[Rquantlib-commits] r208 - papers/rinfinance2010
noreply at r-forge.r-project.org
noreply at r-forge.r-project.org
Mon Mar 22 22:34:43 CET 2010
Author: knguyen
Date: 2010-03-22 22:34:42 +0100 (Mon, 22 Mar 2010)
New Revision: 208
Modified:
papers/rinfinance2010/rquantlib_slides.tex
Log:
fix font for example slides
Modified: papers/rinfinance2010/rquantlib_slides.tex
===================================================================
--- papers/rinfinance2010/rquantlib_slides.tex 2010-03-22 20:43:24 UTC (rev 207)
+++ papers/rinfinance2010/rquantlib_slides.tex 2010-03-22 21:34:42 UTC (rev 208)
@@ -1,6 +1,7 @@
%% add 'handout' option for handouts, and pgfpages for 2-on-1
%\documentclass[smaller,compress]{beamer}
\documentclass[compress]{beamer}
+
%\usepackage{pgfpages}
%\pgfpagesuselayout{2 on 1}[letterpaper,border shrink=5mm]
%\pgfpagesuselayout{4 on 1}[letterpaper,border shrink=5mm]
@@ -305,6 +306,7 @@
\vskip15pt
\pagecolor{bgcolor}
\noindent
+\scriptsize
\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}\\
@@ -328,11 +330,12 @@
\framesubtitle{Examples: Curve fitting with DiscountCurve function}
\pagecolor{bgcolor}
\noindent
+\scriptsize
\ttfamily
\hlstd{}\hlkwc{plot}\hlstd{}\hlsym{(}\hlstd{curves)}
\normalfont
\begin{center}
-\resizebox{75mm}{!}{\includegraphics{figures/discountCurve.png}}
+\resizebox{60mm}{!}{\includegraphics{figures/discountCurve.png}}
\end{center}
\end{frame}
@@ -376,6 +379,7 @@
\vskip5pt
\pagecolor{bgcolor}
\noindent
+\scriptsize
\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}\\
@@ -410,7 +414,7 @@
\hlstd{}\hlkwc{plot}\hlstd{}\hlsym{(}\hlstd{z, xlab='Date', ylab='Zero Rates')}
\normalfont
\begin{center}
-\resizebox{75mm}{!}{\includegraphics{figures/fittedBondCurve.png}}
+\resizebox{60mm}{!}{\includegraphics{figures/fittedBondCurve.png}}
\end{center}
\end{frame}
@@ -881,6 +885,7 @@
\vskip5pt
\pagecolor{bgcolor}
\noindent
+\scriptsize
\ttfamily
\hlstd{fixingDays\ }\hlsym{$<${-}\ }\hlstd{}\hlnum{3}\hspace*{\fill}\\
\hlstd{settlementDays\ }\hlsym{$<${-}\ }\hlstd{}\hlnum{3}\hspace*{\fill}\\
@@ -938,6 +943,7 @@
\framesubtitle{Examples: Bond pricing}
\pagecolor{bgcolor}
\noindent
+\scriptsize
\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}\\
@@ -988,6 +994,7 @@
\framesubtitle{Examples: Bond pricing}
\pagecolor{bgcolor}
\noindent
+\scriptsize
\ttfamily
\hlstd{}\hlslc{\#Zero{-}Coupon\ Bond}\hspace*{\fill}\\
\hlstd{zc.bond.param\ }\hlsym{$<${-}\ }\hlstd{}\hlkwc{list}\hlstd{}\hlsym{(}\hspace*{\fill}\\
@@ -1004,11 +1011,13 @@
\mbox{}
\normalfont
\end{frame}
+
\begin{frame}[fragile]
\frametitle{Fixed Income in RQuantLib}
\framesubtitle{Examples: Bond pricing}
\pagecolor{bgcolor}
\noindent
+\scriptsize
\ttfamily
\hlstd{}\hlslc{\#Fixed{-}Coupon\ Bond}\hspace*{\fill}\\
\hlstd{fixed.bond.param\ }\hlsym{$<${-}\ }\hlstd{}\hlkwc{list}\hlstd{}\hlsym{(}\hspace*{\fill}\\
@@ -1060,6 +1069,7 @@
\begin{frame}[fragile]
\frametitle{Fixed Income in RQuantLib}
\framesubtitle{Examples: Convertible Bond from Matlab's Fixed Income Toolbox}
+ \scriptsize
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}
\begin{lstlisting}
@@ -1068,19 +1078,16 @@
IssueDate = datenum('2-Jan-2002');
Settle = datenum('2-Jan-2002');
Maturity = datenum('2-Jan-2007');
-CouponRate = 0.04; Period = 2;
-Basis = 1; EndMonthRule = 1;
+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.
+% 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);
-
+ [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
@@ -1114,7 +1121,7 @@
\begin{frame}
Doing it in R using RQuantLib....
\vskip5pt
-\scriptsize
+\tiny
\pagecolor{bgcolor}
\noindent
\ttfamily
@@ -1125,15 +1132,13 @@
\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}\\
+RiskFreeRate\ }\hlsym{$<${-}\ }\hlstd{DiscountCurve}\hlsym{(}\hlstd{params}\hlsym{,\ }\hlstd{}\hlkwc{list}\hlstd{}\hlsym{(}\hlstd{flat}\hlsym{=}\hlstd{}\hlnum{0.05}\hlstd{}\hlsym{),}\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{dividendYield\ }\hlsym{$<${-}\ }\hlstd{DiscountCurve}\hlsym{(}\hlstd{params}\hlsym{,\ }\hlstd{}\hlkwc{list}\hlstd{}\hlsym{(}\hlstd{flat}\hlsym{=}\hlstd{}\hlnum{0.01}\hlstd{}\hlsym{),}\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}\\
@@ -1154,10 +1159,12 @@
\mbox{}
\normalfont
\end{frame}
+
\begin{frame}
\scriptsize
\pagecolor{bgcolor}
\noindent
+\tiny
\ttfamily
\hlstd{\hspace*{\fill}\\
dateparams\ }\hlsym{$<${-}\ }\hlstd{}\hlkwc{list}\hlstd{}\hlsym{(}\hlstd{settlementDays}\hlsym{=}\hlstd{}\hlnum{3}\hlstd{}\hlsym{,}\hspace*{\fill}\\
@@ -1207,7 +1214,7 @@
\hlstd{}\hlsym{+\ }\hlstd{opts}\hlsym{(}\hlstd{}\hlkwc{title}\hlstd{}\hlsym{=}\hlstd{}\hlstr{'Effect\ of\ spread\ on\ a\ convertible\ bond'}
\normalfont
\begin{center}
-\resizebox{75mm}{!}{\includegraphics{figures/matlab_cbond.png}}
+\resizebox{60mm}{!}{\includegraphics{figures/matlab_cbond.png}}
\end{center}
\end{frame}
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