RQuantLib (version 0.4.24)

CallableBond: CallableBond evaluation

Description

The 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

# S3 method for default
CallableBond(bondparams, hullWhite, coupon, dateparams)

Value

The CallableBond function returns an object of class

CallableBond (which inherits from class

Bond). It contains a list with the following components:

NPV

net present value of the bond

cleanPrice

price price of the bond

dirtyPrice

dirty price of the bond

accruedAmount

accrued amount of the bond

yield

yield of the bond

cashFlows

cash flows of the bond

Arguments

bondparams

a named list whose elements are:

issueDate	a Date, the bond's issue date
maturityDate	a Date, the bond's maturity date
faceAmount	(Optional) a double, face amount of the bond.
	Default value is 100.
redemption	(Optional) a double, percentage of the initial face
	amount that will be returned at maturity date.
	Default value is 100.
callSch	(Optional) a data frame whose columns are "Price",
	"Type" and "Date" corresponding to QuantLib's
	CallabilitySchedule. Defaule is an empty frame, or no callability.

hullWhite

a named list whose elements are parameters needed to set up a HullWhite pricing engine in QuantLib:

term	a double, to set up a flat rate yield term structure
alpha	a double, Hull-White model's alpha value
sigma	a double, Hull-White model's sigma value
gridIntervals.	a double, time intervals parameter to
	set up the TreeCallableFixedBondEngine

Currently, the codes only support a flat rate yield term structure. For more detail, see QuantLib's doc on HullWhite and TreeCallableFixedBondEngine.

coupon

a numeric vector of coupon rates

dateparams

(Optional) a named list, QuantLib's date parameters of the bond.

settlementDays	(Optional) a double, settlement days.
	Default value is 1.
calendar	(Optional) a string, either 'us' or 'uk'
	corresponding to US Goverment Bond
	calendar and UK Exchange calendar.
	Default value is 'us'.
dayCounter	(Optional) a number or string,
	day counter convention.
	See Enum. Default value is 'Thirty360'
period	(Optional) a number or string,
	interest compounding interval. See Enum.
	Default value is 'Semiannual'.
businessDayConvention	(Optional) a number or string,
	business day convention.
	See Enum. Default value is 'Following'.
terminationDateConvention	(Optional) a number or string
	termination day convention.
	See Enum. Default value is'Following'.

See example below.

Author

Khanh Nguyen for the inplementation; Dirk Eddelbuettel for the R interface; the QuantLib Group for QuantLib

Details

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

References

https://www.quantlib.org/ for details on QuantLib.

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)
}