RQuantLib (version 0.4.24)

ZeroCouponBond: Zero-Coupon bond pricing

Description

The ZeroCouponBond function evaluates a zero-coupon plainly using discount curve. More specificly, the calculation is done by DiscountingBondEngine from QuantLib. The NPV, clean price, dirty price, accrued interest, yield and cash flows of the bond is returned. For more detail, see the source code in the QuantLib file test-suite/bond.cpp.

The ZeroPriceYield function evaluates a zero-coupon clean price based on its yield.

The ZeroYield function evaluations a zero-coupon yield based. See also http://www.mathworks.com/access/helpdesk/help/toolbox/finfixed/zeroyield.html

Usage

# S3 method for default
ZeroCouponBond(bond, discountCurve, dateparams)
# S3 method for default
ZeroPriceByYield(yield, faceAmount, 
                            issueDate, maturityDate, 
                            dayCounter=2, frequency=2, 
                            compound=0, businessDayConvention=4)
# S3 method for default
ZeroYield(price, faceAmount, 
                            issueDate, maturityDate, 
                            dayCounter=2, frequency=2, 
                            compound=0, businessDayConvention=4)

Value

The ZeroCouponBond function returns an object of class

ZeroCouponBond (which inherits from class

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

NPV

net present value of the bond

cleanPrice

clean 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

The ZeroPriceByYield function returns an object of class

ZeroPriceByYield (which inherits from class

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

price

price of the bond

The ZeroYield function returns an object of class

ZeroYield (which inherits from class

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

yield

yield of the bond

Arguments

bond

bond parameters, 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.

discountCurve

Can be one of the following:

a DiscountCurve	a object of DiscountCurve class
	For more detail, see example or
	the discountCurve function
A 2 items list	specifies a flat curve in two
	values "todayDate" and "rate"
A 3 items list	specifies three values to construct a
	DiscountCurve object, "params" ,
	"tsQuotes", "times".
	For more detail, see example or
	the discountCurve function

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'.
businessDayConvention	(Optional) a number or string,
	business day convention.
	See Enum. Default value is 'Following'.

See example below.

yield

yield of the bond

price

price of the bond

faceAmount

face amount of the bond

issueDate

date the bond is issued

maturityDate

maturity date, an R's date type

dayCounter

day count convention. 0 = Actual360(), 1 = Actual365Fixed(), 2 = ActualActual(), 3 = Business252(), 4 = OneDayCounter(), 5 = SimpleDayCounter(), all other = Thirty360(). For more information, see QuantLib's DayCounter class

frequency

frequency of events,0=NoFrequency, 1=Once, 2=Annual, 3=Semiannual, 4=EveryFourthMonth, 5=Quarterly, 6=Bimonthly ,7=Monthly ,8=EveryFourthWeely,9=Biweekly, 10=Weekly, 11=Daily. For more information, see QuantLib's Frequency class

compound

compounding type. 0=Simple, 1=Compounded, 2=Continuous, all other=SimpleThenCompounded. See QuantLib's Compound class

businessDayConvention

convention used to adjust a date in case it is not a valid business day. See quantlib for more detail. 0 = Following, 1 = ModifiedFollowing, 2 = Preceding, 3 = ModifiedPreceding, other = Unadjusted

Author

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

Details

A discount curve is built to calculate the bond value.

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

# Simple call with all parameter and a flat curve
bond <- 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='Unadjusted')

discountCurve.param <- list(tradeDate=as.Date('2002-2-15'),
                           settleDate=as.Date('2002-2-15'),
                           dt=0.25,
                           interpWhat='discount', interpHow='loglinear')
discountCurve.flat <- DiscountCurve(discountCurve.param, list(flat=0.05))

ZeroCouponBond(bond, discountCurve.flat, dateparams)


# The same bond with a discount curve constructed from market quotes
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,
                 s3y  =0.0398,
                 s5y  =0.0443,
                 s10y =0.05165,
                 s15y =0.055175)
tsQuotes <- list("flat" = 0.02)		## While discount curve code is buggy

discountCurve <- DiscountCurve(discountCurve.param, tsQuotes)
ZeroCouponBond(bond, discountCurve, dateparams)


#examples with default arguments
ZeroCouponBond(bond, discountCurve)

bond <- list(issueDate=as.Date("2004-11-30"),
             maturityDate=as.Date("2008-11-30"))
dateparams <-list(settlementDays=1)
ZeroCouponBond(bond, discountCurve, dateparams)


ZeroPriceByYield(0.1478, 100, as.Date("1993-6-24"), as.Date("1993-11-1"))

ZeroYield(90, 100, as.Date("1993-6-24"), as.Date("1993-11-1"))