1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
132
133
134
135
136
137
138
139
140
141
142
143
144
145
146
147
148
149
150
151
152
153
154
155
156
157
158
159
160
161
162
163
164
165
166
167
168
169
170
171
172
173
174
175
176
177
178
179
180
181
182
183
184
185
186
187
188
189
190
191
192
193
194
195
196
197
198
199
200
201
202
203
204
205
206
207
208
209
210
211
212
213
214
215
216
217
218
219
220
221
222
223
224
225
226
227
228
229
230
231
232
233
234
235
236
237
238
239
240
241
242
243
244
245
246
247
248
249
250
251
252
253
254
255
256
257
258
259
260
261
262
263
264
265
266
267
268
269
270
271
272
273
274
275
276
277
278
279
280
281
282
283
284
285
286
287
288
289
290
291
292
293
294
295
296
297
298
299
300
301
302
303
304
305
306
307
308
309
310
311
312
313
|
\name{ConvertibleBond}
\alias{ConvertibleFixedCouponBond}
\alias{ConvertibleFixedCouponBond.default}
\alias{ConvertibleFloatingCouponBond}
\alias{ConvertibleFloatingCouponBond.default}
\alias{ConvertibleZeroCouponBond}
\alias{ConvertibleZeroCouponBond.default}
\title{Convertible Bond evaluation for Fixed, Floating and Zero Coupon}
\description{
The \code{ConvertibleFixedCouponBond} function setups and evaluates a
ConvertibleFixedCouponBond using QuantLib's BinomialConvertibleEngine
%\url{https://www.quantlib.org/reference/class_quant_lib_1_1_binomial_convertible_engine.html}
and BlackScholesMertonProcess
%\url{https://www.quantlib.org/reference/class_quant_lib_1_1_black_scholes_merton_process.html}.
The NPV, clean price, dirty price, accrued interest, yield and cash flows of
the bond is returned. For detail, see test-suite/convertiblebond.cpp
The \code{ConvertibleFloatingCouponBond} function setups and evaluates a
ConvertibleFixedCouponBond using QuantLib's BinomialConvertibleEngine
% \url{https://www.quantlib.org/reference/class_quant_lib_1_1_binomial_convertible_engine.html}
and BlackScholesMertonProcess
% \url{https://www.quantlib.org/reference/class_quant_lib_1_1_black_scholes_merton_process.html}.
The NPV, clean price, dirty price, accrued interest, yield and cash flows of
the bond is returned. For detail, see test-suite/convertiblebond.cpp
The \code{ConvertibleZeroCouponBond} function setups and evaluates a
ConvertibleFixedCouponBond using QuantLib's BinomialConvertibleEngine
% \url{https://www.quantlib.org/reference/class_quant_lib_1_1_binomial_convertible_engine.html}
and BlackScholesMertonProcess
% \url{https://www.quantlib.org/reference/class_quant_lib_1_1_black_scholes_merton_process.html}.
The NPV, clean price, dirty price, accrued interest, yield and cash flows of
the bond is returned. For detail, see \code{test-suite/convertiblebond.cpp}.
}
\usage{
\method{ConvertibleFloatingCouponBond}{default}(bondparams, iborindex, spread, process, dateparams)
\method{ConvertibleFixedCouponBond}{default}(bondparams, coupon, process, dateparams)
\method{ConvertibleZeroCouponBond}{default}(bondparams, process, dateparams)
}
\arguments{
\item{bondparams}{bond parameters, 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{creditSpread} \tab a double, credit spread parameter \cr
\code{} \tab in the constructor of the bond. \cr
\code{conversitionRatio} \tab a double, conversition ratio \cr
\code{} \tab parameter in the constructor of the bond. \cr
\code{exercise} \tab (Optional) a string, either "eu" for European \cr
\code{} \tab option, or "am" for American option. \cr
\code{} \tab Default value is 'am'.\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 \cr
\code{} \tab face amount that will be returned at maturity \cr
\code{} \tab date. Default value is 100.\cr
\code{divSch} \tab (Optional) a data frame whose columns are \cr
\code{} \tab "Type", "Amount", "Rate", and "Date" \cr
\code{} \tab corresponding to QuantLib's DividendSchedule. \cr
\code{} \tab Default value is an empty frame, or no dividend. \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, \cr
\code{} \tab or no callability.\cr
}
}
\item{iborindex}{a DiscountCurve object, represents an IborIndex}
\item{spread}{ a double vector, represents paramter 'spreads' in ConvertibleFloatingBond's constructor. }
\item{coupon}{a double vector of coupon rate}
\item{process}{arguments to construct a BlackScholes process and set up the binomial pricing engine for this bond.
\tabular{ll}{
\code{underlying} \tab a double, flat underlying term structure \cr
\code{volatility} \tab a double, flat volatility term structure \cr
\code{dividendYield} \tab a DiscountCurve object \cr
\code{riskFreeRate} \tab a DiscountCurve object \cr
}
}
\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
\tab See \link{Enum}. Default value is 'Following'. \cr
}
See the examples below.
}
}
\value{
The \code{ConvertibleFloatingCouponBond} function returns an object of class
\code{ConvertibleFloatingCouponBond} (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}
The \code{ConvertibleFixedCouponBond} function returns an object of class
\code{ConvertibleFixedCouponBond} (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}
The \code{ConvertibleZeroCouponBond} function returns an object of class
\code{ConvertibleZeroCouponBond} (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}
}
\examples{
# commented-out as it runs longer than CRAN likes
\dontrun{
#this follow an example in test-suite/convertiblebond.cpp
params <- list(tradeDate=Sys.Date()-2,
settleDate=Sys.Date(),
dt=.25,
interpWhat="discount",
interpHow="loglinear")
dividendYield <- DiscountCurve(params, list(flat=0.02))
riskFreeRate <- DiscountCurve(params, list(flat=0.05))
dividendSchedule <- data.frame(Type=character(0), Amount=numeric(0),
Rate = numeric(0), Date = as.Date(character(0)))
callabilitySchedule <- data.frame(Price = numeric(0), Type=character(0),
Date = as.Date(character(0)))
process <- list(underlying=50, divYield = dividendYield,
rff = riskFreeRate, volatility=0.15)
today <- Sys.Date()
bondparams <- list(exercise="am", faceAmount=100,
divSch = dividendSchedule,
callSch = callabilitySchedule,
redemption=100,
creditSpread=0.005,
conversionRatio = 0.0000000001,
issueDate=as.Date(today+2),
maturityDate=as.Date(today+3650))
dateparams <- list(settlementDays=3,
dayCounter="ActualActual",
period = "Semiannual", calendar = "UnitedStates/GovernmentBond",
businessDayConvention="Following")
lengths <- c(2,4,6,8,10,12,14,16,18,20,22,24,26,28,30)
coupons <- c( 0.0200, 0.0225, 0.0250, 0.0275, 0.0300,
0.0325, 0.0350, 0.0375, 0.0400, 0.0425,
0.0450, 0.0475, 0.0500, 0.0525, 0.0550 )
marketQuotes <- rep(100, length(lengths))
curvedateparams <- list(settlementDays=0, period="Annual",
dayCounter="ActualActual",
businessDayConvention ="Unadjusted")
curveparams <- list(method="ExponentialSplinesFitting",
origDate = Sys.Date())
curve <- FittedBondCurve(curveparams, lengths, coupons, marketQuotes, curvedateparams)
iborindex <- list(type="USDLibor", length=6,
inTermOf="Month", term=curve)
spreads <- c()
#ConvertibleFloatingCouponBond(bondparams, iborindex, spreads, process, dateparams)
#example using default values
#ConvertibleFloatingCouponBond(bondparams, iborindex,spreads, process)
dateparams <- list(settlementDays=3,
period = "Semiannual",
businessDayConvention="Unadjusted")
bondparams <- list(
creditSpread=0.005, conversionRatio = 0.0000000001,
issueDate=as.Date(today+2),
maturityDate=as.Date(today+3650))
#ConvertibleFloatingCouponBond(bondparams, iborindex,
#spreads, process, dateparams)
#this follow an example in test-suite/convertiblebond.cpp
#for ConvertibleFixedCouponBond
#set up arguments to build a pricing engine.
params <- list(tradeDate=Sys.Date()-2,
settleDate=Sys.Date(),
dt=.25,
interpWhat="discount",
interpHow="loglinear")
times <- seq(0,10,.1)
dividendYield <- DiscountCurve(params, list(flat=0.02), times)
riskFreeRate <- DiscountCurve(params, list(flat=0.05), times)
dividendSchedule <- data.frame(Type=character(0), Amount=numeric(0),
Rate = numeric(0), Date = as.Date(character(0)))
callabilitySchedule <- data.frame(Price = numeric(0), Type=character(0),
Date = as.Date(character(0)))
process <- list(underlying=50, divYield = dividendYield,
rff = riskFreeRate, volatility=0.15)
today <- Sys.Date()
bondparams <- list(exercise="am", faceAmount=100, divSch = dividendSchedule,
callSch = callabilitySchedule, redemption=100,
creditSpread=0.005, conversionRatio = 0.0000000001,
issueDate=as.Date(today+2),
maturityDate=as.Date(today+3650))
dateparams <- list(settlementDays=3,
dayCounter="Actual360",
period = "Once", calendar = "UnitedStates/GovernmentBond",
businessDayConvention="Following"
)
coupon <- c(0.05)
ConvertibleFixedCouponBond(bondparams, coupon, process, dateparams)
#example with default value
ConvertibleFixedCouponBond(bondparams, coupon, process)
dateparams <- list(settlementDays=3,
dayCounter="Actual360")
ConvertibleFixedCouponBond(bondparams, coupon, process, dateparams)
bondparams <- list(creditSpread=0.005, conversionRatio = 0.0000000001,
issueDate=as.Date(today+2),
maturityDate=as.Date(today+3650))
ConvertibleFixedCouponBond(bondparams, coupon, process, dateparams)
#this follow an example in test-suite/convertiblebond.cpp
params <- list(tradeDate=Sys.Date()-2,
settleDate=Sys.Date(),
dt=.25,
interpWhat="discount",
interpHow="loglinear")
times <- seq(0,10,.1)
dividendYield <- DiscountCurve(params, list(flat=0.02), times)
riskFreeRate <- DiscountCurve(params, list(flat=0.05), times)
dividendSchedule <- data.frame(Type=character(0), Amount=numeric(0),
Rate = numeric(0), Date = as.Date(character(0)))
callabilitySchedule <- data.frame(Price = numeric(0), Type=character(0),
Date = as.Date(character(0)))
process <- list(underlying=50, divYield = dividendYield,
rff = riskFreeRate, volatility=0.15)
today <- Sys.Date()
bondparams <- list(exercise="am", faceAmount=100, divSch = dividendSchedule,
callSch = callabilitySchedule, redemption=100,
creditSpread=0.005, conversionRatio = 0.0000000001,
issueDate=as.Date(today+2),
maturityDate=as.Date(today+3650))
dateparams <- list(settlementDays=3,
dayCounter="Actual360",
period = "Once", calendar = "UnitedStates/GovernmentBond",
businessDayConvention="Following"
)
ConvertibleZeroCouponBond(bondparams, process, dateparams)
#example with default values
ConvertibleZeroCouponBond(bondparams, process)
bondparams <- list(creditSpread=0.005,
conversionRatio=0.0000000001,
issueDate=as.Date(today+2),
maturityDate=as.Date(today+3650))
dateparams <- list(settlementDays=3, dayCounter='Actual360')
ConvertibleZeroCouponBond(bondparams, process, dateparams)
ConvertibleZeroCouponBond(bondparams, process)
}
}
|
