Bond Futures Index. More...

#include <qle/indexes/bondindex.hpp>

Inheritance diagram for BondFuturesIndex:

Collaboration diagram for BondFuturesIndex:

Public Member Functions
	BondFuturesIndex (const QuantLib::Date &expiryDate, const std::string &securityName, const bool dirty=false, const bool relative=true, const Calendar &fixingCalendar=NullCalendar(), const QuantLib::ext::shared_ptr< QuantLib::Bond > &bond=nullptr, const Handle< YieldTermStructure > &discountCurve=Handle< YieldTermStructure >(), const Handle< DefaultProbabilityTermStructure > &defaultCurve=Handle< DefaultProbabilityTermStructure >(), const Handle< Quote > &recoveryRate=Handle< Quote >(), const Handle< Quote > &securitySpread=Handle< Quote >(), const Handle< YieldTermStructure > &incomeCurve=Handle< YieldTermStructure >(), const bool conditionalOnSurvival=true, const Date &issueDate=Date(), const PriceQuoteMethod priceQuoteMethod=PriceQuoteMethod::PercentageOfPar, const double priceQuoteBaseValue=1.0)

Index interface
std::string	name () const override

Fixing calculations
Rate	forecastFixing (const Date &fixingDate) const override

Public Member Functions inherited from BondIndex
	BondIndex (const std::string &securityName, const bool dirty=false, const bool relative=true, const Calendar &fixingCalendar=NullCalendar(), const QuantLib::ext::shared_ptr< QuantLib::Bond > &bond=nullptr, const Handle< YieldTermStructure > &discountCurve=Handle< YieldTermStructure >(), const Handle< DefaultProbabilityTermStructure > &defaultCurve=Handle< DefaultProbabilityTermStructure >(), const Handle< Quote > &recoveryRate=Handle< Quote >(), const Handle< Quote > &securitySpread=Handle< Quote >(), const Handle< YieldTermStructure > &incomeCurve=Handle< YieldTermStructure >(), const bool conditionalOnSurvival=true, const Date &issueDate=Date(), const PriceQuoteMethod priceQuoteMethod=PriceQuoteMethod::PercentageOfPar, const double priceQuoteBaseValue=1.0, const bool isInflationLinked=false, const double bidAskAdjustment=0.0, const bool bondIssueDateFallback=false)

std::string	name () const override

Calendar	fixingCalendar () const override

bool	isValidFixingDate (const Date &fixingDate) const override

Real	fixing (const Date &fixingDate, bool forecastTodaysFixing=false) const override

void	update () override

Rate	pastFixing (const Date &fixingDate) const

const std::string &	securityName () const

bool	dirty () const

bool	relative () const

QuantLib::ext::shared_ptr< QuantLib::Bond >	bond () const

Handle< YieldTermStructure >	discountCurve () const

Handle< DefaultProbabilityTermStructure >	defaultCurve () const

Handle< Quote >	recoveryRate () const

Handle< Quote >	securitySpread () const

Handle< YieldTermStructure >	incomeCurve () const

bool	conditionalOnSurvival () const

Date	issueDate () const

PriceQuoteMethod	priceQuoteMethod () const

double	priceQuoteBaseValue () const

Inspectors
Date	expiryDate_

std::string	name_

const QuantLib::Date &	expiryDate () const

Additional Inherited Members
Public Types inherited from BondIndex
enum class	PriceQuoteMethod { PercentageOfPar , CurrencyPerUnit }

Protected Attributes inherited from BondIndex
std::string	securityName_

bool	dirty_

bool	relative_

Calendar	fixingCalendar_

QuantLib::ext::shared_ptr< QuantLib::Bond >	bond_

Handle< YieldTermStructure >	discountCurve_

Handle< DefaultProbabilityTermStructure >	defaultCurve_

Handle< Quote >	recoveryRate_

Handle< Quote >	securitySpread_

Handle< YieldTermStructure >	incomeCurve_

bool	conditionalOnSurvival_

Date	issueDate_

PriceQuoteMethod	priceQuoteMethod_

double	priceQuoteBaseValue_

bool	isInflationLinked_

double	bidAskAdjustment_

QuantLib::ext::shared_ptr< DiscountingRiskyBondEngine >	vanillaBondEngine_

bool	bondIssueDateFallback_ = false

Detailed Description

Bond Futures Index.

Definition at line 159 of file bondindex.hpp.

Constructor & Destructor Documentation

◆ BondFuturesIndex()

BondFuturesIndex	(	const QuantLib::Date &	expiryDate,
		const std::string &	securityName,
		const bool	dirty = `false`,
		const bool	relative = `true`,
		const Calendar &	fixingCalendar = `NullCalendar()`,
		const QuantLib::ext::shared_ptr< QuantLib::Bond > &	bond = `nullptr`,
		const Handle< YieldTermStructure > &	discountCurve = `Handle<YieldTermStructure>()`,
		const Handle< DefaultProbabilityTermStructure > &	defaultCurve = `Handle<DefaultProbabilityTermStructure>()`,
		const Handle< Quote > &	recoveryRate = `Handle<Quote>()`,
		const Handle< Quote > &	securitySpread = `Handle<Quote>()`,
		const Handle< YieldTermStructure > &	incomeCurve = `Handle<YieldTermStructure>()`,
		const bool	conditionalOnSurvival = `true`,
		const Date &	issueDate = `Date()`,
		const PriceQuoteMethod	priceQuoteMethod = `PriceQuoteMethod::PercentageOfPar`,
		const double	priceQuoteBaseValue = `1.0`
	)

Definition at line 158 of file bondindex.cpp.

    : BondIndex(securityName, dirty, relative, fixingCalendar, bond, discountCurve, defaultCurve, recoveryRate,
                securitySpread, incomeCurve, conditionalOnSurvival, issueDate, priceQuoteMethod, priceQuoteBaseValue),
      expiryDate_(expiryDate) {}

Member Function Documentation

◆ name()

std::string name ( ) const

override

Definition at line 170 of file bondindex.cpp.

                                       {
    if (name_ == "") {
        std::ostringstream o;
        o << "BOND-" << securityName() << "-" << QuantLib::io::iso_date(expiryDate_);
        name_ = o.str();
        // Remove the "-dd" portion from the expiry date
        name_.erase(name_.length() - 3);
    }
 
    return name_;
}

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◆ forecastFixing()

Rate forecastFixing ( const Date & fixingDate ) const

overridevirtual

Reimplemented from BondIndex.

Definition at line 182 of file bondindex.cpp.

                                                                  {
    Date today = Settings::instance().evaluationDate();
    QL_REQUIRE(fixingDate >= today, "BondFuturesIndex::forecastFixing(): fixingDate ("
                                        << fixingDate << ") must be >= today (" << today << ")");
    QL_REQUIRE(bond_, "BondFuturesIndex::forecastFixing(): bond required");
 
    auto bondNpvResults = vanillaBondEngine_->calculateNpv(bond()->settlementDate(expiryDate_),
                                                           bond()->settlementDate(expiryDate_), bond()->cashflows(),
                                                           boost::none, incomeCurve(), conditionalOnSurvival(), false);
    Real price = bondNpvResults.npv;
 
    if (!dirty()) {
        price -= bond()->accruedAmount(expiryDate_) / 100.0 * bond()->notional(expiryDate_);
    }
 
    if (relative()) {
        if (close_enough(bond()->notional(expiryDate_), 0.0))
            price = 0.0;
        else
            price /= bond()->notional(expiryDate_);
    }
 
    return price;
}

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◆ expiryDate()

const QuantLib::Date & expiryDate ( ) const

Definition at line 185 of file bondindex.hpp.

185{ return expiryDate_; }

Member Data Documentation

◆ expiryDate_

Date expiryDate_

private

Definition at line 189 of file bondindex.hpp.

◆ name_

std::string name_

mutableprivate

Definition at line 190 of file bondindex.hpp.

Public Member Functions

Inspectors

Additional Inherited Members