[Rquantlib-commits] r182 - papers/rinfinance2010
noreply at r-forge.r-project.org
noreply at r-forge.r-project.org
Wed Mar 3 21:30:21 CET 2010
Author: knguyen
Date: 2010-03-03 21:30:20 +0100 (Wed, 03 Mar 2010)
New Revision: 182
Modified:
papers/rinfinance2010/discountEx.r
papers/rinfinance2010/discountEx.r.dvi
papers/rinfinance2010/discountEx.r.tex
papers/rinfinance2010/fittedBondCurveEx.r
papers/rinfinance2010/fittedBondCurveEx.r.dvi
papers/rinfinance2010/fittedBondCurveEx.r.tex
papers/rinfinance2010/rquantlib_slides.tex
Log:
update slides
Modified: papers/rinfinance2010/discountEx.r
===================================================================
--- papers/rinfinance2010/discountEx.r 2010-03-03 14:32:05 UTC (rev 181)
+++ papers/rinfinance2010/discountEx.r 2010-03-03 20:30:20 UTC (rev 182)
@@ -1,22 +1,13 @@
-
params <- list(tradeDate=as.Date('2004-09-20'),
settleDate=as.Date('2004-09-22'),
interpWhat="discount",
interpHow="loglinear")
-tsQuotes <- list(d1w = 0.0382,
- d1m = 0.0372,
- d3m = 0.0363,
- d6m = 0.0353,
- d9m = 0.0348,
- d1y = 0.0345,
- fut2=96.7875,
- fut3=96.9875,
- fut4=96.6875,
- fut5=96.4875,
- fut7=96.2875,
- s2y = 0.037125,
- s3y = 0.0398,
- s5y = 0.0443,
- s10y = 0.05165,
- s15y = 0.055175)
+tsQuotes <- list(d1w=0.0382, d1m=0.0372,
+ d3m=0.0363, d6m=0.0353,
+ d9m=0.0348, d1y=0.0345,
+ fut2=96.7875, fut3=96.9875,
+ fut4=96.6875, fut5=96.4875,
+ fut7=96.2875, s2y=0.037125,
+ s3y=0.0398, s5y=0.0443,
+ s10y=0.05165, s15y=0.055175)
curves <- DiscountCurve(params, tsQuotes)
Modified: papers/rinfinance2010/discountEx.r.dvi
===================================================================
(Binary files differ)
Modified: papers/rinfinance2010/discountEx.r.tex
===================================================================
--- papers/rinfinance2010/discountEx.r.tex 2010-03-03 14:32:05 UTC (rev 181)
+++ papers/rinfinance2010/discountEx.r.tex 2010-03-03 20:30:20 UTC (rev 182)
@@ -10,27 +10,18 @@
\pagecolor{bgcolor}
\noindent
\ttfamily
-\hlstd{\hspace*{\fill}\\
-params\ }\hlsym{$<${-}\ }\hlstd{}\hlkwc{list}\hlstd{}\hlsym{(}\hlstd{tradeDate}\hlsym{=}\hlstd{}\hlkwc{as.Date}\hlstd{}\hlsym{(}\hlstd{}\hlstr{'2004{-}09{-}20'}\hlstd{}\hlsym{),}\hspace*{\fill}\\
+\hlstd{params\ }\hlsym{$<${-}\ }\hlstd{}\hlkwc{list}\hlstd{}\hlsym{(}\hlstd{tradeDate}\hlsym{=}\hlstd{}\hlkwc{as.Date}\hlstd{}\hlsym{(}\hlstd{}\hlstr{'2004{-}09{-}20'}\hlstd{}\hlsym{),}\hspace*{\fill}\\
\hlstd{}\hlstd{\ \ \ \ \ \ \ \ \ \ \ \ \ \ \ }\hlstd{settleDate}\hlsym{=}\hlstd{}\hlkwc{as.Date}\hlstd{}\hlsym{(}\hlstd{}\hlstr{'2004{-}09{-}22'}\hlstd{}\hlsym{),}\hspace*{\fill}\\
\hlstd{}\hlstd{\ \ \ \ \ \ \ \ \ \ \ \ \ \ \ }\hlstd{interpWhat}\hlsym{=}\hlstd{}\hlstr{"discount"}\hlstd{}\hlsym{,}\hspace*{\fill}\\
\hlstd{}\hlstd{\ \ \ \ \ \ \ \ \ \ \ \ \ \ \ }\hlstd{interpHow}\hlsym{=}\hlstd{}\hlstr{"loglinear"}\hlstd{}\hlsym{)}\hspace*{\fill}\\
-\hlstd{tsQuotes\ }\hlsym{$<${-}\ }\hlstd{}\hlkwc{list}\hlstd{}\hlsym{(}\hlstd{d1w\ }\hlsym{=\ }\hlstd{}\hlnum{0.0382}\hlstd{}\hlsym{,}\hspace*{\fill}\\
-\hlstd{}\hlstd{\ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ }\hlstd{d1m\ }\hlsym{=\ }\hlstd{}\hlnum{0.0372}\hlstd{}\hlsym{,}\hspace*{\fill}\\
-\hlstd{}\hlstd{\ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ }\hlstd{d3m\ }\hlsym{=\ }\hlstd{}\hlnum{0.0363}\hlstd{}\hlsym{,}\hspace*{\fill}\\
-\hlstd{}\hlstd{\ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ }\hlstd{d6m\ }\hlsym{=\ }\hlstd{}\hlnum{0.0353}\hlstd{}\hlsym{,}\hspace*{\fill}\\
-\hlstd{}\hlstd{\ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ }\hlstd{d9m\ }\hlsym{=\ }\hlstd{}\hlnum{0.0348}\hlstd{}\hlsym{,}\hspace*{\fill}\\
-\hlstd{}\hlstd{\ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ }\hlstd{d1y\ }\hlsym{=\ }\hlstd{}\hlnum{0.0345}\hlstd{}\hlsym{,}\hspace*{\fill}\\
-\hlstd{}\hlstd{\ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ }\hlstd{fut2}\hlsym{=}\hlstd{}\hlnum{96.7875}\hlstd{}\hlsym{,}\hspace*{\fill}\\
-\hlstd{}\hlstd{\ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ }\hlstd{fut3}\hlsym{=}\hlstd{}\hlnum{96.9875}\hlstd{}\hlsym{,}\hspace*{\fill}\\
-\hlstd{}\hlstd{\ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ }\hlstd{fut4}\hlsym{=}\hlstd{}\hlnum{96.6875}\hlstd{}\hlsym{,}\hspace*{\fill}\\
-\hlstd{}\hlstd{\ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ }\hlstd{fut5}\hlsym{=}\hlstd{}\hlnum{96.4875}\hlstd{}\hlsym{,}\hspace*{\fill}\\
-\hlstd{}\hlstd{\ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ }\hlstd{fut7}\hlsym{=}\hlstd{}\hlnum{96.2875}\hlstd{}\hlsym{,}\hspace*{\fill}\\
-\hlstd{}\hlstd{\ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ }\hlstd{s2y\ }\hlsym{=\ }\hlstd{}\hlnum{0.037125}\hlstd{}\hlsym{,}\hspace*{\fill}\\
-\hlstd{}\hlstd{\ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ }\hlstd{s3y\ }\hlsym{=\ }\hlstd{}\hlnum{0.0398}\hlstd{}\hlsym{,}\hspace*{\fill}\\
-\hlstd{}\hlstd{\ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ }\hlstd{s5y\ }\hlsym{=\ }\hlstd{}\hlnum{0.0443}\hlstd{}\hlsym{,}\hspace*{\fill}\\
-\hlstd{}\hlstd{\ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ }\hlstd{s10y\ }\hlsym{=\ }\hlstd{}\hlnum{0.05165}\hlstd{}\hlsym{,}\hspace*{\fill}\\
-\hlstd{}\hlstd{\ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ }\hlstd{s15y\ }\hlsym{=\ }\hlstd{}\hlnum{0.055175}\hlstd{}\hlsym{)}\hspace*{\fill}\\
+\hlstd{tsQuotes\ }\hlsym{$<${-}\ }\hlstd{}\hlkwc{list}\hlstd{}\hlsym{(}\hlstd{d1w}\hlsym{=}\hlstd{}\hlnum{0.0382}\hlstd{}\hlsym{,\ }\hlstd{d1m}\hlsym{=}\hlstd{}\hlnum{0.0372}\hlstd{}\hlsym{,}\hspace*{\fill}\\
+\hlstd{}\hlstd{\ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ }\hlstd{d3m}\hlsym{=}\hlstd{}\hlnum{0.0363}\hlstd{}\hlsym{,\ }\hlstd{d6m}\hlsym{=}\hlstd{}\hlnum{0.0353}\hlstd{}\hlsym{,}\hspace*{\fill}\\
+\hlstd{}\hlstd{\ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ }\hlstd{d9m}\hlsym{=}\hlstd{}\hlnum{0.0348}\hlstd{}\hlsym{,\ }\hlstd{d1y}\hlsym{=}\hlstd{}\hlnum{0.0345}\hlstd{}\hlsym{,}\hspace*{\fill}\\
+\hlstd{}\hlstd{\ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ }\hlstd{fut2}\hlsym{=}\hlstd{}\hlnum{96.7875}\hlstd{}\hlsym{,\ }\hlstd{fut3}\hlsym{=}\hlstd{}\hlnum{96.9875}\hlstd{}\hlsym{,}\hspace*{\fill}\\
+\hlstd{}\hlstd{\ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ }\hlstd{fut4}\hlsym{=}\hlstd{}\hlnum{96.6875}\hlstd{}\hlsym{,\ }\hlstd{fut5}\hlsym{=}\hlstd{}\hlnum{96.4875}\hlstd{}\hlsym{,}\hspace*{\fill}\\
+\hlstd{}\hlstd{\ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ }\hlstd{fut7}\hlsym{=}\hlstd{}\hlnum{96.2875}\hlstd{}\hlsym{,\ }\hlstd{s2y}\hlsym{=}\hlstd{}\hlnum{0.037125}\hlstd{}\hlsym{,}\hspace*{\fill}\\
+\hlstd{}\hlstd{\ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ }\hlstd{s3y}\hlsym{=}\hlstd{}\hlnum{0.0398}\hlstd{}\hlsym{,\ }\hlstd{s5y}\hlsym{=}\hlstd{}\hlnum{0.0443}\hlstd{}\hlsym{,}\hspace*{\fill}\\
+\hlstd{}\hlstd{\ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ }\hlstd{s10y}\hlsym{=}\hlstd{}\hlnum{0.05165}\hlstd{}\hlsym{,\ }\hlstd{s15y}\hlsym{=}\hlstd{}\hlnum{0.055175}\hlstd{}\hlsym{)}\hspace*{\fill}\\
\hlstd{curves\ }\hlsym{$<${-}\ }\hlstd{DiscountCurve}\hlsym{(}\hlstd{params}\hlsym{,\ }\hlstd{tsQuotes}\hlsym{)}\hlstd{}\hspace*{\fill}\\
\mbox{}
\normalfont
Modified: papers/rinfinance2010/fittedBondCurveEx.r
===================================================================
--- papers/rinfinance2010/fittedBondCurveEx.r 2010-03-03 14:32:05 UTC (rev 181)
+++ papers/rinfinance2010/fittedBondCurveEx.r 2010-03-03 20:30:20 UTC (rev 182)
@@ -1,14 +1,19 @@
-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 )
+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))
-dateparams <- list(settlementDays=0, period="Annual",
- dayCounter="ActualActual",
- businessDayConvention ="Unadjusted")
-curveparams <- list(method="ExponentialSplinesFitting",
- origDate = Sys.Date())
-curve <- FittedBondCurve(curveparams, lengths, coupons, marketQuotes, dateparams)
+dateparams <- list(settlementDays=0,
+ period="Annual",
+ dayCounter="ActualActual",
+ businessDayConvention="Unadjusted")
+curveparams <- list(method="ExponentialSplinesFitting",
+ origDate = Sys.Date())
+curve <- FittedBondCurve(curveparams, lengths,
+ coupons, marketQuotes,
+ dateparams)
library(zoo)
z <- zoo(curve$table$zeroRates, order.by=curve$table$date)
plot(z)
Modified: papers/rinfinance2010/fittedBondCurveEx.r.dvi
===================================================================
(Binary files differ)
Modified: papers/rinfinance2010/fittedBondCurveEx.r.tex
===================================================================
--- papers/rinfinance2010/fittedBondCurveEx.r.tex 2010-03-03 14:32:05 UTC (rev 181)
+++ papers/rinfinance2010/fittedBondCurveEx.r.tex 2010-03-03 20:30:20 UTC (rev 182)
@@ -10,17 +10,22 @@
\pagecolor{bgcolor}
\noindent
\ttfamily
-\hlstd{lengths\ }\hlsym{$<${-}\ }\hlstd{}\hlkwc{c}\hlstd{}\hlsym{(}\hlstd{}\hlnum{2}\hlstd{}\hlsym{,}\hlstd{}\hlnum{4}\hlstd{}\hlsym{,}\hlstd{}\hlnum{6}\hlstd{}\hlsym{,}\hlstd{}\hlnum{8}\hlstd{}\hlsym{,}\hlstd{}\hlnum{10}\hlstd{}\hlsym{,}\hlstd{}\hlnum{12}\hlstd{}\hlsym{,}\hlstd{}\hlnum{14}\hlstd{}\hlsym{,}\hlstd{}\hlnum{16}\hlstd{}\hlsym{,}\hlstd{}\hlnum{18}\hlstd{}\hlsym{,}\hlstd{}\hlnum{20}\hlstd{}\hlsym{,}\hlstd{}\hlnum{22}\hlstd{}\hlsym{,}\hlstd{}\hlnum{24}\hlstd{}\hlsym{,}\hlstd{}\hlnum{26}\hlstd{}\hlsym{,}\hlstd{}\hlnum{28}\hlstd{}\hlsym{,}\hlstd{}\hlnum{30}\hlstd{}\hlsym{)}\hspace*{\fill}\\
-\hlstd{coupons\ }\hlsym{$<${-}\ }\hlstd{}\hlkwc{c}\hlstd{}\hlsym{(}\hlstd{}\hlnum{0.0200}\hlstd{}\hlsym{,\ }\hlstd{}\hlnum{0.0225}\hlstd{}\hlsym{,\ }\hlstd{}\hlnum{0.0250}\hlstd{}\hlsym{,\ }\hlstd{}\hlnum{0.0275}\hlstd{}\hlsym{,\ }\hlstd{}\hlnum{0.0300}\hlstd{}\hlsym{,}\hspace*{\fill}\\
-\hlstd{}\hlstd{\ \ \ \ \ \ \ \ \ \ \ }\hlstd{}\hlnum{0.0325}\hlstd{}\hlsym{,\ }\hlstd{}\hlnum{0.0350}\hlstd{}\hlsym{,\ }\hlstd{}\hlnum{0.0375}\hlstd{}\hlsym{,\ }\hlstd{}\hlnum{0.0400}\hlstd{}\hlsym{,\ }\hlstd{}\hlnum{0.0425}\hlstd{}\hlsym{,}\hspace*{\fill}\\
-\hlstd{}\hlstd{\ \ \ \ \ \ \ \ \ \ \ \ \ }\hlstd{}\hlnum{0.0450}\hlstd{}\hlsym{,\ }\hlstd{}\hlnum{0.0475}\hlstd{}\hlsym{,\ }\hlstd{}\hlnum{0.0500}\hlstd{}\hlsym{,\ }\hlstd{}\hlnum{0.0525}\hlstd{}\hlsym{,\ }\hlstd{}\hlnum{0.0550\ }\hlstd{}\hlsym{)}\hspace*{\fill}\\
+\hlstd{lengths\ }\hlsym{$<${-}\ }\hlstd{}\hlkwc{c}\hlstd{}\hlsym{(}\hlstd{}\hlnum{2}\hlstd{}\hlsym{,}\hlstd{}\hlnum{4}\hlstd{}\hlsym{,}\hlstd{}\hlnum{6}\hlstd{}\hlsym{,}\hlstd{}\hlnum{8}\hlstd{}\hlsym{,}\hlstd{}\hlnum{10}\hlstd{}\hlsym{,}\hlstd{}\hlnum{12}\hlstd{}\hlsym{,}\hlstd{}\hlnum{14}\hlstd{}\hlsym{,}\hlstd{}\hlnum{16}\hlstd{}\hlsym{,}\hlstd{}\hlnum{18}\hlstd{}\hlsym{,}\hspace*{\fill}\\
+\hlstd{}\hlstd{\ \ \ \ \ \ \ \ \ \ \ \ \ }\hlstd{}\hlnum{20}\hlstd{}\hlsym{,}\hlstd{}\hlnum{22}\hlstd{}\hlsym{,}\hlstd{}\hlnum{24}\hlstd{}\hlsym{,}\hlstd{}\hlnum{26}\hlstd{}\hlsym{,}\hlstd{}\hlnum{28}\hlstd{}\hlsym{,}\hlstd{}\hlnum{30}\hlstd{}\hlsym{)}\hspace*{\fill}\\
+\hlstd{coupons\ }\hlsym{$<${-}\ }\hlstd{}\hlkwc{c}\hlstd{}\hlsym{(}\hlstd{}\hlnum{0.0200}\hlstd{}\hlsym{,\ }\hlstd{}\hlnum{0.0225}\hlstd{}\hlsym{,\ }\hlstd{}\hlnum{0.0250}\hlstd{}\hlsym{,\ }\hlstd{}\hlnum{0.0275}\hlstd{}\hlsym{,}\hspace*{\fill}\\
+\hlstd{}\hlstd{\ \ \ \ \ \ \ \ \ \ \ \ \ }\hlstd{}\hlnum{0.0300}\hlstd{}\hlsym{,\ }\hlstd{}\hlnum{0.0325}\hlstd{}\hlsym{,\ }\hlstd{}\hlnum{0.0350}\hlstd{}\hlsym{,\ }\hlstd{}\hlnum{0.0375}\hlstd{}\hlsym{,}\hspace*{\fill}\\
+\hlstd{}\hlstd{\ \ \ \ \ \ \ \ \ \ \ \ \ }\hlstd{}\hlnum{0.0400}\hlstd{}\hlsym{,\ }\hlstd{}\hlnum{0.0425}\hlstd{}\hlsym{,\ }\hlstd{}\hlnum{0.0450}\hlstd{}\hlsym{,\ }\hlstd{}\hlnum{0.0475}\hlstd{}\hlsym{,}\hspace*{\fill}\\
+\hlstd{}\hlstd{\ \ \ \ \ \ \ \ \ \ \ \ \ }\hlstd{}\hlnum{0.0500}\hlstd{}\hlsym{,\ }\hlstd{}\hlnum{0.0525}\hlstd{}\hlsym{,\ }\hlstd{}\hlnum{0.0550\ }\hlstd{}\hlsym{)}\hspace*{\fill}\\
\hlstd{marketQuotes\ }\hlsym{$<${-}\ }\hlstd{}\hlkwc{rep}\hlstd{}\hlsym{(}\hlstd{}\hlnum{100}\hlstd{}\hlsym{,\ }\hlstd{}\hlkwc{length}\hlstd{}\hlsym{(}\hlstd{lengths}\hlsym{))}\hspace*{\fill}\\
-\hlstd{dateparams\ }\hlsym{$<${-}\ }\hlstd{}\hlkwc{list}\hlstd{}\hlsym{(}\hlstd{settlementDays}\hlsym{=}\hlstd{}\hlnum{0}\hlstd{}\hlsym{,\ }\hlstd{period}\hlsym{=}\hlstd{}\hlstr{"Annual"}\hlstd{}\hlsym{,}\hspace*{\fill}\\
-\hlstd{}\hlstd{\ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ }\hlstd{dayCounter}\hlsym{=}\hlstd{}\hlstr{"ActualActual"}\hlstd{}\hlsym{,}\hspace*{\fill}\\
-\hlstd{}\hlstd{\ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ }\hlstd{businessDayConvention\ }\hlsym{=}\hlstd{}\hlstr{"Unadjusted"}\hlstd{}\hlsym{)}\hspace*{\fill}\\
+\hlstd{dateparams\ }\hlsym{$<${-}\ }\hlstd{}\hlkwc{list}\hlstd{}\hlsym{(}\hlstd{settlementDays}\hlsym{=}\hlstd{}\hlnum{0}\hlstd{}\hlsym{,}\hspace*{\fill}\\
+\hlstd{}\hlstd{\ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ }\hlstd{period}\hlsym{=}\hlstd{}\hlstr{"Annual"}\hlstd{}\hlsym{,}\hspace*{\fill}\\
+\hlstd{}\hlstd{\ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ }\hlstd{dayCounter}\hlsym{=}\hlstd{}\hlstr{"ActualActual"}\hlstd{}\hlsym{,}\hspace*{\fill}\\
+\hlstd{}\hlstd{\ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ }\hlstd{businessDayConvention}\hlsym{=}\hlstd{}\hlstr{"Unadjusted"}\hlstd{}\hlsym{)}\hspace*{\fill}\\
\hlstd{curveparams\ }\hlsym{$<${-}\ }\hlstd{}\hlkwc{list}\hlstd{}\hlsym{(}\hlstd{method}\hlsym{=}\hlstd{}\hlstr{"ExponentialSplinesFitting"}\hlstd{}\hlsym{,}\hspace*{\fill}\\
-\hlstd{}\hlstd{\ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ }\hlstd{origDate\ }\hlsym{=\ }\hlstd{}\hlkwc{Sys.Date}\hlstd{}\hlsym{())}\hspace*{\fill}\\
-\hlstd{}\hlkwc{curve\ }\hlstd{}\hlsym{$<${-}\ }\hlstd{FittedBondCurve}\hlsym{(}\hlstd{curveparams}\hlsym{,\ }\hlstd{lengths}\hlsym{,\ }\hlstd{coupons}\hlsym{,\ }\hlstd{marketQuotes}\hlsym{,\ }\hlstd{dateparams}\hlsym{)}\hspace*{\fill}\\
+\hlstd{}\hlstd{\ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ }\hlstd{origDate\ }\hlsym{=\ }\hlstd{}\hlkwc{Sys.Date}\hlstd{}\hlsym{())}\hspace*{\fill}\\
+\hlstd{}\hlkwc{curve\ }\hlstd{}\hlsym{$<${-}\ }\hlstd{FittedBondCurve}\hlsym{(}\hlstd{curveparams}\hlsym{,\ }\hlstd{lengths}\hlsym{,}\hspace*{\fill}\\
+\hlstd{}\hlstd{\ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ }\hlstd{coupons}\hlsym{,\ }\hlstd{marketQuotes}\hlsym{,}\hspace*{\fill}\\
+\hlstd{}\hlstd{\ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ }\hlstd{dateparams}\hlsym{)}\hspace*{\fill}\\
\hlstd{}\hlkwc{library}\hlstd{}\hlsym{(}\hlstd{zoo}\hlsym{)}\hspace*{\fill}\\
\hlstd{z\ }\hlsym{$<${-}\ }\hlstd{zoo}\hlsym{(}\hlstd{}\hlkwc{curve}\hlstd{\$}\hlkwc{table}\hlstd{\$zeroRates}\hlsym{,\ }\hlstd{order.by}\hlsym{=}\hlstd{}\hlkwc{curve}\hlstd{\$}\hlkwc{table}\hlstd{\$}\hlkwc{date}\hlstd{}\hlsym{)}\hspace*{\fill}\\
\hlstd{}\hlkwc{plot}\hlstd{}\hlsym{(}\hlstd{z}\hlsym{)}\hlstd{}\hspace*{\fill}\\
Modified: papers/rinfinance2010/rquantlib_slides.tex
===================================================================
--- papers/rinfinance2010/rquantlib_slides.tex 2010-03-03 14:32:05 UTC (rev 181)
+++ papers/rinfinance2010/rquantlib_slides.tex 2010-03-03 20:30:20 UTC (rev 182)
@@ -1,11 +1,16 @@
%% add 'handout' option for handouts, and pgfpages for 2-on-1
-\documentclass[smaller,compress]{beamer}
+\documentclass[smaller,compress, 9pt]{beamer}
%\usepackage{pgfpages}
%\pgfpagesuselayout{2 on 1}[letterpaper,border shrink=5mm]
%\pgfpagesuselayout{4 on 1}[letterpaper,border shrink=5mm]
%\pgfpagesuselayout{2 on 1}[a4,border shrink=5mm]
+\usepackage{color}
+\usepackage{alltt}
+\usepackage[latin1]{inputenc}
+\input {highlight.sty}
+
\include{beamer_setup} %% has all definitions etc
@@ -135,6 +140,29 @@
\end{itemize}
\end{frame}
+\begin{frame}[shrink]
+ \frametitle{Fixed Income in RQuantLib}
+ \framesubtitle{Examples: Curve fitting}
+\pagecolor{bgcolor}
+\noindent
+\ttfamily
+\hlstd{params\ }\hlsym{$<${-}\ }\hlstd{}\hlkwc{list}\hlstd{}\hlsym{(}\hlstd{tradeDate}\hlsym{=}\hlstd{}\hlkwc{as.Date}\hlstd{}\hlsym{(}\hlstd{}\hlstr{'2004{-}09{-}20'}\hlstd{}\hlsym{),}\hspace*{\fill}\\
+\hlstd{}\hlstd{\ \ \ \ \ \ \ \ \ \ \ \ \ \ \ }\hlstd{settleDate}\hlsym{=}\hlstd{}\hlkwc{as.Date}\hlstd{}\hlsym{(}\hlstd{}\hlstr{'2004{-}09{-}22'}\hlstd{}\hlsym{),}\hspace*{\fill}\\
+\hlstd{}\hlstd{\ \ \ \ \ \ \ \ \ \ \ \ \ \ \ }\hlstd{interpWhat}\hlsym{=}\hlstd{}\hlstr{"discount"}\hlstd{}\hlsym{,}\hspace*{\fill}\\
+\hlstd{}\hlstd{\ \ \ \ \ \ \ \ \ \ \ \ \ \ \ }\hlstd{interpHow}\hlsym{=}\hlstd{}\hlstr{"loglinear"}\hlstd{}\hlsym{)}\hspace*{\fill}\\
+\hlstd{tsQuotes\ }\hlsym{$<${-}\ }\hlstd{}\hlkwc{list}\hlstd{}\hlsym{(}\hlstd{d1w}\hlsym{=}\hlstd{}\hlnum{0.0382}\hlstd{}\hlsym{,\ }\hlstd{d1m}\hlsym{=}\hlstd{}\hlnum{0.0372}\hlstd{}\hlsym{,}\hspace*{\fill}\\
+\hlstd{}\hlstd{\ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ }\hlstd{d3m}\hlsym{=}\hlstd{}\hlnum{0.0363}\hlstd{}\hlsym{,\ }\hlstd{d6m}\hlsym{=}\hlstd{}\hlnum{0.0353}\hlstd{}\hlsym{,}\hspace*{\fill}\\
+\hlstd{}\hlstd{\ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ }\hlstd{d9m}\hlsym{=}\hlstd{}\hlnum{0.0348}\hlstd{}\hlsym{,\ }\hlstd{d1y}\hlsym{=}\hlstd{}\hlnum{0.0345}\hlstd{}\hlsym{,}\hspace*{\fill}\\
+\hlstd{}\hlstd{\ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ }\hlstd{fut2}\hlsym{=}\hlstd{}\hlnum{96.7875}\hlstd{}\hlsym{,\ }\hlstd{fut3}\hlsym{=}\hlstd{}\hlnum{96.9875}\hlstd{}\hlsym{,}\hspace*{\fill}\\
+\hlstd{}\hlstd{\ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ }\hlstd{fut4}\hlsym{=}\hlstd{}\hlnum{96.6875}\hlstd{}\hlsym{,\ }\hlstd{fut5}\hlsym{=}\hlstd{}\hlnum{96.4875}\hlstd{}\hlsym{,}\hspace*{\fill}\\
+\hlstd{}\hlstd{\ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ }\hlstd{fut7}\hlsym{=}\hlstd{}\hlnum{96.2875}\hlstd{}\hlsym{,\ }\hlstd{s2y}\hlsym{=}\hlstd{}\hlnum{0.037125}\hlstd{}\hlsym{,}\hspace*{\fill}\\
+\hlstd{}\hlstd{\ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ }\hlstd{s3y}\hlsym{=}\hlstd{}\hlnum{0.0398}\hlstd{}\hlsym{,\ }\hlstd{s5y}\hlsym{=}\hlstd{}\hlnum{0.0443}\hlstd{}\hlsym{,}\hspace*{\fill}\\
+\hlstd{}\hlstd{\ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ }\hlstd{s10y}\hlsym{=}\hlstd{}\hlnum{0.05165}\hlstd{}\hlsym{,\ }\hlstd{s15y}\hlsym{=}\hlstd{}\hlnum{0.055175}\hlstd{}\hlsym{)}\hspace*{\fill}\\
+\hlstd{curves\ }\hlsym{$<${-}\ }\hlstd{DiscountCurve}\hlsym{(}\hlstd{params}\hlsym{,\ }\hlstd{tsQuotes}\hlsym{)}\hlstd{}\hspace*{\fill}\\
+\mbox{}
+\normalfont
+\end{frame}
+
\begin{frame}[fragile]
\frametitle{Fixed Income in RQuantLib}
\framesubtitle{Examples: Curve fitting}
@@ -168,8 +196,37 @@
\end{itemize}
\end{frame}
+\begin{frame}
+ \frametitle{Fixed Income in RQuantLib}
+ \framesubtitle{Examples: Curve fitting}
+\pagecolor{bgcolor}
+\noindent
+\ttfamily
+\hlstd{lengths\ }\hlsym{$<${-}\ }\hlstd{}\hlkwc{c}\hlstd{}\hlsym{(}\hlstd{}\hlnum{2}\hlstd{}\hlsym{,}\hlstd{}\hlnum{4}\hlstd{}\hlsym{,}\hlstd{}\hlnum{6}\hlstd{}\hlsym{,}\hlstd{}\hlnum{8}\hlstd{}\hlsym{,}\hlstd{}\hlnum{10}\hlstd{}\hlsym{,}\hlstd{}\hlnum{12}\hlstd{}\hlsym{,}\hlstd{}\hlnum{14}\hlstd{}\hlsym{,}\hlstd{}\hlnum{16}\hlstd{}\hlsym{,}\hlstd{}\hlnum{18}\hlstd{}\hlsym{,}\hspace*{\fill}\\
+\hlstd{}\hlstd{\ \ \ \ \ \ \ \ \ \ \ \ \ }\hlstd{}\hlnum{20}\hlstd{}\hlsym{,}\hlstd{}\hlnum{22}\hlstd{}\hlsym{,}\hlstd{}\hlnum{24}\hlstd{}\hlsym{,}\hlstd{}\hlnum{26}\hlstd{}\hlsym{,}\hlstd{}\hlnum{28}\hlstd{}\hlsym{,}\hlstd{}\hlnum{30}\hlstd{}\hlsym{)}\hspace*{\fill}\\
+\hlstd{coupons\ }\hlsym{$<${-}\ }\hlstd{}\hlkwc{c}\hlstd{}\hlsym{(}\hlstd{}\hlnum{0.0200}\hlstd{}\hlsym{,\ }\hlstd{}\hlnum{0.0225}\hlstd{}\hlsym{,\ }\hlstd{}\hlnum{0.0250}\hlstd{}\hlsym{,\ }\hlstd{}\hlnum{0.0275}\hlstd{}\hlsym{,}\hspace*{\fill}\\
+\hlstd{}\hlstd{\ \ \ \ \ \ \ \ \ \ \ \ \ }\hlstd{}\hlnum{0.0300}\hlstd{}\hlsym{,\ }\hlstd{}\hlnum{0.0325}\hlstd{}\hlsym{,\ }\hlstd{}\hlnum{0.0350}\hlstd{}\hlsym{,\ }\hlstd{}\hlnum{0.0375}\hlstd{}\hlsym{,}\hspace*{\fill}\\
+\hlstd{}\hlstd{\ \ \ \ \ \ \ \ \ \ \ \ \ }\hlstd{}\hlnum{0.0400}\hlstd{}\hlsym{,\ }\hlstd{}\hlnum{0.0425}\hlstd{}\hlsym{,\ }\hlstd{}\hlnum{0.0450}\hlstd{}\hlsym{,\ }\hlstd{}\hlnum{0.0475}\hlstd{}\hlsym{,}\hspace*{\fill}\\
+\hlstd{}\hlstd{\ \ \ \ \ \ \ \ \ \ \ \ \ }\hlstd{}\hlnum{0.0500}\hlstd{}\hlsym{,\ }\hlstd{}\hlnum{0.0525}\hlstd{}\hlsym{,\ }\hlstd{}\hlnum{0.0550\ }\hlstd{}\hlsym{)}\hspace*{\fill}\\
+\hlstd{marketQuotes\ }\hlsym{$<${-}\ }\hlstd{}\hlkwc{rep}\hlstd{}\hlsym{(}\hlstd{}\hlnum{100}\hlstd{}\hlsym{,\ }\hlstd{}\hlkwc{length}\hlstd{}\hlsym{(}\hlstd{lengths}\hlsym{))}\hspace*{\fill}\\
+\hlstd{dateparams\ }\hlsym{$<${-}\ }\hlstd{}\hlkwc{list}\hlstd{}\hlsym{(}\hlstd{settlementDays}\hlsym{=}\hlstd{}\hlnum{0}\hlstd{}\hlsym{,}\hspace*{\fill}\\
+\hlstd{}\hlstd{\ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ }\hlstd{period}\hlsym{=}\hlstd{}\hlstr{"Annual"}\hlstd{}\hlsym{,}\hspace*{\fill}\\
+\hlstd{}\hlstd{\ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ }\hlstd{dayCounter}\hlsym{=}\hlstd{}\hlstr{"ActualActual"}\hlstd{}\hlsym{,}\hspace*{\fill}\\
+\hlstd{}\hlstd{\ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ }\hlstd{businessDayConvention}\hlsym{=}\hlstd{}\hlstr{"Unadjusted"}\hlstd{}\hlsym{)}\hspace*{\fill}\\
+\hlstd{curveparams\ }\hlsym{$<${-}\ }\hlstd{}\hlkwc{list}\hlstd{}\hlsym{(}\hlstd{method}\hlsym{=}\hlstd{}\hlstr{"ExponentialSplinesFitting"}\hlstd{}\hlsym{,}\hspace*{\fill}\\
+\hlstd{}\hlstd{\ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ }\hlstd{origDate\ }\hlsym{=\ }\hlstd{}\hlkwc{Sys.Date}\hlstd{}\hlsym{())}\hspace*{\fill}\\
+\hlstd{}\hlkwc{curve\ }\hlstd{}\hlsym{$<${-}\ }\hlstd{FittedBondCurve}\hlsym{(}\hlstd{curveparams}\hlsym{,\ }\hlstd{lengths}\hlsym{,}\hspace*{\fill}\\
+\hlstd{}\hlstd{\ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ }\hlstd{coupons}\hlsym{,\ }\hlstd{marketQuotes}\hlsym{,}\hspace*{\fill}\\
+\hlstd{}\hlstd{\ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ }\hlstd{dateparams}\hlsym{)}\hspace*{\fill}\\
+\hlstd{}\hlkwc{library}\hlstd{}\hlsym{(}\hlstd{zoo}\hlsym{)}\hspace*{\fill}\\
+\hlstd{z\ }\hlsym{$<${-}\ }\hlstd{zoo}\hlsym{(}\hlstd{}\hlkwc{curve}\hlstd{\$}\hlkwc{table}\hlstd{\$zeroRates}\hlsym{,\ }\hlstd{order.by}\hlsym{=}\hlstd{}\hlkwc{curve}\hlstd{\$}\hlkwc{table}\hlstd{\$}\hlkwc{date}\hlstd{}\hlsym{)}\hspace*{\fill}\\
+\hlstd{}\hlkwc{plot}\hlstd{}\hlsym{(}\hlstd{z}\hlsym{)}\hlstd{}\hspace*{\fill}\\
+\mbox{}
+\normalfont
+\end{frame}
+
\begin{frame}[fragile]
\frametitle{Fixed Income in RQuantLib}
\framesubtitle{Examples: Curve fitting}
@@ -196,6 +253,33 @@
\end{itemize}
\end{frame}
+\begin{frame}
+ \frametitle{Fixed Income in RQuantLib}
+ \framesubtitle{Examples: Bond pricing}
+\pagecolor{bgcolor}
+\noindent
+\ttfamily
+\hlstd{fixingDays\ }\hlsym{$<${-}\ }\hlstd{}\hlnum{3}\hspace*{\fill}\\
+\hlstd{settlementDays\ }\hlsym{$<${-}\ }\hlstd{}\hlnum{3}\hspace*{\fill}\\
+\hlstd{settlementDate\ }\hlsym{$<${-}\ }\hlstd{}\hlkwc{as.Date}\hlstd{}\hlsym{(}\hlstd{}\hlstr{'2008{-}09{-}18'}\hlstd{}\hlsym{)}\hspace*{\fill}\\
+\hlstd{todaysDate\ }\hlsym{$<${-}\ }\hlstd{settlementDate\ }\hlsym{{-}\ }\hlstd{fixingDays}\hspace*{\fill}\\
+\hlslc{\#begin\ to\ set\ up\ bond\ discounting\ term\ structure}\hspace*{\fill}\\
+\hlstd{lengths\ }\hlsym{$<${-}\ }\hlstd{}\hlkwc{c}\hlstd{}\hlsym{(}\hlstd{}\hlnum{5}\hlstd{}\hlsym{,\ }\hlstd{}\hlnum{6}\hlstd{}\hlsym{,\ }\hlstd{}\hlnum{7}\hlstd{}\hlsym{,\ }\hlstd{}\hlnum{16}\hlstd{}\hlsym{,\ }\hlstd{}\hlnum{48}\hlstd{}\hlsym{)}\hspace*{\fill}\\
+\hlstd{coupons\ }\hlsym{$<${-}\ }\hlstd{}\hlkwc{c}\hlstd{}\hlsym{(}\hlstd{}\hlnum{0.02375}\hlstd{}\hlsym{,\ }\hlstd{}\hlnum{0.04625}\hlstd{}\hlsym{,\ }\hlstd{}\hlnum{0.03125}\hlstd{}\hlsym{,}\hspace*{\fill}\\
+\hlstd{}\hlstd{\ \ \ \ \ \ \ \ \ \ \ \ \ }\hlstd{}\hlnum{0.04000}\hlstd{}\hlsym{,\ }\hlstd{}\hlnum{0.04500}\hlstd{}\hlsym{)}\hspace*{\fill}\\
+\hlstd{marketQuotes\ }\hlsym{$<${-}\ }\hlstd{}\hlkwc{c}\hlstd{}\hlsym{(}\hlstd{}\hlnum{100.390625}\hlstd{}\hlsym{,\ }\hlstd{}\hlnum{106.21875}\hlstd{}\hlsym{,}\hspace*{\fill}\\
+\hlstd{}\hlstd{\ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ }\hlstd{}\hlnum{100.59375}\hlstd{}\hlsym{,\ }\hlstd{}\hlnum{101.6875}\hlstd{}\hlsym{,\ }\hlstd{}\hlnum{102.140625}\hlstd{}\hlsym{)}\hspace*{\fill}\\
+\hlstd{dateparams\ }\hlsym{$<${-}\ }\hlstd{}\hlkwc{list}\hlstd{}\hlsym{(}\hlstd{settlementDays}\hlsym{=}\hlstd{settlementDays}\hlsym{,}\hspace*{\fill}\\
+\hlstd{}\hlstd{\ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ }\hlstd{period}\hlsym{=}\hlstd{}\hlnum{2}\hlstd{}\hlsym{,\ }\hlstd{dayCounter}\hlsym{=}\hlstd{}\hlstr{"ActualActual"}\hlstd{}\hlsym{,}\hspace*{\fill}\\
+\hlstd{}\hlstd{\ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ }\hlstd{businessDayConvention\ }\hlsym{=}\hlstd{}\hlstr{"Unadjusted"}\hlstd{}\hlsym{)}\hspace*{\fill}\\
+\hlstd{curveparams\ }\hlsym{$<${-}\ }\hlstd{}\hlkwc{list}\hlstd{}\hlsym{(}\hlstd{method}\hlsym{=}\hlstd{}\hlstr{"ExponentialSplinesFitting"}\hlstd{}\hlsym{,}\hspace*{\fill}\\
+\hlstd{}\hlstd{\ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ }\hlstd{origDate}\hlsym{=}\hlstd{todaysDate}\hlsym{)}\hspace*{\fill}\\
+\hlstd{bondDsctTsr\ }\hlsym{$<${-}\ }\hlstd{FittedBondCurve}\hlsym{(}\hlstd{curveparams}\hlsym{,\ }\hlstd{lengths}\hlsym{,}\hspace*{\fill}\\
+\hlstd{}\hlstd{\ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ }\hlstd{coupons}\hlsym{,\ }\hlstd{marketQuotes}\hlsym{,}\hspace*{\fill}\\
+\hlstd{}\hlstd{\ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ }\hlstd{dateparams}\hlsym{)}\hlstd{}\hspace*{\fill}\\
+\mbox{}
+\normalfont
+\end{frame}
\begin{frame}[fragile]
\frametitle{Fixed Income in RQuantLib}
\framesubtitle{Examples: Bond pricing}
@@ -225,6 +309,29 @@
\end{lstlisting}
\end{frame}
+\begin{frame}
+ \frametitle{Fixed Income in RQuantLib}
+ \framesubtitle{Examples: Bond pricing}
+\pagecolor{bgcolor}
+\noindent
+\ttfamily
+\hlstd{}\hlslc{\#begin\ to\ set\ up\ swap\ term\ structure}\hspace*{\fill}\\
+\hlstd{swp.tsr.params\ }\hlsym{$<${-}\ }\hlstd{}\hlkwc{list}\hlstd{}\hlsym{(}\hlstd{tradeDate}\hlsym{=}\hlstd{todaysDate}\hlsym{,}\hspace*{\fill}\\
+\hlstd{}\hlstd{\ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ }\hlstd{settleDate}\hlsym{=}\hlstd{todaysDate}\hlsym{+}\hlstd{}\hlnum{2}\hlstd{}\hlsym{,}\hspace*{\fill}\\
+\hlstd{}\hlstd{\ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ }\hlstd{}\hlkwc{dt}\hlstd{}\hlsym{=}\hlstd{}\hlnum{0.25}\hlstd{}\hlsym{,}\hspace*{\fill}\\
+\hlstd{}\hlstd{\ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ }\hlstd{interpWhat}\hlsym{=}\hlstd{}\hlstr{"discount"}\hlstd{}\hlsym{,}\hspace*{\fill}\\
+\hlstd{}\hlstd{\ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ }\hlstd{interpHow}\hlsym{=}\hlstd{}\hlstr{"loglinear"}\hlstd{}\hlsym{)}\hspace*{\fill}\\
+\hlstd{market.quotes\ }\hlsym{$<${-}\ }\hlstd{}\hlkwc{list}\hlstd{}\hlsym{(}\hlstd{d1w}\hlsym{=}\hlstd{}\hlnum{0.043375}\hlstd{}\hlsym{,\ }\hlstd{d1m}\hlsym{=}\hlstd{}\hlnum{0.031875}\hlstd{}\hlsym{,}\hspace*{\fill}\\
+\hlstd{}\hlstd{\ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ }\hlstd{d3m}\hlsym{=}\hlstd{}\hlnum{0.0320375}\hlstd{}\hlsym{,\ }\hlstd{d6m}\hlsym{=}\hlstd{}\hlnum{0.03385}\hlstd{}\hlsym{,}\hspace*{\fill}\\
+\hlstd{}\hlstd{\ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ }\hlstd{d9m}\hlsym{=}\hlstd{}\hlnum{0.0338125}\hlstd{}\hlsym{,\ }\hlstd{d1y}\hlsym{=}\hlstd{}\hlnum{0.0335125}\hlstd{}\hlsym{,}\hspace*{\fill}\\
+\hlstd{}\hlstd{\ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ }\hlstd{s2y}\hlsym{=}\hlstd{}\hlnum{0.0295}\hlstd{}\hlsym{,\ }\hlstd{s3y}\hlsym{=}\hlstd{}\hlnum{0.0323}\hlstd{}\hlsym{,}\hspace*{\fill}\\
+\hlstd{}\hlstd{\ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ }\hlstd{s5y}\hlsym{=}\hlstd{}\hlnum{0.0359}\hlstd{}\hlsym{,\ }\hlstd{s10y}\hlsym{=}\hlstd{}\hlnum{0.0412}\hlstd{}\hlsym{,}\hspace*{\fill}\\
+\hlstd{}\hlstd{\ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ }\hlstd{s15y}\hlsym{=}\hlstd{}\hlnum{0.0433}\hlstd{}\hlsym{)}\hspace*{\fill}\\
+\hlstd{depoSwpTsr\ }\hlsym{$<${-}\ }\hlstd{DiscountCurve}\hlsym{(}\hlstd{swp.tsr.params}\hlsym{,\ }\hlstd{market.quotes}\hlsym{)}\hlstd{}\hspace*{\fill}\\
+\mbox{}
+\normalfont
+\end{frame}
+
\begin{frame}[fragile]
\frametitle{Fixed Income in RQuantLib}
\framesubtitle{Examples: Bond pricing}
@@ -251,9 +358,58 @@
\end{lstlisting}
\end{frame}
+
\begin{frame}[fragile]
\frametitle{Fixed Income in RQuantLib}
\framesubtitle{Examples: Bond pricing}
+\pagecolor{bgcolor}
+\noindent
+\ttfamily
+\hlstd{}\hlslc{\#Zero{-}Coupon\ Bond}\hspace*{\fill}\\
+\hlstd{zc.bond.param\ }\hlsym{$<${-}\ }\hlstd{}\hlkwc{list}\hlstd{}\hlsym{(}\hspace*{\fill}\\
+\hlstd{}\hlstd{\ \ \ \ \ \ \ \ \ \ \ \ \ \ }\hlstd{maturityDate}\hlsym{=}\hlstd{}\hlkwc{as.Date}\hlstd{}\hlsym{(}\hlstd{}\hlstr{'2013{-}08{-}15'}\hlstd{}\hlsym{),}\hspace*{\fill}\\
+\hlstd{}\hlstd{\ \ \ \ \ \ \ \ \ \ \ \ \ \ }\hlstd{issueDate}\hlsym{=}\hlstd{}\hlkwc{as.Date}\hlstd{}\hlsym{(}\hlstd{}\hlstr{'2003{-}08{-}15'}\hlstd{}\hlsym{),}\hspace*{\fill}\\
+\hlstd{}\hlstd{\ \ \ \ \ \ \ \ \ \ \ \ \ \ }\hlstd{redemption}\hlsym{=}\hlstd{}\hlnum{116.92}\hlstd{}\hlsym{)}\hspace*{\fill}\\
+\hlstd{zc.bond.dateparam\ }\hlsym{$<${-}\ }\hlstd{}\hlkwc{list}\hlstd{}\hlsym{(}\hspace*{\fill}\\
+\hlstd{}\hlstd{\ \ \ \ \ \ \ \ \ \ \ \ \ \ }\hlstd{refDate}\hlsym{=}\hlstd{todaysDate}\hlsym{,}\hspace*{\fill}\\
+\hlstd{}\hlstd{\ \ \ \ \ \ \ \ \ \ \ \ \ \ }\hlstd{settlementDays}\hlsym{=}\hlstd{settlementDays}\hlsym{,}\hspace*{\fill}\\
+\hlstd{}\hlstd{\ \ \ \ \ \ \ \ \ \ \ \ \ \ }\hlstd{businessDayConvention}\hlsym{=}\hlstd{}\hlstr{'Following'}\hlstd{}\hlsym{)}\hspace*{\fill}\\
+\hlstd{ZeroCouponBond}\hlsym{(}\hlstd{zc.bond.param}\hlsym{,}\hspace*{\fill}\\
+\hlstd{}\hlstd{\ \ \ \ \ \ \ \ \ \ \ \ \ \ \ }\hlstd{bondDsctTsr}\hlsym{,}\hspace*{\fill}\\
+\hlstd{}\hlstd{\ \ \ \ \ \ \ \ \ \ \ \ \ \ \ }\hlstd{zc.bond.dateparam}\hlsym{)}\hlstd{}\hspace*{\fill}\\
+\mbox{}
+\normalfont
+\end{frame}
+\begin{frame}[fragile]
+ \frametitle{Fixed Income in RQuantLib}
+ \framesubtitle{Examples: Bond pricing}
+\pagecolor{bgcolor}
+\noindent
+\ttfamily
+\hlstd{}\hlslc{\#Fixed{-}Coupon\ Bond}\hspace*{\fill}\\
+\hlstd{fixed.bond.param\ }\hlsym{$<${-}\ }\hlstd{}\hlkwc{list}\hlstd{}\hlsym{(}\hspace*{\fill}\\
+\hlstd{}\hlstd{\ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ }\hlstd{maturityDate}\hlsym{=}\hlstd{}\hlkwc{as.Date}\hlstd{}\hlsym{(}\hlstd{}\hlstr{'2017{-}05{-}15'}\hlstd{}\hlsym{),}\hspace*{\fill}\\
+\hlstd{}\hlstd{\ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ }\hlstd{issueDate}\hlsym{=}\hlstd{}\hlkwc{as.Date}\hlstd{}\hlsym{(}\hlstd{}\hlstr{'2007{-}05{-}15'}\hlstd{}\hlsym{),}\hspace*{\fill}\\
+\hlstd{}\hlstd{\ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ }\hlstd{redemption}\hlsym{=}\hlstd{}\hlnum{100}\hlstd{}\hlsym{,}\hspace*{\fill}\\
+\hlstd{}\hlstd{\ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ }\hlstd{effectiveDate}\hlsym{=}\hlstd{}\hlkwc{as.Date}\hlstd{}\hlsym{(}\hlstd{}\hlstr{'2007{-}05{-}15'}\hlstd{}\hlsym{))}\hspace*{\fill}\\
+\hlstd{fixed.bond.dateparam\ }\hlsym{$<${-}\ }\hlstd{}\hlkwc{list}\hlstd{}\hlsym{(}\hspace*{\fill}\\
+\hlstd{}\hlstd{\ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ }\hlstd{settlementDays}\hlsym{=}\hlstd{settlementDays}\hlsym{,}\hspace*{\fill}\\
+\hlstd{}\hlstd{\ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ }\hlstd{dayCounter}\hlsym{=}\hlstd{}\hlstr{'ActualActual'}\hlstd{}\hlsym{,}\hspace*{\fill}\\
+\hlstd{}\hlstd{\ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ }\hlstd{period}\hlsym{=}\hlstd{}\hlstr{'Semiannual'}\hlstd{}\hlsym{,}\hspace*{\fill}\\
+\hlstd{}\hlstd{\ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ }\hlstd{businessDayConvention}\hlsym{=}\hlstd{}\hlstr{'Unadjusted'}\hlstd{}\hlsym{,}\hspace*{\fill}\\
+\hlstd{}\hlstd{\ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ }\hlstd{terminationDateConvention}\hlsym{=}\hlstd{}\hlstr{'Unadjusted'}\hlstd{}\hlsym{,}\hspace*{\fill}\\
+\hlstd{}\hlstd{\ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ }\hlstd{dateGeneration}\hlsym{=}\hlstd{}\hlstr{'Backward'}\hlstd{}\hlsym{,}\hspace*{\fill}\\
+\hlstd{}\hlstd{\ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ }\hlstd{endOfMonth}\hlsym{=}\hlstd{}\hlnum{0}\hlstd{}\hlsym{)}\hspace*{\fill}\\
+\hlstd{fixed.bond.coupon\ }\hlsym{$<${-}\ }\hlstd{}\hlkwc{c}\hlstd{}\hlsym{(}\hlstd{}\hlnum{0.045}\hlstd{}\hlsym{)}\hspace*{\fill}\\
+\hlstd{FixedRateBond}\hlsym{(}\hlstd{fixed.bond.param}\hlsym{,\ }\hlstd{fixed.bond.coupon}\hlsym{,}\hspace*{\fill}\\
+\hlstd{}\hlstd{\ \ \ \ \ \ \ \ \ \ \ \ \ \ }\hlstd{bondDsctTsr}\hlsym{,\ }\hlstd{fixed.bond.dateparam}\hlsym{)}\hlstd{}\hspace*{\fill}\\
+\mbox{}
+\normalfont
+\end{frame}
+
+\begin{frame}[fragile]
+ \frametitle{Fixed Income in RQuantLib}
+ \framesubtitle{Examples: Bond pricing}
\lstset{language=R,basicstyle=\tiny}
\begin{lstlisting}
#Zero-Coupon Bond
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