.cpp
}
\usage{
\method{CallableBond}{default}(bondparams, hullWhite, coupon, dateparams)
}
\arguments{
\item{bondparams}{a named list whose elements are:
\tabular{ll}{
\code{issueDate} \tab a Date, the bond's issue date \cr
\code{maturityDate} \tab a Date, the bond's maturity date \cr
\code{faceAmount} \tab (Optional) a double, face amount of the bond. \cr
\code{} \tab Default value is 100.\cr
\code{redemption} \tab (Optional) a double, percentage of the initial face \cr
\code{} \tab amount that will be returned at maturity date. \cr
\code{} \tab Default value is 100. \cr
\code{callSch} \tab (Optional) a data frame whose columns are "Price",\cr
\code{} \tab "Type" and "Date" corresponding to QuantLib's \cr
\code{} \tab CallabilitySchedule. Defaule is an empty frame, or no callability.\cr
}
}
\item{hullWhite}{a named list whose elements are parameters needed to set up a HullWhite pricing engine in QuantLib:
\tabular{ll}{
\code{term} \tab a double, to set up a flat rate yield term structure \cr
\code{alpha} \tab a double, Hull-White model's alpha value \cr
\code{sigma} \tab a double, Hull-White model's sigma value \cr
\code{gridIntervals}. \tab a double, time intervals parameter to \cr
\code{} \tab set up the TreeCallableFixedBondEngine \cr
}
Currently, the codes only support a flat rate yield term structure. For more detail, see QuantLib's doc on HullWhite
and TreeCallableFixedBondEngine.
}
\item{coupon}{a numeric vector of coupon rates}
\item{dateparams}{(Optional) a named list, QuantLib's date parameters of the bond.
\tabular{ll}{
\code{settlementDays} \tab (Optional) a double, settlement days. \cr
\code{} \tab Default value is 1.\cr
\code{calendar} \tab (Optional) a string, either 'us' or 'uk' \cr
\code{} \tab corresponding to US Goverment Bond \cr
\code{} \tab calendar and UK Exchange calendar.\cr
\code{} \tab Default value is 'us'.\cr
\code{dayCounter} \tab (Optional) a number or string, \cr
\code{} \tab day counter convention.\cr
\code{} \tab See \link{Enum}. Default value is 'Thirty360' \cr
\code{period} \tab (Optional) a number or string, \cr
\code{} \tab interest compounding interval. See \link{Enum}. \cr
\code{} \tab Default value is 'Semiannual'.\cr
\code{businessDayConvention} \tab (Optional) a number or string, \cr
\code{} \tab business day convention. \cr
\code{} \tab See \link{Enum}. Default value is 'Following'. \cr
\code{terminationDateConvention} \tab (Optional) a number or string \cr
\code{} \tab termination day convention.\cr
\code{} \tab See \link{Enum}. Default value is'Following'.\cr
}
See example below.
}
}
\value{
The \code{CallableBond} function returns an object of class
\code{CallableBond} (which inherits from class
\code{Bond}). It contains a list with the following
components:
\item{NPV}{net present value of the bond}
\item{cleanPrice}{price price of the bond}
\item{dirtyPrice}{dirty price of the bond}
\item{accruedAmount}{accrued amount of the bond}
\item{yield}{yield of the bond}
\item{cashFlows}{cash flows of the bond}
}
\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} for the inplementation; 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{
if (interactive()) { # the example is too computationally expensive for normal checks
#set-up a HullWhite according to example from QuantLib
HullWhite <- list(term = 0.055, alpha = 0.03, sigma = 0.01, gridIntervals = 40)
#callability schedule dataframe
Price <- rep(as.double(100),24)
Type <- rep(as.character("C"), 24)
Date <- seq(as.Date("2006-09-15"), by = '3 months', length = 24)
callSch <- data.frame(Price, Type, Date)
callSch$Type <- as.character(callSch$Type)
bondparams <- list(faceAmount=100, issueDate = as.Date("2004-09-16"),
maturityDate=as.Date("2012-09-16"), redemption=100,
callSch = callSch)
dateparams <- list(settlementDays=3, calendar="UnitedStates/GovernmentBond",
dayCounter = "ActualActual",
period="Quarterly",
businessDayConvention = "Unadjusted",
terminationDateConvention= "Unadjusted")
coupon <- c(0.0465)
setEvaluationDate(as.Date("2004-11-22"))
CallableBond(bondparams, HullWhite, coupon, dateparams)
#examples using default values
CallableBond(bondparams, HullWhite, coupon)
dateparams <- list(period="Quarterly",
businessDayConvention = "Unadjusted",
terminationDateConvention= "Unadjusted")
CallableBond(bondparams, HullWhite, coupon, dateparams)
bondparams <- list(issueDate = as.Date("2004-09-16"),
maturityDate=as.Date("2012-09-16"))
CallableBond(bondparams, HullWhite, coupon, dateparams)
}
}
\keyword{misc}
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