ConvertibleBond(RQuantLib)
ConvertibleBond()所属R语言包：RQuantLib
Convertible Bond evaluation for Fixed, Floating and Zero Coupon
固定，浮动及零息可换股债券评估
译者：生物统计家园网 机器人LoveR
描述----------Description----------
The ConvertibleFixedCouponBond function setups and evaluates a ConvertibleFixedCouponBond using QuantLib's BinomialConvertibleEngine and BlackScholesMertonProcess The NPV, clean price, dirty price, accrued interest, yield and cash flows of the bond is returned. For detail, see test-suite/convertiblebond.cpp
返回ConvertibleFixedCouponBond功能设置和使用QuantLib的BinomialConvertibleEngine和BlackScholesMertonProcess净现值（NPV），清洁，脏的价格，应计利息，收益率的债券和现金流量计算一个ConvertibleFixedCouponBond。有关详细信息，请参阅test-suite/convertiblebond.cpp
The ConvertibleFloatingCouponBond function setups and evaluates a ConvertibleFixedCouponBond using QuantLib's BinomialConvertibleEngine and BlackScholesMertonProcess The NPV, clean price, dirty price, accrued interest, yield and cash flows of the bond is returned. For detail, see test-suite/convertiblebond.cpp
返回ConvertibleFloatingCouponBond功能设置和使用QuantLib的BinomialConvertibleEngine和BlackScholesMertonProcess净现值（NPV），清洁，脏的价格，应计利息，收益率的债券和现金流量计算一个ConvertibleFixedCouponBond。有关详细信息，请参阅test-suite/convertiblebond.cpp
The ConvertibleZeroCouponBond function setups and evaluates a ConvertibleFixedCouponBond using QuantLib's BinomialConvertibleEngine and BlackScholesMertonProcess The NPV, clean price, dirty price, accrued interest, yield and cash flows of the bond is returned. For detail, see test-suite/convertiblebond.cpp.
返回ConvertibleZeroCouponBond功能设置和使用QuantLib的BinomialConvertibleEngine和BlackScholesMertonProcess净现值（NPV），清洁，脏的价格，应计利息，收益率的债券和现金流量计算一个ConvertibleFixedCouponBond。有关详细信息，请参阅test-suite/convertiblebond.cpp。
用法----------Usage----------
## Default S3 method:[默认方法]
ConvertibleFloatingCouponBond(bondparams, iborindex, spread, process, dateparams)
## Default S3 method:[默认方法]
ConvertibleFixedCouponBond(bondparams, coupon, process, dateparams)
## Default S3 method:[默认方法]
ConvertibleZeroCouponBond(bondparams, process, dateparams)
参数----------Arguments----------
参数：bondparams
bond parameters, a named list whose elements are: <table summary="Rd table"> <tr> <td align="left"> issueDate </td><td align="left"> a Date, the bond's issue date</td> </tr> <tr> <td align="left"> maturityDate </td><td align="left"> a Date, the bond's maturity date</td> </tr> <tr> <td align="left"> creditSpread </td><td align="left"> a double, credit spread parameter </td> </tr> <tr> <td align="left"> </td><td align="left"> in the constructor of the bond. </td> </tr> <tr> <td align="left"> conversitionRatio </td><td align="left"> a double, conversition ratio </td> </tr> <tr> <td align="left"> </td><td align="left"> parameter in the constructor of the bond. </td> </tr> <tr> <td align="left"> exercise </td><td align="left"> (Optional) a string, either "eu" for European </td> </tr> <tr> <td align="left"> </td><td align="left"> option, or "am" for American option. </td> </tr> <tr> <td align="left"> </td><td align="left"> Default value is 'am'.</td> </tr> <tr> <td align="left"> faceAmount </td><td align="left"> (Optional) a double, face amount of the bond.</td> </tr> <tr> <td align="left"> </td><td align="left"> Default value is 100. </td> </tr> <tr> <td align="left"> redemption </td><td align="left"> (Optional) a double, percentage of the initial </td> </tr> <tr> <td align="left"> </td><td align="left"> face amount that will be returned at maturity </td> </tr> <tr> <td align="left"> </td><td align="left"> date. Default value is 100.</td> </tr> <tr> <td align="left"> divSch </td><td align="left"> (Optional) a data frame whose columns are </td> </tr> <tr> <td align="left"> </td><td align="left"> "Type", "Amount", "Rate", and "Date" </td> </tr> <tr> <td align="left"> </td><td align="left"> corresponding to QuantLib's DividendSchedule. </td> </tr> <tr> <td align="left"> </td><td align="left"> Default value is an empty frame, or no dividend. </td> </tr> <tr> <td align="left"> callSch </td><td align="left"> (Optional) a data frame whose columns are "Price",</td> </tr> <tr> <td align="left"> </td><td align="left"> "Type" and "Date" corresponding to QuantLib's </td> </tr> <tr> <td align="left"> </td><td align="left"> CallabilitySchedule. Defaule is an empty frame, </td> </tr> <tr> <td align="left"> </td><td align="left"> or no callability.</td> </tr> <tr> <td align="left"> </td> </tr> </table>
键参数，命名列表，其元素是：<table summary="Rd table"> <TR> <td ALIGN="LEFT"> issueDate</ TD> <TD ALIGN="LEFT">一个日期，债券的发行日期</ TD> </ TR> <TR> <td ALIGN="LEFT">maturityDate </ TD> <TD ALIGN="LEFT">日期，债券的到期日期</ TD > </ TR> <TR> <td ALIGN="LEFT">creditSpread </ TD> <TD ALIGN="LEFT">了一倍，信用利差参数</ TD> </ TR> <TR> <td ALIGN="LEFT"> </ TD> <TD ALIGN="LEFT">在构造的债券。 </ TD> </ TR> <TR> <td ALIGN="LEFT">conversitionRatio </ TD> <TD ALIGN="LEFT">了一倍，conversition的比例</ TD> </ TR> < TR> <td ALIGN="LEFT"> </ TD> <TD ALIGN="LEFT">参数的构造函数中的债券。 </ TD> </ TR> <TR> <td ALIGN="LEFT"> exercise </ TD> <TD ALIGN="LEFT">（可选）一个字符串，要么是“欧盟”欧洲</ TD> </ TR> <TR> <td ALIGN="LEFT"> </ TD> <TD ALIGN="LEFT">选项，或“AM”为美式期权。 </ TD> </ TR> <TR> <td ALIGN="LEFT"> </ TD> <TD ALIGN="LEFT">默认值是是。</ TD> </ TR文章<td ALIGN="LEFT"> faceAmount </ TD> <TD ALIGN="LEFT">（可选）双，债券的票面金额。</ TD> </ TR> < TR> <td ALIGN="LEFT"> </ TD> <TD ALIGN="LEFT">默认值是100。 </ TD> </ TR> <TR> <td ALIGN="LEFT"> redemption </ TD> <TD ALIGN="LEFT">（可选）双比例的初始</ TD> </ TR> <TR> <td ALIGN="LEFT"> </ TD> <TD ALIGN="LEFT">票面金额于到期日将返回</ TD> </ TR> <TR > <td ALIGN="LEFT"> </ TD> <TD ALIGN="LEFT">日期。默认值是100。</ TD> </ TR> <TR> <td ALIGN="LEFT"> divSch </ TD> <TD ALIGN="LEFT">（可选）数据框的列</ TD> </ TR> <TR> <td ALIGN="LEFT"> </ TD> <TD ALIGN="LEFT">“类型”，“金额”，“利率”，和“日期“</ TD> </ TR> <TR> <td ALIGN="LEFT"> </ TD> <td ALIGN="LEFT">对应到QuantLib的DividendSchedule的。 </ TD> </ TR> <TR> <td ALIGN="LEFT"> </ TD> <TD ALIGN="LEFT">默认值是一个空的框架，或没有股息。 </ TD> </ TR> <TR> <td ALIGN="LEFT"> callSch </ TD> <TD ALIGN="LEFT">（可选）数据框的列是“价格”，< / TD> </ TR> <TR> <td ALIGN="LEFT"> </ TD> <TD ALIGN="LEFT">“类型”和“日期”对应QuantLib的</ TD> < / TR> <TR> <td ALIGN="LEFT"> </ TD> <TD ALIGN="LEFT"> CallabilitySchedule。 Defaule是一个空的框架，</ TD> </ TR> <TR> <td ALIGN="LEFT"> </ TD> <TD ALIGN="LEFT">或没有callability的。</ TD> </ TR> <TR> <td ALIGN="LEFT"> </ TD> </ TR> </ TABLE>
参数：iborindex
a DiscountCurve object, represents an IborIndex
一个的DiscountCurve对象，代表IborIndex的
参数：spread
a double vector, represents paramter 'spreads' in ConvertibleFloatingBond's constructor.
一个双向量，放慢参数的扩张ConvertibleFloatingBond的构造。
参数：coupon
a double vector of coupon rate
一个双向量的票面利率
参数：process
arguments to construct a BlackScholes process and set up the binomial pricing engine for this bond. <table summary="Rd table"> <tr> <td align="left"> underlying </td><td align="left"> a double, flat underlying term structure </td> </tr> <tr> <td align="left"> volatility </td><td align="left"> a double, flat volatility term structure </td> </tr> <tr> <td align="left"> dividendYield </td><td align="left"> a DiscountCurve object </td> </tr> <tr> <td align="left"> riskFreeRate </td><td align="left"> a DiscountCurve object </td> </tr> <tr> <td align="left"> </td> </tr> </table>
参数来构造一个BlackScholes过程中，该债券，并建立了二项式期权定价引擎。 <table summary="Rd table"> <TR> <td ALIGN="LEFT">underlying </ TD> <TD ALIGN="LEFT">一个双，平底层的期限结构</ TD> </ TR> <TR> <td ALIGN="LEFT">volatility</ TD> <TD ALIGN="LEFT">了一倍，平面波动率期限结构</ TD> </ TR> <TR> <TD ALIGN =“左”>dividendYield </ TD> <TD ALIGN="LEFT">的一个DiscountCurve对象</ TD> </ TR> <TR> <td ALIGN="LEFT">riskFreeRate </ TD> <TD ALIGN="LEFT">的一个DiscountCurve对象</ TD> </ TR> <TR> <td ALIGN="LEFT"> </ TD> </ TR> </ TABLE>
参数：dateparams
(Optional) a named list, QuantLib's date parameters of the bond. <table summary="Rd table"> <tr> <td align="left"> settlementDays </td><td align="left"> (Optional) a double, settlement days. </td> </tr> <tr> <td align="left"> </td><td align="left"> Default value is 1.</td> </tr> <tr> <td align="left"> calendar </td><td align="left"> (Optional) a string, either 'us' or 'uk' </td> </tr> <tr> <td align="left"> </td><td align="left"> corresponding to US Goverment Bond </td> </tr> <tr> <td align="left"> </td><td align="left"> calendar and UK Exchange calendar.</td> </tr> <tr> <td align="left"> </td><td align="left"> Default value is 'us'.</td> </tr> <tr> <td align="left"> dayCounter </td><td align="left"> (Optional) a number or string, </td> </tr> <tr> <td align="left"> </td><td align="left"> day counter convention.</td> </tr> <tr> <td align="left"> </td><td align="left"> See Enum. Default value is 'Thirty360' </td> </tr> <tr> <td align="left"> period </td><td align="left"> (Optional) a number or string, </td> </tr> <tr> <td align="left"> </td><td align="left"> interest compounding interval. See Enum. </td> </tr> <tr> <td align="left"> </td><td align="left"> Default value is 'Semiannual'.</td> </tr> <tr> <td align="left"> businessDayConvention </td><td align="left"> (Optional) a number or string, </td> </tr> <tr> <td align="left"> </td><td align="left"> business day convention. </td> </tr> <tr> <td align="left"> </td><td align="left"> See Enum. Default value is 'Following'. </td> </tr> <tr> <td align="left"> </td> </tr> </table> See the examples below.
（可选）命名列表，QuantLib的日期参数的债券。 <table summary="Rd table"> <TR> <td ALIGN="LEFT">settlementDays </ TD> <TD ALIGN="LEFT">（可选）双交收日。 </ TD> </ TR> <TR> <td ALIGN="LEFT"> </ TD> <TD ALIGN="LEFT">默认值是1。</ TD> </ TR> < TR> <td ALIGN="LEFT"> calendar </ TD> <TD ALIGN="LEFT">（可选）一个字符串，是我们或UK</ TD> </ TR> < TR> <td ALIGN="LEFT"> </ TD> <TD ALIGN="LEFT">相应的美国电子政务债券的</ TD> </ TR> <TR> <TD对齐=“左边” ></ TD> <TD ALIGN="LEFT">日历和英国的Exchange日历。</ TD> </ TR> <TR> <td ALIGN="LEFT"></ TD> <TD ALIGN="LEFT">默认值是我们。</ TD> </ TR> <TR> <td ALIGN="LEFT">dayCounter </ TD> <TD对齐=“左“>（可选）一个数字或字符串，</ TD> </ TR> <TR> <td ALIGN="LEFT"> </ TD> <TD ALIGN="LEFT">天数计数器公约</ TD> </ TR> <TR> <td ALIGN="LEFT"> </ TD> <TD ALIGN="LEFT">枚举。默认值是“Thirty360”</ TD> </ TR> <TR> <td ALIGN="LEFT"> period </ TD> <TD ALIGN="LEFT">（可选）一个数字或字符串， </ TD> </ TR> <TR> <td ALIGN="LEFT"> </ TD> <TD ALIGN="LEFT">利息复利的时间间隔。请参阅枚举。 </ TD> </ TR> <TR> <td ALIGN="LEFT"> </ TD> <TD ALIGN="LEFT">默认值是“半年报”。</ TD> </ TR文章<td ALIGN="LEFT"> businessDayConvention </ TD> <TD ALIGN="LEFT">（可选）一个数字或字符串</ TD> </ TR> <TR> <TD ALIGN =“”> </ TD> <TD ALIGN="LEFT">工作日约定。 </ TD> </ TR> <TR> <td ALIGN="LEFT"> </ TD> <TD ALIGN="LEFT">枚举。默认值是“继”。 </ TD> </ TR> <TR> <td ALIGN="LEFT"> </ TD> </ TR> </ TABLE>，请参见下面的例子。
Details
详细信息----------Details----------
Please see any decent Finance textbook for background reading, and the QuantLib documentation for details on the QuantLib implementation.
请参阅任何像样的金融教科书的背景阅读，QuantLibQuantLib实施的细节上的文件。
值----------Value----------
The ConvertibleFloatingCouponBond function returns an object of class ConvertibleFloatingCouponBond (which inherits from class Bond). It contains a list with the following components: <table summary="R valueblock"> <tr valign="top"><td>NPV</td> <td> net present value of the bond</td></tr> <tr valign="top"><td>cleanPrice</td> <td> price price of the bond</td></tr> <tr valign="top"><td>dirtyPrice</td> <td> dirty price of the bond</td></tr> <tr valign="top"><td>accruedAmount</td> <td> accrued amount of the bond</td></tr> <tr valign="top"><td>yield</td> <td> yield of the bond</td></tr> <tr valign="top"><td>cashFlows</td> <td> cash flows of the bond</td></tr>
ConvertibleFloatingCouponBond函数返回一个类的对象ConvertibleFloatingCouponBond（继承自类Bond）。它包含以下组件的列表：<table summary="R valueblock"> <tr valign="top"> <TD>NPV</ TD> <TD>的债券净现值</ TD > </ TR> <tr valign="top"> <TD>cleanPrice </ TD> <TD>价债券价格</ TD> </ TR> <tr valign="top"> < dirtyPrice TD> </ TD> <TD>脏债券价格</ TD> </ TR> <tr valign="top"> <TD> accruedAmount</ TD> <TD>应计的债券金额</ TD> </ TR> <tr valign="top"> <TD>yield </ TD> <TD>债券的收益率</ TD> </ TR> <TR VALIGN =“”> <TD>cashFlows </ TD> <TD>现金流的债券</ TD> </ TR>
</table> The ConvertibleFixedCouponBond function returns an object of class ConvertibleFixedCouponBond (which inherits from class Bond). It contains a list with the following components: <table summary="R valueblock"> <tr valign="top"><td>NPV</td> <td> net present value of the bond</td></tr> <tr valign="top"><td>cleanPrice</td> <td> price price of the bond</td></tr> <tr valign="top"><td>dirtyPrice</td> <td> dirty price of the bond</td></tr> <tr valign="top"><td>accruedAmount</td> <td> accrued amount of the bond</td></tr> <tr valign="top"><td>yield</td> <td> yield of the bond</td></tr> <tr valign="top"><td>cashFlows</td> <td> cash flows of the bond</td></tr>
</ TABLE> ConvertibleFixedCouponBond函数返回一个类的对象ConvertibleFixedCouponBond（继承自类Bond）。它包含以下组件的列表：<table summary="R valueblock"> <tr valign="top"> <TD>NPV</ TD> <TD>的债券净现值</ TD > </ TR> <tr valign="top"> <TD>cleanPrice </ TD> <TD>价债券价格</ TD> </ TR> <tr valign="top"> < dirtyPrice TD> </ TD> <TD>脏债券价格</ TD> </ TR> <tr valign="top"> <TD> accruedAmount</ TD> <TD>应计的债券金额</ TD> </ TR> <tr valign="top"> <TD>yield </ TD> <TD>债券的收益率</ TD> </ TR> <TR VALIGN =“”> <TD>cashFlows </ TD> <TD>现金流的债券</ TD> </ TR>
</table> The ConvertibleZeroCouponBond function returns an object of class ConvertibleZeroCouponBond (which inherits from class Bond). It contains a list with the following components: <table summary="R valueblock"> <tr valign="top"><td>NPV</td> <td> net present value of the bond</td></tr> <tr valign="top"><td>cleanPrice</td> <td> price price of the bond</td></tr> <tr valign="top"><td>dirtyPrice</td> <td> dirty price of the bond</td></tr> <tr valign="top"><td>accruedAmount</td> <td> accrued amount of the bond</td></tr> <tr valign="top"><td>yield</td> <td> yield of the bond</td></tr> <tr valign="top"><td>cashFlows</td> <td> cash flows of the bond</td></tr>
</ TABLE> ConvertibleZeroCouponBond函数返回一个类的对象ConvertibleZeroCouponBond（继承自类Bond）。它包含以下组件的列表：<table summary="R valueblock"> <tr valign="top"> <TD>NPV</ TD> <TD>的债券净现值</ TD > </ TR> <tr valign="top"> <TD>cleanPrice </ TD> <TD>价债券价格</ TD> </ TR> <tr valign="top"> < dirtyPrice TD> </ TD> <TD>脏债券价格</ TD> </ TR> <tr valign="top"> <TD> accruedAmount</ TD> <TD>应计的债券金额</ TD> </ TR> <tr valign="top"> <TD>yield </ TD> <TD>债券的收益率</ TD> </ TR> <TR VALIGN =“”> <TD>cashFlows </ TD> <TD>现金流的债券</ TD> </ TR>
</table>
</ TABLE>
（作者）----------Author(s)----------
Khanh Nguyen <a href="mailto:knguyen@cs.umb.edu">knguyen@cs.umb.edu</a> for the inplementation; Dirk Eddelbuettel <a href="mailto:edd@debian.org">edd@debian.org</a> for the <font face="Courier New,Courier" color="#666666"><b>R</b></font> interface;
the QuantLib Group for <code>QuantLib</code>
参考文献----------References----------
http://quantlib.org/ for details on <code>QuantLib</code>.
实例----------Examples----------
#this follow an example in test-suite/convertiblebond.cpp [这遵循了一个例子，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)[ConvertibleFloatingCouponBond（bondparams，iborindex，点差，工艺，dateparams）]
#example using default values[例如，使用默认值]
#ConvertibleFloatingCouponBond(bondparams, iborindex,spreads, process)[ConvertibleFloatingCouponBond（bondparams，iborindex，利差过程）]
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,[ConvertibleFloatingCouponBond（bondparams，iborindex，]
#spreads, process, dateparams)[利差过程中，dateparams）]
#this follow an example in test-suite/convertiblebond.cpp [这遵循了一个例子，test-suite/convertiblebond.cpp]
#for ConvertibleFixedCouponBond[为ConvertibleFixedCouponBond]
#set up arguments to build a pricing engine.[设置参数建立一个定价引擎。]
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[例如，使用默认值]
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 [这遵循了一个例子，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[例如默认值]
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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注：
注1：为了方便大家学习，本文档为生物统计家园网机器人LoveR翻译而成，仅供个人R语言学习参考使用，生物统计家园保留版权。
注2：由于是机器人自动翻译，难免有不准确之处，使用时仔细对照中、英文内容进行反复理解，可以帮助R语言的学习。
注3：如遇到不准确之处，请在本贴的后面进行回帖，我们会逐渐进行修订。
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发表于 2012-9-28 20:32:30
