QuantLib_Bond man page

Bond — Base bond class.

Synopsis

#include <ql/instruments/bond.hpp>

Inherits Instrument.

Inherited by AmortizingCmsRateBond, AmortizingFixedRateBond, AmortizingFloatingRateBond, CallableBond, CatBond, CmsRateBond, ConvertibleBond, CPIBond, FixedRateBond, FloatingRateBond, and ZeroCouponBond.

Public Member Functions

Bond (Natural settlementDays, const Calendar &calendar, const Date &issueDate=Date(), const Leg &coupons=Leg())
constructor for amortizing or non-amortizing bonds.
Bond (Natural settlementDays, const Calendar &calendar, Real faceAmount, const Date &maturityDate, const Date &issueDate=Date(), const Leg &cashflows=Leg())
old constructor for non amortizing bonds.
virtual Rate nextCouponRate (Date d=Date()) const

Rate previousCouponRate (Date d=Date()) const
Previous coupon already paid at a given date.
Date nextCashFlowDate (Date d=Date()) const

Date previousCashFlowDate (Date d=Date()) const

Instrument interface

bool isExpired () const
returns whether the instrument might have value greater than zero.

Inspectors

Natural settlementDays () const

const Calendar & calendar () const

const std::vector< Real > & notionals () const

virtual Real notional (Date d=Date()) const

const Leg & cashflows () const

const Leg & redemptions () const

const boost::shared_ptr< CashFlow > & redemption () const

Date startDate () const

Date maturityDate () const

Date issueDate () const

bool isTradable (Date d=Date()) const

Date settlementDate (Date d=Date()) const

Calculations

Real cleanPrice () const
theoretical clean price
Real dirtyPrice () const
theoretical dirty price
Real settlementValue () const
theoretical settlement value
Rate yield (const DayCounter &dc, Compounding comp, Frequency freq, Real accuracy=1.0e-8, Size maxEvaluations=100) const
theoretical bond yield
Real cleanPrice (Rate yield, const DayCounter &dc, Compounding comp, Frequency freq, Date settlementDate=Date()) const
clean price given a yield and settlement date
Real dirtyPrice (Rate yield, const DayCounter &dc, Compounding comp, Frequency freq, Date settlementDate=Date()) const
dirty price given a yield and settlement date
Real settlementValue (Real cleanPrice) const
settlement value as a function of the clean price
Rate yield (Real cleanPrice, const DayCounter &dc, Compounding comp, Frequency freq, Date settlementDate=Date(), Real accuracy=1.0e-8, Size maxEvaluations=100) const
yield given a (clean) price and settlement date
virtual Real accruedAmount (Date d=Date()) const
accrued amount at a given date

Protected Member Functions

void setupExpired () const

void setupArguments (PricingEngine::arguments *) const

void fetchResults (const PricingEngine::results *) const

void addRedemptionsToCashflows (const std::vector< Real > &redemptions=std::vector< Real >())

void setSingleRedemption (Real notional, Real redemption, const Date &date)

void setSingleRedemption (Real notional, const boost::shared_ptr< CashFlow > &redemption)

void calculateNotionalsFromCashflows ()

Protected Attributes

Natural settlementDays_

Calendar calendar_

std::vector< Date > notionalSchedule_

std::vector< Real > notionals_

Leg cashflows_

Leg redemptions_

Date maturityDate_

Date issueDate_

Real settlementValue_

Additional Inherited Members

Detailed Description

Base bond class.

Derived classes must fill the uninitialized data members.

Warning

Most methods assume that the cash flows are stored sorted by date, the redemption(s) being after any cash flow at the same date. In particular, if there's one single redemption, it must be the last cash flow,

Tests

·
price/yield calculations are cross-checked for consistency.
·
price/yield calculations are checked against known good values.

Examples: FittedBondCurve.cpp.

Constructor & Destructor Documentation

Bond (Natural settlementDays, const Calendar & calendar, const Date & issueDate = Date(), const Leg & coupons = Leg())

constructor for amortizing or non-amortizing bonds. Redemptions and maturity are calculated from the coupon data, if available. Therefore, redemptions must not be included in the passed cash flows.

Bond (Natural settlementDays, const Calendar & calendar, Real faceAmount, const Date & maturityDate, const Date & issueDate = Date(), const Leg & cashflows = Leg())

old constructor for non amortizing bonds.

Warning

The last passed cash flow must be the bond redemption. No other cash flow can have a date later than the redemption date.

Member Function Documentation

const Leg & cashflows () const

Note:

returns all the cashflows, including the redemptions.

Examples: Bonds.cpp.

const Leg & redemptions () const

returns just the redemption flows (not interest payments)

const boost::shared_ptr<CashFlow>& redemption () const

returns the redemption, if only one is defined

Real cleanPrice () const

theoretical clean price The default bond settlement is used for calculation.

Warning

the theoretical price calculated from a flat term structure might differ slightly from the price calculated from the corresponding yield by means of the other overload of this function. If the price from a constant yield is desired, it is advisable to use such other overload.

Examples: Bonds.cpp, and CallableBonds.cpp.

Real dirtyPrice () const

theoretical dirty price The default bond settlement is used for calculation.

Warning

the theoretical price calculated from a flat term structure might differ slightly from the price calculated from the corresponding yield by means of the other overload of this function. If the price from a constant yield is desired, it is advisable to use such other overload.

Examples: Bonds.cpp.

Real settlementValue () const

theoretical settlement value The default bond settlement date is used for calculation.

Rate yield (const DayCounter & dc, Compounding comp, Frequency freq, Real accuracy = 1.0e-8, Size maxEvaluations = 100) const

theoretical bond yield The default bond settlement and theoretical price are used for calculation.

Examples: Bonds.cpp, and CallableBonds.cpp.

Real cleanPrice (Rate yield, const DayCounter & dc, Compounding comp, Frequency freq, Date settlementDate = Date()) const

clean price given a yield and settlement date The default bond settlement is used if no date is given.

Real dirtyPrice (Rate yield, const DayCounter & dc, Compounding comp, Frequency freq, Date settlementDate = Date()) const

dirty price given a yield and settlement date The default bond settlement is used if no date is given.

Real settlementValue (Real cleanPrice) const

settlement value as a function of the clean price The default bond settlement date is used for calculation.

Rate yield (Real cleanPrice, const DayCounter & dc, Compounding comp, Frequency freq, Date settlementDate = Date(), Real accuracy = 1.0e-8, Size maxEvaluations = 100) const

yield given a (clean) price and settlement date The default bond settlement is used if no date is given.

virtual Real accruedAmount (Date d = Date()) const [virtual]

accrued amount at a given date The default bond settlement is used if no date is given.

Reimplemented in BTP, and CCTEU.

Examples: Bonds.cpp.

virtual Rate nextCouponRate (Date d = Date()) const [virtual]

Expected next coupon: depending on (the bond and) the given date the coupon can be historic, deterministic or expected in a stochastic sense. When the bond settlement date is used the coupon is the already-fixed not-yet-paid one.

The current bond settlement is used if no date is given.

Examples: Bonds.cpp.

Rate previousCouponRate (Date d = Date()) const

Previous coupon already paid at a given date. Expected previous coupon: depending on (the bond and) the given date the coupon can be historic, deterministic or expected in a stochastic sense. When the bond settlement date is used the coupon is the last paid one.

The current bond settlement is used if no date is given.

Examples: Bonds.cpp.

void setupExpired () const [protected], [virtual]

This method must leave the instrument in a consistent state when the expiration condition is met.

Reimplemented from Instrument.

void setupArguments (PricingEngine::arguments *) const [protected], [virtual]

When a derived argument structure is defined for an instrument, this method should be overridden to fill it. This is mandatory in case a pricing engine is used.

Reimplemented from Instrument.

void fetchResults (const PricingEngine::results * r) const [protected], [virtual]

When a derived result structure is defined for an instrument, this method should be overridden to read from it. This is mandatory in case a pricing engine is used.

Reimplemented from Instrument.

void addRedemptionsToCashflows (const std::vector< Real > & redemptions = std::vector< Real >()) [protected]

This method can be called by derived classes in order to build redemption payments from the existing cash flows. It must be called after setting up the cashflows_ vector and will fill the notionalSchedule_, notionals_, and redemptions_ data members.

If given, the elements of the redemptions vector will multiply the amount of the redemption cash flow. The elements will be taken in base 100, i.e., a redemption equal to 100 does not modify the amount.

Precondition:

The cashflows_ vector must contain at least one coupon and must be sorted by date.

void setSingleRedemption (Real notional, Real redemption, const Date & date) [protected]

This method can be called by derived classes in order to build a bond with a single redemption payment. It will fill the notionalSchedule_, notionals_, and redemptions_ data members.

void setSingleRedemption (Real notional, const boost::shared_ptr< CashFlow > & redemption) [protected]

This method can be called by derived classes in order to build a bond with a single redemption payment. It will fill the notionalSchedule_, notionals_, and redemptions_ data members.

void calculateNotionalsFromCashflows () [protected]

used internally to collect notional information from the coupons. It should not be called by derived classes, unless they already provide redemption cash flows (in which case they must set up the redemptions_ data member independently). It will fill the notionalSchedule_ and notionals_ data members.

Author

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Referenced By

accruedAmount(3), addRedemptionsToCashflows(3), Bond(3), calculateNotionalsFromCashflows(3), calendar(3), cashflows(3), cashflows_(3), dirtyPrice(3), isExpired(3), issueDate(3), issueDate_(3), isTradable(3), maturityDate_(3), nextCashFlowDate(3), nextCouponRate(3), notionals_(3), notionalSchedule_(3), previousCashFlowDate(3), previousCouponRate(3), redemption(3), redemptions(3), redemptions_(3), setSingleRedemption(3), settlementDate(3), settlementDays(3), settlementValue(3), settlementValue_(3), setupExpired(3), startDate(3) and yield(3) are aliases of QuantLib_Bond(3).

Fri Sep 23 2016 Version 1.8.1 QuantLib