ConstantMaturityBondIndex Class Reference

Constant Maturity Bond Index. More...

#include <qle/indexes/bondindex.hpp>

Inheritance diagram for ConstantMaturityBondIndex:

Collaboration diagram for ConstantMaturityBondIndex:

Public Member Functions
	ConstantMaturityBondIndex (const std::string &familyName, const Period &tenor, Natural settlementDays=0, Currency currency=Currency(), Calendar fixingCalendar=NullCalendar(), DayCounter dayCounter=SimpleDayCounter(), BusinessDayConvention convention=Following, bool endOfMonth=false, ext::shared_ptr< Bond > bond=nullptr, Compounding compounding=Compounded, Frequency frequency=Annual, Real accuracy=1.0e-8, Size maxEvaluations=100, Real guess=0.05, QuantLib::Bond::Price::Type priceType=QuantLib::Bond::Price::Clean)
InterestRateIndex interface
Date	maturityDate (const Date &valueDate) const override
Fixing calculations
Rate	forecastFixing (const Date &fixingDate) const override

Inspectors
BusinessDayConvention	convention_
bool	endOfMonth_
ext::shared_ptr< Bond >	bond_
Compounding	compounding_
Frequency	frequency_
Real	accuracy_
Size	maxEvaluations_
Real	guess_
Bond::Price::Type	priceType_
Date	bondStartDate_
std::string	securityId_
std::string	creditCurveId_
BusinessDayConvention	convention () const
bool	endOfMonth () const
const ext::shared_ptr< Bond > &	bond () const

Detailed Description

Constant Maturity Bond Index.

The purpose of this object is converting generic bond prices into yields and to use the yields as fixings in the context of floating rate coupons

Definition at line 199 of file bondindex.hpp.

Constructor & Destructor Documentation

ConstantMaturityBondIndex()

ConstantMaturityBondIndex	(	const std::string &	familyName,
		const Period &	tenor,
		Natural	settlementDays = 0,
		Currency	currency = Currency(),
		Calendar	fixingCalendar = NullCalendar(),
		DayCounter	dayCounter = SimpleDayCounter(),
		BusinessDayConvention	convention = Following,
		bool	endOfMonth = false,
		ext::shared_ptr< Bond >	bond = nullptr,
		Compounding	compounding = Compounded,
		Frequency	frequency = Annual,
		Real	accuracy = 1.0e-8,
		Size	maxEvaluations = 100,
		Real	guess = 0.05,
		QuantLib::Bond::Price::Type	priceType = QuantLib::Bond::Price::Clean
	)

Definition at line 201 of file bondindex.hpp.

      : InterestRateIndex(familyName, tenor, settlementDays, currency, fixingCalendar, dayCounter),
    convention_(convention), endOfMonth_(endOfMonth),
    bond_(bond), compounding_(compounding), frequency_(frequency),
    accuracy_(accuracy), maxEvaluations_(maxEvaluations), guess_(guess), priceType_(priceType) {
        std::ostringstream o;
    o << familyName_ << "-" << tenor_;
    name_ = o.str();
        if (bond_) {
        registerWith(bond_);
        bondStartDate_ = bond->startDate();
    }
    }

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Member Function Documentation

maturityDate()

Date maturityDate ( const Date &  valueDate ) const

override

Definition at line 207 of file bondindex.cpp.

                                                                        {
    // same as IborIndex
    return fixingCalendar().advance(valueDate, tenor_, convention_, endOfMonth_);
}

forecastFixing()

Rate forecastFixing ( const Date &  fixingDate ) const

override

Definition at line 212 of file bondindex.cpp.

                                                                           {
    QL_REQUIRE(bond_, "cannot forecast ConstantMaturityBondIndex fixing, because underlying bond not set");
    QL_REQUIRE(fixingDate == bondStartDate_, "bond yield fixing only available at bond start date, "
           << io::iso_date(fixingDate) << " != " << io::iso_date(bondStartDate_));
    return bond_->yield(dayCounter_, compounding_, frequency_, accuracy_, maxEvaluations_, guess_, priceType_);
}

convention()

BusinessDayConvention convention

(

)

const

Definition at line 245 of file bondindex.hpp.

{ return convention_; }

endOfMonth()

bool endOfMonth

(

)

const

Definition at line 246 of file bondindex.hpp.

{ return endOfMonth_; }

bond()

const ext::shared_ptr< Bond > & bond

(

)

const

Definition at line 247 of file bondindex.hpp.

{ return bond_; }

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Member Data Documentation

convention_

BusinessDayConvention convention_

private

Definition at line 251 of file bondindex.hpp.

endOfMonth_

bool endOfMonth_

private

Definition at line 252 of file bondindex.hpp.

bond_

ext::shared_ptr<Bond> bond_

private

Definition at line 253 of file bondindex.hpp.

compounding_

Compounding compounding_

private

Definition at line 254 of file bondindex.hpp.

frequency_

Frequency frequency_

private

Definition at line 255 of file bondindex.hpp.

accuracy_

Real accuracy_

private

Definition at line 256 of file bondindex.hpp.

maxEvaluations_

Size maxEvaluations_

private

Definition at line 257 of file bondindex.hpp.

guess_

Real guess_

private

Definition at line 258 of file bondindex.hpp.

priceType_

Bond::Price::Type priceType_

private

Definition at line 259 of file bondindex.hpp.

bondStartDate_

Date bondStartDate_

private

Definition at line 260 of file bondindex.hpp.

securityId_

std::string securityId_

private

Definition at line 261 of file bondindex.hpp.

creditCurveId_

std::string creditCurveId_

private

Definition at line 262 of file bondindex.hpp.