[Rquantlib-commits] r304 - pkg/RQuantLib/man
noreply at r-forge.r-project.org
noreply at r-forge.r-project.org
Sun Nov 14 20:55:46 CET 2010
Author: edd
Date: 2010-11-14 20:55:46 +0100 (Sun, 14 Nov 2010)
New Revision: 304
Added:
pkg/RQuantLib/man/ConvertibleBond.Rd
Removed:
pkg/RQuantLib/man/ConvertibleFloatingCouponBond.Rd
Log:
renamed to ConvertibleBond.Rd to reflect that it covers the three old manual pages for Convertibles
Copied: pkg/RQuantLib/man/ConvertibleBond.Rd (from rev 303, pkg/RQuantLib/man/ConvertibleFloatingCouponBond.Rd)
===================================================================
--- pkg/RQuantLib/man/ConvertibleBond.Rd (rev 0)
+++ pkg/RQuantLib/man/ConvertibleBond.Rd 2010-11-14 19:55:46 UTC (rev 304)
@@ -0,0 +1,312 @@
+% $Id: ConvertibleFloatingCouponBond 84 2009-06-19 knguyen $
+\name{ConvertibleBond}
+\alias{ConvertibleFixedCouponBond}
+\alias{ConvertibleFixedCouponBond.default}
+\alias{ConvertibleFloatingCouponBond}
+\alias{ConvertibleFloatingCouponBond.default}
+\alias{ConvertibleZeroCouponBond}
+\alias{ConvertibleZeroCouponBond.default}
+\title{Convertible Bond evaluation for Fixed, Floating and Zero Coupon}
+\description{
+The \code{ConvertibleFixedCouponBond} function setups and evaluates a
+ConvertibleFixedCouponBond using QuantLib's BinomialConvertibleEngine
+\url{http://quantlib.org/reference/class_quant_lib_1_1_binomial_convertible_engine.html}
+and BlackScholesMertonProcess
+\url{http://quantlib.org/reference/class_quant_lib_1_1_black_scholes_merton_process.html}. The
+NPV, clean price, dirty price, accrued interest, yield and cash flows of
+the bond is returned. For detail, see test-suite/convertiblebond.cpp
+
+The \code{ConvertibleFloatingCouponBond} function setups and evaluates a
+ConvertibleFixedCouponBond using QuantLib's BinomialConvertibleEngine
+\url{http://quantlib.org/reference/class_quant_lib_1_1_binomial_convertible_engine.html}
+and BlackScholesMertonProcess
+\url{http://quantlib.org/reference/class_quant_lib_1_1_black_scholes_merton_process.html}. The
+NPV, clean price, dirty price, accrued interest, yield and cash flows of
+the bond is returned. For detail, see test-suite/convertiblebond.cpp
+
+The \code{ConvertibleZeroCouponBond} function setups and evaluates a
+ConvertibleFixedCouponBond using QuantLib's BinomialConvertibleEngine
+\url{http://quantlib.org/reference/class_quant_lib_1_1_binomial_convertible_engine.html}
+and BlackScholesMertonProcess
+\url{http://quantlib.org/reference/class_quant_lib_1_1_black_scholes_merton_process.html}. The
+NPV, clean price, dirty price, accrued interest, yield and cash flows of
+the bond is returned. For detail, see test-suite/convertiblebond.cpp.
+}
+\usage{
+\method{ConvertibleFloatingCouponBond}{default}(bondparams, iborindex, spread, process, dateparams)
+\method{ConvertibleFixedCouponBond}{default}(bondparams, coupon, process, dateparams)
+\method{ConvertibleZeroCouponBond}{default}(bondparams, process, dateparams)
+}
+\arguments{
+
+\item{bondparams}{bond parameters, a named list whose elements are:
+ \tabular{ll}{
+ \code{issueDate} \tab a Date, the bond's issue date\cr
+ \code{maturityDate} \tab a Date, the bond's maturity date\cr
+ \code{creditSpread} \tab a double, credit spread parameter \cr
+ \code{} \tab in the constructor of the bond. \cr
+ \code{conversitionRatio} \tab a double, conversition ratio \cr
+ \code{} \tab parameter in the constructor of the bond. \cr
+ \code{exercise} \tab (Optional) a string, either "eu" for European \cr
+ \code{} \tab option, or "am" for American option. \cr
+ \code{} \tab Default value is 'am'.\cr
+ \code{faceAmount} \tab (Optional) a double, face amount of the bond.\cr
+ \code{} \tab Default value is 100. \cr
+ \code{redemption} \tab (Optional) a double, percentage of the initial \cr
+ \code{} \tab face amount that will be returned at maturity \cr
+ \code{} \tab date. Default value is 100.\cr
+ \code{divSch} \tab (Optional) a data frame whose columns are \cr
+ \code{} \tab "Type", "Amount", "Rate", and "Date" \cr
+ \code{} \tab corresponding to QuantLib's DividendSchedule. \cr
+ \code{} \tab Default value is an empty frame, or no dividend. \cr
+ \code{callSch} \tab (Optional) a data frame whose columns are "Price",\cr
+ \code{} \tab "Type" and "Date" corresponding to QuantLib's \cr
+ \code{} \tab CallabilitySchedule. Defaule is an empty frame, \cr
+ \code{} \tab or no callability.\cr
+ }
+ }
+
+\item{iborindex}{a DiscountCurve object, represents an IborIndex}
+\item{spread}{ a double vector, represents paramter 'spreads' in ConvertibleFloatingBond's constructor. }
+\item{coupon}{a double vector of coupon rate}
+\item{process}{arguments to construct a BlackScholes process and set up the binomial pricing engine for this bond.
+ \tabular{ll}{
+ \code{underlying} \tab a double, flat underlying term structure \cr
+ \code{volatility} \tab a double, flat volatility term structure \cr
+ \code{dividendYield} \tab a DiscountCurve object \cr
+ \code{riskFreeRate} \tab a DiscountCurve object \cr
+ }
+}
+
+\item{dateparams}{(Optional) a named list, QuantLib's date parameters of the bond.
+ \tabular{ll}{
+ \code{settlementDays} \tab (Optional) a double, settlement days. \cr
+ \code{} \tab Default value is 1.\cr
+ \code{calendar} \tab (Optional) a string, either 'us' or 'uk' \cr
+ \code{} \tab corresponding to US Goverment Bond \cr
+ \code{} \tab calendar and UK Exchange calendar.\cr
+ \code{} \tab Default value is 'us'.\cr
+ \code{dayCounter} \tab (Optional) a number or string, \cr
+ \code{} \tab day counter convention.\cr
+ \code{} \tab See \link{Enum}. Default value is 'Thirty360' \cr
+ \code{period} \tab (Optional) a number or string, \cr
+ \code{} \tab interest compounding interval. See \link{Enum}. \cr
+ \code{} \tab Default value is 'Semiannual'.\cr
+ \code{businessDayConvention} \tab (Optional) a number or string, \cr
+ \code{} \tab business day convention. \cr
+ \tab See \link{Enum}. Default value is 'Following'. \cr
+ }
+ See the examples below.
+}
+}
+\value{
+ The \code{ConvertibleFloatingCouponBond} function returns an object of class
+ \code{ConvertibleFloatingCouponBond} (which inherits from class
+ \code{Bond}). It contains a list with the following
+ components:
+ \item{NPV}{net present value of the bond}
+ \item{cleanPrice}{price price of the bond}
+ \item{dirtyPrice}{dirty price of the bond}
+ \item{accruedAmount}{accrued amount of the bond}
+ \item{yield}{yield of the bond}
+ \item{cashFlows}{cash flows of the bond}
+
+ The \code{ConvertibleFixedCouponBond} function returns an object of class
+ \code{ConvertibleFixedCouponBond} (which inherits from class
+ \code{Bond}). It contains a list with the following
+ components:
+ \item{NPV}{net present value of the bond}
+ \item{cleanPrice}{price price of the bond}
+ \item{dirtyPrice}{dirty price of the bond}
+ \item{accruedAmount}{accrued amount of the bond}
+ \item{yield}{yield of the bond}
+ \item{cashFlows}{cash flows of the bond}
+
+ The \code{ConvertibleZeroCouponBond} function returns an object of class
+ \code{ConvertibleZeroCouponBond} (which inherits from class
+ \code{Bond}). It contains a list with the following
+ components:
+ \item{NPV}{net present value of the bond}
+ \item{cleanPrice}{price price of the bond}
+ \item{dirtyPrice}{dirty price of the bond}
+ \item{accruedAmount}{accrued amount of the bond}
+ \item{yield}{yield of the bond}
+ \item{cashFlows}{cash flows of the bond}
+
+}
+\details{
+ Please see any decent Finance textbook for background reading, and the
+ \code{QuantLib} documentation for details on the \code{QuantLib}
+ implementation.
+}
+\references{
+\url{http://quantlib.org/reference/class_quant_lib_1_1_convertible_zero_coupon_bond.html}
+}
+\author{Khanh Nguyen \email{knguyen at cs.umb.edu} for the inplementation; Dirk Eddelbuettel \email{edd at debian.org} for the \R interface;
+ the QuantLib Group for \code{QuantLib}
+}
+\examples{
+#this follow an example in test-suite/convertiblebond.cpp
+params <- list(tradeDate=Sys.Date()-2,
+ settleDate=Sys.Date(),
+ dt=.25,
+ interpWhat="discount",
+ interpHow="loglinear")
+
+
+dividendYield <- DiscountCurve(params, list(flat=0.02))
+riskFreeRate <- DiscountCurve(params, list(flat=0.05))
+
+dividendSchedule <- data.frame(Type=character(0), Amount=numeric(0),
+ Rate = numeric(0), Date = as.Date(character(0)))
+callabilitySchedule <- data.frame(Price = numeric(0), Type=character(0),
+ Date = as.Date(character(0)))
+
+process <- list(underlying=50, divYield = dividendYield,
+ rff = riskFreeRate, volatility=0.15)
+
+today <- Sys.Date()
+bondparams <- list(exercise="am", faceAmount=100,
+ divSch = dividendSchedule,
+ callSch = callabilitySchedule,
+ redemption=100,
+ creditSpread=0.005,
+ conversionRatio = 0.0000000001,
+ issueDate=as.Date(today+2),
+ maturityDate=as.Date(today+3650))
+dateparams <- list(settlementDays=3,
+ dayCounter="ActualActual",
+ period = "Semiannual", calendar = "us",
+ businessDayConvention="Following")
+
+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))
+curvedateparams <- list(settlementDays=0, period="Annual",
+ dayCounter="ActualActual",
+ businessDayConvention ="Unadjusted")
+curveparams <- list(method="ExponentialSplinesFitting",
+ origDate = Sys.Date())
+curve <- FittedBondCurve(curveparams, lengths, coupons, marketQuotes, curvedateparams)
+iborindex <- list(type="USDLibor", length=6,
+ inTermOf="Month", term=curve)
+spreads <- c()
+#ConvertibleFloatingCouponBond(bondparams, iborindex, spreads, process, dateparams)
+
+
+#example using default values
+#ConvertibleFloatingCouponBond(bondparams, iborindex,spreads, process)
+
+dateparams <- list(settlementDays=3,
+ period = "Semiannual",
+ businessDayConvention="Unadjusted")
+
+bondparams <- list(
+ creditSpread=0.005, conversionRatio = 0.0000000001,
+ issueDate=as.Date(today+2),
+ maturityDate=as.Date(today+3650))
+#ConvertibleFloatingCouponBond(bondparams, iborindex,
+#spreads, process, dateparams)
+
+
+
+#this follow an example in test-suite/convertiblebond.cpp
+#for ConvertibleFixedCouponBond
+
+#set up arguments to build a pricing engine.
+params <- list(tradeDate=Sys.Date()-2,
+ settleDate=Sys.Date(),
+ dt=.25,
+ interpWhat="discount",
+ interpHow="loglinear")
+times <- seq(0,10,.1)
+
+dividendYield <- DiscountCurve(params, list(flat=0.02), times)
+riskFreeRate <- DiscountCurve(params, list(flat=0.05), times)
+
+dividendSchedule <- data.frame(Type=character(0), Amount=numeric(0),
+ Rate = numeric(0), Date = as.Date(character(0)))
+callabilitySchedule <- data.frame(Price = numeric(0), Type=character(0),
+ Date = as.Date(character(0)))
+
+process <- list(underlying=50, divYield = dividendYield,
+ rff = riskFreeRate, volatility=0.15)
+
+today <- Sys.Date()
+bondparams <- list(exercise="am", faceAmount=100, divSch = dividendSchedule,
+ callSch = callabilitySchedule, redemption=100,
+ creditSpread=0.005, conversionRatio = 0.0000000001,
+ issueDate=as.Date(today+2),
+ maturityDate=as.Date(today+3650))
+dateparams <- list(settlementDays=3,
+ dayCounter="Actual360",
+ period = "Once", calendar = "us",
+ businessDayConvention="Following"
+ )
+coupon <- c(0.05)
+ConvertibleFixedCouponBond(bondparams, coupon, process, dateparams)
+
+#example with default value
+ConvertibleFixedCouponBond(bondparams, coupon, process)
+
+dateparams <- list(settlementDays=3,
+ dayCounter="Actual360")
+ConvertibleFixedCouponBond(bondparams, coupon, process, dateparams)
+
+bondparams <- list(creditSpread=0.005, conversionRatio = 0.0000000001,
+ issueDate=as.Date(today+2),
+ maturityDate=as.Date(today+3650))
+ConvertibleFixedCouponBond(bondparams, coupon, process, dateparams)
+
+
+
+#this follow an example in test-suite/convertiblebond.cpp
+params <- list(tradeDate=Sys.Date()-2,
+ settleDate=Sys.Date(),
+ dt=.25,
+ interpWhat="discount",
+ interpHow="loglinear")
+times <- seq(0,10,.1)
+
+
+dividendYield <- DiscountCurve(params, list(flat=0.02), times)
+riskFreeRate <- DiscountCurve(params, list(flat=0.05), times)
+
+dividendSchedule <- data.frame(Type=character(0), Amount=numeric(0),
+ Rate = numeric(0), Date = as.Date(character(0)))
+callabilitySchedule <- data.frame(Price = numeric(0), Type=character(0),
+ Date = as.Date(character(0)))
+
+process <- list(underlying=50, divYield = dividendYield,
+ rff = riskFreeRate, volatility=0.15)
+
+today <- Sys.Date()
+bondparams <- list(exercise="am", faceAmount=100, divSch = dividendSchedule,
+ callSch = callabilitySchedule, redemption=100,
+ creditSpread=0.005, conversionRatio = 0.0000000001,
+ issueDate=as.Date(today+2),
+ maturityDate=as.Date(today+3650))
+dateparams <- list(settlementDays=3,
+ dayCounter="Actual360",
+ period = "Once", calendar = "us",
+ businessDayConvention="Following"
+ )
+
+ConvertibleZeroCouponBond(bondparams, process, dateparams)
+
+#example with default values
+ConvertibleZeroCouponBond(bondparams, process)
+
+
+bondparams <- list(creditSpread=0.005,
+ conversionRatio=0.0000000001,
+ issueDate=as.Date(today+2),
+ maturityDate=as.Date(today+3650))
+
+dateparams <- list(settlementDays=3, dayCounter='Actual360')
+ConvertibleZeroCouponBond(bondparams, process, dateparams)
+ConvertibleZeroCouponBond(bondparams, process)
+
+}
Deleted: pkg/RQuantLib/man/ConvertibleFloatingCouponBond.Rd
===================================================================
--- pkg/RQuantLib/man/ConvertibleFloatingCouponBond.Rd 2010-11-14 19:53:36 UTC (rev 303)
+++ pkg/RQuantLib/man/ConvertibleFloatingCouponBond.Rd 2010-11-14 19:55:46 UTC (rev 304)
@@ -1,312 +0,0 @@
-% $Id: ConvertibleFloatingCouponBond 84 2009-06-19 knguyen $
-\name{ConvertibleBond}
-\alias{ConvertibleFixedCouponBond}
-\alias{ConvertibleFixedCouponBond.default}
-\alias{ConvertibleFloatingCouponBond}
-\alias{ConvertibleFloatingCouponBond.default}
-\alias{ConvertibleZeroCouponBond}
-\alias{ConvertibleZeroCouponBond.default}
-\title{Convertible Bond evaluation for Fixed, Floating and Zero Coupon}
-\description{
-The \code{ConvertibleFixedCouponBond} function setups and evaluates a
-ConvertibleFixedCouponBond using QuantLib's BinomialConvertibleEngine
-\url{http://quantlib.org/reference/class_quant_lib_1_1_binomial_convertible_engine.html}
-and BlackScholesMertonProcess
-\url{http://quantlib.org/reference/class_quant_lib_1_1_black_scholes_merton_process.html}. The
-NPV, clean price, dirty price, accrued interest, yield and cash flows of
-the bond is returned. For detail, see test-suite/convertiblebond.cpp
-
-The \code{ConvertibleFloatingCouponBond} function setups and evaluates a
-ConvertibleFixedCouponBond using QuantLib's BinomialConvertibleEngine
-\url{http://quantlib.org/reference/class_quant_lib_1_1_binomial_convertible_engine.html}
-and BlackScholesMertonProcess
-\url{http://quantlib.org/reference/class_quant_lib_1_1_black_scholes_merton_process.html}. The
-NPV, clean price, dirty price, accrued interest, yield and cash flows of
-the bond is returned. For detail, see test-suite/convertiblebond.cpp
-
-The \code{ConvertibleZeroCouponBond} function setups and evaluates a
-ConvertibleFixedCouponBond using QuantLib's BinomialConvertibleEngine
-\url{http://quantlib.org/reference/class_quant_lib_1_1_binomial_convertible_engine.html}
-and BlackScholesMertonProcess
-\url{http://quantlib.org/reference/class_quant_lib_1_1_black_scholes_merton_process.html}. The
-NPV, clean price, dirty price, accrued interest, yield and cash flows of
-the bond is returned. For detail, see test-suite/convertiblebond.cpp.
-}
-\usage{
-\method{ConvertibleFloatingCouponBond}{default}(bondparams, iborindex, spread, process, dateparams)
-\method{ConvertibleFixedCouponBond}{default}(bondparams, coupon, process, dateparams)
-\method{ConvertibleZeroCouponBond}{default}(bondparams, process, dateparams)
-}
-\arguments{
-
-\item{bondparams}{bond parameters, a named list whose elements are:
- \tabular{ll}{
- \code{issueDate} \tab a Date, the bond's issue date\cr
- \code{maturityDate} \tab a Date, the bond's maturity date\cr
- \code{creditSpread} \tab a double, credit spread parameter \cr
- \code{} \tab in the constructor of the bond. \cr
- \code{conversitionRatio} \tab a double, conversition ratio \cr
- \code{} \tab parameter in the constructor of the bond. \cr
- \code{exercise} \tab (Optional) a string, either "eu" for European \cr
- \code{} \tab option, or "am" for American option. \cr
- \code{} \tab Default value is 'am'.\cr
- \code{faceAmount} \tab (Optional) a double, face amount of the bond.\cr
- \code{} \tab Default value is 100. \cr
- \code{redemption} \tab (Optional) a double, percentage of the initial \cr
- \code{} \tab face amount that will be returned at maturity \cr
- \code{} \tab date. Default value is 100.\cr
- \code{divSch} \tab (Optional) a data frame whose columns are \cr
- \code{} \tab "Type", "Amount", "Rate", and "Date" \cr
- \code{} \tab corresponding to QuantLib's DividendSchedule. \cr
- \code{} \tab Default value is an empty frame, or no dividend. \cr
- \code{callSch} \tab (Optional) a data frame whose columns are "Price",\cr
- \code{} \tab "Type" and "Date" corresponding to QuantLib's \cr
- \code{} \tab CallabilitySchedule. Defaule is an empty frame, \cr
- \code{} \tab or no callability.\cr
- }
- }
-
-\item{iborindex}{a DiscountCurve object, represents an IborIndex}
-\item{spread}{ a double vector, represents paramter 'spreads' in ConvertibleFloatingBond's constructor. }
-\item{coupon}{a double vector of coupon rate}
-\item{process}{arguments to construct a BlackScholes process and set up the binomial pricing engine for this bond.
- \tabular{ll}{
- \code{underlying} \tab a double, flat underlying term structure \cr
- \code{volatility} \tab a double, flat volatility term structure \cr
- \code{dividendYield} \tab a DiscountCurve object \cr
- \code{riskFreeRate} \tab a DiscountCurve object \cr
- }
-}
-
-\item{dateparams}{(Optional) a named list, QuantLib's date parameters of the bond.
- \tabular{ll}{
- \code{settlementDays} \tab (Optional) a double, settlement days. \cr
- \code{} \tab Default value is 1.\cr
- \code{calendar} \tab (Optional) a string, either 'us' or 'uk' \cr
- \code{} \tab corresponding to US Goverment Bond \cr
- \code{} \tab calendar and UK Exchange calendar.\cr
- \code{} \tab Default value is 'us'.\cr
- \code{dayCounter} \tab (Optional) a number or string, \cr
- \code{} \tab day counter convention.\cr
- \code{} \tab See \link{Enum}. Default value is 'Thirty360' \cr
- \code{period} \tab (Optional) a number or string, \cr
- \code{} \tab interest compounding interval. See \link{Enum}. \cr
- \code{} \tab Default value is 'Semiannual'.\cr
- \code{businessDayConvention} \tab (Optional) a number or string, \cr
- \code{} \tab business day convention. \cr
- \tab See \link{Enum}. Default value is 'Following'. \cr
- }
- See the examples below.
-}
-}
-\value{
- The \code{ConvertibleFloatingCouponBond} function returns an object of class
- \code{ConvertibleFloatingCouponBond} (which inherits from class
- \code{Bond}). It contains a list with the following
- components:
- \item{NPV}{net present value of the bond}
- \item{cleanPrice}{price price of the bond}
- \item{dirtyPrice}{dirty price of the bond}
- \item{accruedAmount}{accrued amount of the bond}
- \item{yield}{yield of the bond}
- \item{cashFlows}{cash flows of the bond}
-
- The \code{ConvertibleFixedCouponBond} function returns an object of class
- \code{ConvertibleFixedCouponBond} (which inherits from class
- \code{Bond}). It contains a list with the following
- components:
- \item{NPV}{net present value of the bond}
- \item{cleanPrice}{price price of the bond}
- \item{dirtyPrice}{dirty price of the bond}
- \item{accruedAmount}{accrued amount of the bond}
- \item{yield}{yield of the bond}
- \item{cashFlows}{cash flows of the bond}
-
- The \code{ConvertibleZeroCouponBond} function returns an object of class
- \code{ConvertibleZeroCouponBond} (which inherits from class
- \code{Bond}). It contains a list with the following
- components:
- \item{NPV}{net present value of the bond}
- \item{cleanPrice}{price price of the bond}
- \item{dirtyPrice}{dirty price of the bond}
- \item{accruedAmount}{accrued amount of the bond}
- \item{yield}{yield of the bond}
- \item{cashFlows}{cash flows of the bond}
-
-}
-\details{
- Please see any decent Finance textbook for background reading, and the
- \code{QuantLib} documentation for details on the \code{QuantLib}
- implementation.
-}
-\references{
-\url{http://quantlib.org/reference/class_quant_lib_1_1_convertible_zero_coupon_bond.html}
-}
-\author{Khanh Nguyen \email{knguyen at cs.umb.edu} for the inplementation; Dirk Eddelbuettel \email{edd at debian.org} for the \R interface;
- the QuantLib Group for \code{QuantLib}
-}
-\examples{
-#this follow an example in test-suite/convertiblebond.cpp
-params <- list(tradeDate=Sys.Date()-2,
- settleDate=Sys.Date(),
- dt=.25,
- interpWhat="discount",
- interpHow="loglinear")
-
-
-dividendYield <- DiscountCurve(params, list(flat=0.02))
-riskFreeRate <- DiscountCurve(params, list(flat=0.05))
-
-dividendSchedule <- data.frame(Type=character(0), Amount=numeric(0),
- Rate = numeric(0), Date = as.Date(character(0)))
-callabilitySchedule <- data.frame(Price = numeric(0), Type=character(0),
- Date = as.Date(character(0)))
-
-process <- list(underlying=50, divYield = dividendYield,
- rff = riskFreeRate, volatility=0.15)
-
-today <- Sys.Date()
-bondparams <- list(exercise="am", faceAmount=100,
- divSch = dividendSchedule,
- callSch = callabilitySchedule,
- redemption=100,
- creditSpread=0.005,
- conversionRatio = 0.0000000001,
- issueDate=as.Date(today+2),
- maturityDate=as.Date(today+3650))
-dateparams <- list(settlementDays=3,
- dayCounter="ActualActual",
- period = "Semiannual", calendar = "us",
- businessDayConvention="Following")
-
-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))
-curvedateparams <- list(settlementDays=0, period="Annual",
- dayCounter="ActualActual",
- businessDayConvention ="Unadjusted")
-curveparams <- list(method="ExponentialSplinesFitting",
- origDate = Sys.Date())
-curve <- FittedBondCurve(curveparams, lengths, coupons, marketQuotes, curvedateparams)
-iborindex <- list(type="USDLibor", length=6,
- inTermOf="Month", term=curve)
-spreads <- c()
-#ConvertibleFloatingCouponBond(bondparams, iborindex, spreads, process, dateparams)
-
-
-#example using default values
-#ConvertibleFloatingCouponBond(bondparams, iborindex,spreads, process)
-
-dateparams <- list(settlementDays=3,
- period = "Semiannual",
- businessDayConvention="Unadjusted")
-
-bondparams <- list(
- creditSpread=0.005, conversionRatio = 0.0000000001,
- issueDate=as.Date(today+2),
- maturityDate=as.Date(today+3650))
-#ConvertibleFloatingCouponBond(bondparams, iborindex,
-#spreads, process, dateparams)
-
-
-
-#this follow an example in test-suite/convertiblebond.cpp
-#for ConvertibleFixedCouponBond
-
-#set up arguments to build a pricing engine.
-params <- list(tradeDate=Sys.Date()-2,
- settleDate=Sys.Date(),
- dt=.25,
- interpWhat="discount",
- interpHow="loglinear")
-times <- seq(0,10,.1)
-
-dividendYield <- DiscountCurve(params, list(flat=0.02), times)
-riskFreeRate <- DiscountCurve(params, list(flat=0.05), times)
-
-dividendSchedule <- data.frame(Type=character(0), Amount=numeric(0),
- Rate = numeric(0), Date = as.Date(character(0)))
-callabilitySchedule <- data.frame(Price = numeric(0), Type=character(0),
- Date = as.Date(character(0)))
-
-process <- list(underlying=50, divYield = dividendYield,
- rff = riskFreeRate, volatility=0.15)
-
-today <- Sys.Date()
-bondparams <- list(exercise="am", faceAmount=100, divSch = dividendSchedule,
- callSch = callabilitySchedule, redemption=100,
- creditSpread=0.005, conversionRatio = 0.0000000001,
- issueDate=as.Date(today+2),
- maturityDate=as.Date(today+3650))
-dateparams <- list(settlementDays=3,
- dayCounter="Actual360",
- period = "Once", calendar = "us",
- businessDayConvention="Following"
- )
-coupon <- c(0.05)
-ConvertibleFixedCouponBond(bondparams, coupon, process, dateparams)
-
-#example with default value
-ConvertibleFixedCouponBond(bondparams, coupon, process)
-
-dateparams <- list(settlementDays=3,
- dayCounter="Actual360")
-ConvertibleFixedCouponBond(bondparams, coupon, process, dateparams)
-
-bondparams <- list(creditSpread=0.005, conversionRatio = 0.0000000001,
- issueDate=as.Date(today+2),
- maturityDate=as.Date(today+3650))
-ConvertibleFixedCouponBond(bondparams, coupon, process, dateparams)
-
-
-
-#this follow an example in test-suite/convertiblebond.cpp
-params <- list(tradeDate=Sys.Date()-2,
- settleDate=Sys.Date(),
- dt=.25,
- interpWhat="discount",
- interpHow="loglinear")
-times <- seq(0,10,.1)
-
-
-dividendYield <- DiscountCurve(params, list(flat=0.02), times)
-riskFreeRate <- DiscountCurve(params, list(flat=0.05), times)
-
-dividendSchedule <- data.frame(Type=character(0), Amount=numeric(0),
- Rate = numeric(0), Date = as.Date(character(0)))
-callabilitySchedule <- data.frame(Price = numeric(0), Type=character(0),
- Date = as.Date(character(0)))
-
-process <- list(underlying=50, divYield = dividendYield,
- rff = riskFreeRate, volatility=0.15)
-
-today <- Sys.Date()
-bondparams <- list(exercise="am", faceAmount=100, divSch = dividendSchedule,
- callSch = callabilitySchedule, redemption=100,
- creditSpread=0.005, conversionRatio = 0.0000000001,
- issueDate=as.Date(today+2),
- maturityDate=as.Date(today+3650))
-dateparams <- list(settlementDays=3,
- dayCounter="Actual360",
- period = "Once", calendar = "us",
- businessDayConvention="Following"
- )
-
-ConvertibleZeroCouponBond(bondparams, process, dateparams)
-
-#example with default values
-ConvertibleZeroCouponBond(bondparams, process)
-
-
-bondparams <- list(creditSpread=0.005,
- conversionRatio=0.0000000001,
- issueDate=as.Date(today+2),
- maturityDate=as.Date(today+3650))
-
-dateparams <- list(settlementDays=3, dayCounter='Actual360')
-ConvertibleZeroCouponBond(bondparams, process, dateparams)
-ConvertibleZeroCouponBond(bondparams, process)
-
-}
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