[Rquantlib-commits] r183 - papers/rinfinance2010
noreply at r-forge.r-project.org
noreply at r-forge.r-project.org
Mon Mar 8 14:54:45 CET 2010
Author: knguyen
Date: 2010-03-08 14:54:45 +0100 (Mon, 08 Mar 2010)
New Revision: 183
Added:
papers/rinfinance2010/cbspread.png
papers/rinfinance2010/matlab_cbond.png
Modified:
papers/rinfinance2010/rquantlib_slides.tex
Log:
cbond example to the slides
Added: papers/rinfinance2010/cbspread.png
===================================================================
(Binary files differ)
Property changes on: papers/rinfinance2010/cbspread.png
___________________________________________________________________
Name: svn:mime-type
+ application/octet-stream
Added: papers/rinfinance2010/matlab_cbond.png
===================================================================
(Binary files differ)
Property changes on: papers/rinfinance2010/matlab_cbond.png
___________________________________________________________________
Name: svn:mime-type
+ application/octet-stream
Modified: papers/rinfinance2010/rquantlib_slides.tex
===================================================================
--- papers/rinfinance2010/rquantlib_slides.tex 2010-03-03 20:30:20 UTC (rev 182)
+++ papers/rinfinance2010/rquantlib_slides.tex 2010-03-08 13:54:45 UTC (rev 183)
@@ -99,7 +99,7 @@
\framesubtitle{Quick overview}
\begin{itemize}
\item Fixed Income functions are added during the summer of 2009 as part of the Google Summer of Code program. \pause
- \item RQuantLib is the only package with fixed income pricing functions. The other fixed income packages (termstrc, YieldCurve, fBonds) focus mostly on modelling term structure.
+ \item RQuantLib offeres strong support for fixed income pricing whereas several other packages (e.g. termstrc, YieldCurve, fBonds) focus on modelling term structure.
\pause
\item The functions aim to support two primary tasks: pricing and curve fitting.
\end{itemize}
@@ -137,6 +137,7 @@
\item Convertible Floating Rate Bond
\item Callable Bond
\end{itemize}
+ \item The bonds available in QuantLib that yet are implemented are AmortizingCmsRateBond, AmortizingFixedRateBond, AmortizingFloatingRateBond, CallableFixedRateBond, CmsRateBond.
\end{itemize}
\end{frame}
@@ -433,8 +434,155 @@
\end{lstlisting}
\end{frame}
+\begin{frame}[fragile]
+ \frametitle{Fixed Income in RQuantLib}
+ \framesubtitle{Examples: Perform a spread effect analysis of a 4\%-coupon convertible bond callable at 110 at the end of the second year, maturing at par in 5 years, with yield to maturity of 5\% and spread (of YTM versus 5-year treasury) of 0, 50, 100, and 150 basis points. The underlying stock pays no dividend.}
+\lstset{language=Matlab,basicstyle=\tiny, flexiblecolumns=true}
+ \begin{lstlisting}[multicolumns=2]
+RiskFreeRate = 0.05;
+Sigma = 0.3;
+ConvRatio = 1;
+NumSteps = 200;
+IssueDate = datenum('2-Jan-2002');
+Settle = datenum('2-Jan-2002');
+Maturity = datenum('2-Jan-2007');
+CouponRate = 0.04;
+Period = 2;
+Basis = 1;
+EndMonthRule = 1;
+DividendType = 0;
+DividendInfo = [];
+CallInfo = [datenum('2-Jan-2004'), 110];
+CallType = 1;
+TreeType = 1;
+% Nested loop accross prices and static spread dimensions
+% to compute convertible prices.
+for j = 0:0.005:0.015;
+StaticSpread = j;
+ for i = 0:10:100
+ Price = 40+i;
+ [CbMatrix, UndMatrix, DebtMatrix, EqtyMatrix] = ...
+ cbprice(RiskFreeRate, StaticSpread, Sigma, Price, ...
+ ConvRatio, NumSteps, IssueDate, Settle, ...
+ Maturity, CouponRate, Period, Basis, EndMonthRule, ...
+ DividendType, DividendInfo, CallType, CallInfo, ...
+ TreeType);
+
+ convprice(i/10+1,j*200+1) = CbMatrix(1,1);
+ stock(i/10+1,j*200+1) = Price;
+ end
+end
+
+ plot(stock, convprice);
+ legend({'+0 bp'; '+50 bp'; '+100 bp'; '+150 bp'});
+ title ('Effect of Spread using Trinomial tree - 200 steps')
+ xlabel('Stock Price');
+ ylabel('Convertible Price');
+ text(50, 150, ['Coupon 4% semiannual.', sprintf('\n'), ...
+ '110 Call-on-clean after two years.' sprintf('\n'), ...
+ 'Maturing at par in five years.'],'fontweight','Bold')
+ \end{lstlisting}
+\end{frame}
+\begin{frame}
+\begin{center}
+\resizebox{75mm}{!}{\includegraphics{cbspread.png}}
+\end{center}
+\end{frame}
+
+\begin{frame}
+\scriptsize
+\pagecolor{bgcolor}
+\noindent
+\ttfamily
+\hlstd{params\ }\hlsym{$<${-}\ }\hlstd{}\hlkwc{list}\hlstd{}\hlsym{(}\hlstd{tradeDate}\hlsym{=}\hlstd{}\hlkwc{as.Date}\hlstd{}\hlsym{(}\hlstd{}\hlstr{'2002{-}01{-}02'}\hlstd{}\hlsym{),}\hspace*{\fill}\\
+\hlstd{}\hlstd{\ \ \ \ \ \ \ \ \ \ \ \ \ \ \ }\hlstd{settleDate}\hlsym{=}\hlstd{}\hlkwc{as.Date}\hlstd{}\hlsym{(}\hlstd{}\hlstr{'2002{-}01{-}02'}\hlstd{}\hlsym{),}\hspace*{\fill}\\
+\hlstd{}\hlstd{\ \ \ \ \ \ \ \ \ \ \ \ \ \ \ }\hlstd{}\hlkwc{dt}\hlstd{}\hlsym{=}\hlstd{}\hlnum{.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{times\ }\hlsym{$<${-}\ }\hlstd{}\hlkwc{seq}\hlstd{}\hlsym{(}\hlstd{}\hlnum{0}\hlstd{}\hlsym{,}\hlstd{}\hlnum{10}\hlstd{}\hlsym{,}\hlstd{}\hlnum{.1}\hlstd{}\hlsym{)}\hspace*{\fill}\\
+\hlstd{\hspace*{\fill}\\
+RiskFreeRate\ }\hlsym{$<${-}\ }\hlstd{DiscountCurve}\hlsym{(}\hlstd{params}\hlsym{,\ }\hlstd{}\hlkwc{list}\hlstd{}\hlsym{(}\hlstd{flat}\hlsym{=}\hlstd{}\hlnum{0.05}\hlstd{}\hlsym{),}\hspace*{\fill}\\
+\hlstd{}\hlstd{\ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ }\hlstd{times}\hlsym{)}\hspace*{\fill}\\
+\hlstd{Sigma\ }\hlsym{$<${-}\ }\hlstd{}\hlnum{0.3}\hspace*{\fill}\\
+\hlstd{ConvRatio\ }\hlsym{$<${-}\ }\hlstd{}\hlnum{1}\hspace*{\fill}\\
+\hlstd{issueDate\ }\hlsym{$<${-}\ }\hlstd{}\hlkwc{as.Date}\hlstd{}\hlsym{(}\hlstd{}\hlstr{'2002{-}01{-}02'}\hlstd{}\hlsym{)}\hspace*{\fill}\\
+\hlstd{settleDate\ }\hlsym{$<${-}\ }\hlstd{}\hlkwc{as.Date}\hlstd{}\hlsym{(}\hlstd{}\hlstr{'2002{-}01{-}02'}\hlstd{}\hlsym{)}\hspace*{\fill}\\
+\hlstd{maturityDate\ }\hlsym{$<${-}\ }\hlstd{}\hlkwc{as.Date}\hlstd{}\hlsym{(}\hlstd{}\hlstr{'2007{-}01{-}02'}\hlstd{}\hlsym{)}\hspace*{\fill}\\
+\hlstd{dividendYield\ }\hlsym{$<${-}\ }\hlstd{DiscountCurve}\hlsym{(}\hlstd{params}\hlsym{,\ }\hlstd{}\hlkwc{list}\hlstd{}\hlsym{(}\hlstd{flat}\hlsym{=}\hlstd{}\hlnum{0.01}\hlstd{}\hlsym{),}\hspace*{\fill}\\
+\hlstd{}\hlstd{\ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ }\hlstd{times}\hlsym{)}\hspace*{\fill}\\
+\hlstd{dividendSchedule\ }\hlsym{$<${-}\ }\hlstd{}\hlkwc{data.frame}\hlstd{}\hlsym{(}\hlstd{Type}\hlsym{=}\hlstd{}\hlkwc{character}\hlstd{}\hlsym{(}\hlstd{}\hlnum{0}\hlstd{}\hlsym{),}\hspace*{\fill}\\
+\hlstd{}\hlstd{\ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ }\hlstd{Amount}\hlsym{=}\hlstd{}\hlkwc{numeric}\hlstd{}\hlsym{(}\hlstd{}\hlnum{0}\hlstd{}\hlsym{),}\hspace*{\fill}\\
+\hlstd{}\hlstd{\ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ }\hlstd{Rate}\hlsym{=}\hlstd{}\hlkwc{numeric}\hlstd{}\hlsym{(}\hlstd{}\hlnum{0}\hlstd{}\hlsym{),}\hspace*{\fill}\\
+\hlstd{}\hlstd{\ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ }\hlstd{Date}\hlsym{=}\hlstd{}\hlkwc{as.Date}\hlstd{}\hlsym{(}\hlstd{}\hlkwc{character}\hlstd{}\hlsym{(}\hlstd{}\hlnum{0}\hlstd{}\hlsym{)))}\hspace*{\fill}\\
+\hlstd{callabilitySchedule\ }\hlsym{$<${-}\ }\hlstd{}\hlkwc{data.frame}\hlstd{}\hlsym{(}\hlstd{Price}\hlsym{=}\hlstd{}\hlnum{110}\hlstd{}\hlsym{,\ }\hlstd{Type}\hlsym{=}\hlstd{}\hlnum{0}\hlstd{}\hlsym{,}\hspace*{\fill}\\
+\hlstd{}\hlstd{\ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ }\hlstd{Date}\hlsym{=}\hlstd{}\hlkwc{as.Date}\hlstd{}\hlsym{(}\hlstd{}\hlstr{'2004{-}01{-}02'}\hlstd{}\hlsym{))}\hspace*{\fill}\\
+\hlstd{process\ }\hlsym{$<${-}\ }\hlstd{}\hlkwc{list}\hlstd{}\hlsym{(}\hlstd{underlying}\hlsym{=}\hlstd{}\hlnum{40}\hlstd{}\hlsym{,\ }\hlstd{divYield}\hlsym{=}\hlstd{dividendYield}\hlsym{,}\hspace*{\fill}\\
+\hlstd{}\hlstd{\ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ }\hlstd{rff}\hlsym{=}\hlstd{RiskFreeRate}\hlsym{,\ }\hlstd{volatility}\hlsym{=}\hlstd{Sigma}\hlsym{)}\hspace*{\fill}\\
+\hlstd{\hspace*{\fill}\\
+bondparams\ }\hlsym{$<${-}\ }\hlstd{}\hlkwc{list}\hlstd{}\hlsym{(}\hlstd{exercise}\hlsym{=}\hlstd{}\hlstr{"eu"}\hlstd{}\hlsym{,\ }\hlstd{faceAmount}\hlsym{=}\hlstd{}\hlnum{100}\hlstd{}\hlsym{,}\hspace*{\fill}\\
+\hlstd{}\hlstd{\ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ }\hlstd{divSch}\hlsym{=}\hlstd{dividendSchedule}\hlsym{,}\hspace*{\fill}\\
+\hlstd{}\hlstd{\ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ }\hlstd{callSch}\hlsym{=}\hlstd{callabilitySchedule}\hlsym{,}\hspace*{\fill}\\
+\hlstd{}\hlstd{\ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ }\hlstd{redemption}\hlsym{=}\hlstd{}\hlnum{100}\hlstd{}\hlsym{,}\hspace*{\fill}\\
+\hlstd{}\hlstd{\ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ }\hlstd{creditSpread}\hlsym{=}\hlstd{}\hlnum{0.005}\hlstd{}\hlsym{,}\hspace*{\fill}\\
+\hlstd{}\hlstd{\ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ }\hlstd{conversionRatio}\hlsym{=}\hlstd{ConvRatio}\hlsym{,}\hspace*{\fill}\\
+\hlstd{}\hlstd{\ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ }\hlstd{issueDate}\hlsym{=}\hlstd{issueDate}\hlsym{,}\hspace*{\fill}\\
+\hlstd{}\hlstd{\ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ }\hlstd{maturityDate}\hlsym{=}\hlstd{maturityDate}\hlsym{)}\hlstd{}\hspace*{\fill}\\
+\mbox{}
+\normalfont
+\end{frame}
+\begin{frame}
+\scriptsize
+\pagecolor{bgcolor}
+\noindent
+\ttfamily
+\hlstd{\hspace*{\fill}\\
+dateparams\ }\hlsym{$<${-}\ }\hlstd{}\hlkwc{list}\hlstd{}\hlsym{(}\hlstd{settlementDays}\hlsym{=}\hlstd{}\hlnum{3}\hlstd{}\hlsym{,}\hspace*{\fill}\\
+\hlstd{}\hlstd{\ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ }\hlstd{dayCounter}\hlsym{=}\hlstd{}\hlstr{"Thirty360"}\hlstd{}\hlsym{,}\hspace*{\fill}\\
+\hlstd{}\hlstd{\ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ }\hlstd{period}\hlsym{=}\hlstd{}\hlstr{"Semiannual"}\hlstd{}\hlsym{,\ }\hlstd{calendar}\hlsym{=}\hlstd{}\hlstr{"us"}\hlstd{}\hlsym{,}\hspace*{\fill}\\
+\hlstd{}\hlstd{\ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ }\hlstd{businessDayConvention}\hlsym{=}\hlstd{}\hlstr{"Following"}\hlstd{}\hlsym{,}\hspace*{\fill}\\
+\hlstd{}\hlstd{\ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ }\hlstd{todayDate}\hlsym{=}\hlstd{issueDate}\hlsym{)}\hspace*{\fill}\\
+\hlstd{coupon\ }\hlsym{$<${-}\ }\hlstd{}\hlnum{0.04}\hspace*{\fill}\\
+\hlstd{\hspace*{\fill}\\
+ret\ }\hlsym{$<${-}\ }\hlstd{}\hlkwc{data.frame}\hlstd{}\hlsym{()}\hspace*{\fill}\\
+\hlstd{}\hlkwa{for\ }\hlstd{}\hlsym{(}\hlstd{s\ }\hlkwa{in\ }\hlstd{}\hlkwc{c}\hlstd{}\hlsym{(}\hlstd{}\hlnum{0}\hlstd{}\hlsym{,\ }\hlstd{}\hlnum{0.005}\hlstd{}\hlsym{,\ }\hlstd{}\hlnum{0.010}\hlstd{}\hlsym{,\ }\hlstd{}\hlnum{0.015}\hlstd{}\hlsym{))\{}\hspace*{\fill}\\
+\hlstd{\hspace*{\fill}\\
+}\hlstd{\ \ }\hlstd{x\ }\hlsym{$<${-}\ }\hlstd{}\hlkwc{c}\hlstd{}\hlsym{()}\hspace*{\fill}\\
+\hlstd{}\hlstd{\ \ }\hlstd{y\ }\hlsym{$<${-}\ }\hlstd{}\hlkwc{c}\hlstd{}\hlsym{()}\hspace*{\fill}\\
+\hlstd{}\hlstd{\ \ }\hlstd{i\ }\hlsym{$<${-}\ }\hlstd{}\hlnum{1}\hspace*{\fill}\\
+\hlstd{}\hlstd{\ \ }\hlstd{}\hlkwa{for\ }\hlstd{}\hlsym{(}\hlstd{p\ }\hlkwa{in\ }\hlstd{}\hlkwc{seq}\hlstd{}\hlsym{(}\hlstd{}\hlnum{0}\hlstd{}\hlsym{,\ }\hlstd{}\hlnum{100}\hlstd{}\hlsym{,\ }\hlstd{}\hlkwc{by\ }\hlstd{}\hlsym{=\ }\hlstd{}\hlnum{10}\hlstd{}\hlsym{))\ \{}\hspace*{\fill}\\
+\hlstd{}\hlstd{\ \ \ \ }\hlstd{process\$underlying\ }\hlsym{$<${-}\ }\hlstd{}\hlnum{40}\hlstd{}\hlsym{+}\hlstd{p\hspace*{\fill}\\
+}\hlstd{\ \ \ \ }\hlstd{bondparams\$creditSpread\ }\hlsym{$<${-}\ }\hlstd{s\hspace*{\fill}\\
+}\hlstd{\ \ \ \ }\hlstd{}\hlkwc{t\ }\hlstd{}\hlsym{$<${-}\ }\hlstd{ConvertibleFixedCouponBond}\hlsym{(}\hlstd{bondparams}\hlsym{,}\hspace*{\fill}\\
+\hlstd{}\hlstd{\ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ }\hlstd{coupon}\hlsym{,}\hspace*{\fill}\\
+\hlstd{}\hlstd{\ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ }\hlstd{process}\hlsym{,}\hspace*{\fill}\\
+\hlstd{}\hlstd{\ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ \ }\hlstd{dateparams}\hlsym{)}\hspace*{\fill}\\
+\hlstd{}\hlstd{\ \ \ \ }\hlstd{x}\hlsym{{[}}\hlstd{i}\hlsym{{]}\ $<${-}\ }\hlstd{p\ }\hlsym{+\ }\hlstd{}\hlnum{40}\hspace*{\fill}\\
+\hlstd{}\hlstd{\ \ \ \ }\hlstd{y}\hlsym{{[}}\hlstd{i}\hlsym{{]}\ $<${-}\ }\hlstd{}\hlkwc{t}\hlstd{\$cleanPrice\hspace*{\fill}\\
+}\hlstd{\ \ \ \ }\hlstd{i\ }\hlsym{$<${-}\ }\hlstd{i\ }\hlsym{+\ }\hlstd{}\hlnum{1}\hspace*{\fill}\\
+\hlstd{}\hlstd{\ \ }\hlstd{}\hlsym{\}}\hspace*{\fill}\\
+\hlstd{}\hlstd{\ \ }\hlstd{z\ }\hlsym{$<${-}\ }\hlstd{}\hlkwc{rep}\hlstd{}\hlsym{(}\hlstd{s}\hlsym{,\ }\hlstd{}\hlnum{11}\hlstd{}\hlsym{)}\hspace*{\fill}\\
+\hlstd{}\hlstd{\ \ }\hlstd{ret\ }\hlsym{$<${-}\ }\hlstd{}\hlkwc{rbind}\hlstd{}\hlsym{(}\hlstd{ret}\hlsym{,\ }\hlstd{}\hlkwc{data.frame}\hlstd{}\hlsym{(}\hlstd{Stock}\hlsym{=}\hlstd{x}\hlsym{,}\hlstd{ConvPrice}\hlsym{=}\hlstd{y}\hlsym{,}\hlstd{z}\hlsym{))}\hspace*{\fill}\\
+\hlstd{}\hlsym{\}}\hspace*{\fill}\\
+\hlstd{}\hlkwc{library}\hlstd{}\hlsym{(}\hlstd{ggplot2}\hlsym{)}\hspace*{\fill}\\
+\hlstd{p\ }\hlsym{$<${-}\ }\hlstd{ggplot}\hlsym{(}\hlstd{ret}\hlsym{,\ }\hlstd{aes}\hlsym{(}\hlstd{Stock}\hlsym{,}\hlstd{ConvPrice}\hlsym{,\ }\hlstd{colour}\hlsym{=}\hlstd{}\hlkwc{factor}\hlstd{}\hlsym{(}\hlstd{z}\hlsym{)))}\hspace*{\fill}\\
+\hlstd{p\ }\hlsym{+\ }\hlstd{geom\textunderscore line}\hlsym{()\ +\ }\hlstd{scale\textunderscore colour\textunderscore discrete}\hlsym{(}\hlstd{}\hlstr{"Spread"}\hlstd{}\hlsym{)}\hspace*{\fill}\\
+\hlstd{}\hlsym{+\ }\hlstd{opts}\hlsym{(}\hlstd{}\hlkwc{title}\hlstd{}\hlsym{=}\hlstd{}\hlstr{'Effect\ of\ spread\ on\ a\ convertible\ bond'}\hlstd{}\hlsym{)}\hspace*{\fill}\\
+\hlstd{}\hspace*{\fill}\\
+\hspace*{\fill}\\
+\hspace*{\fill}\\
+\mbox{}
+\normalfont
+\end{frame}
+
+\begin{frame}
+\begin{center}
+\resizebox{75mm}{!}{\includegraphics{matlab_cbond.png}}
+\end{center}
+
+\end{frame}
+
\end{document}
%%% Local Variables:
More information about the Rquantlib-commits
mailing list