ConvertibleBond Class Reference

convertible bond More...

#include <qle/instruments/convertiblebond.hpp>

Inheritance diagram for ConvertibleBond:

Collaboration diagram for ConvertibleBond:

Classes
class	option

Public Member Functions
	ConvertibleBond (Natural settlementDays, const Calendar &calendar, const Date &issueDate, const Leg &coupons, const QuantLib::ext::shared_ptr< Exercise > &exercise, const Real conversionRatio, const DividendSchedule &dividends, const CallabilitySchedule &callability)
	similar to bond ctor, coupons should not contain redemption flows More...
QuantLib::ext::shared_ptr< Exercise >	exercise () const
Real	conversionRatio () const
const DividendSchedule &	dividends () const
const CallabilitySchedule &	callability () const

Protected Member Functions
void	performCalculations () const override

Protected Attributes
QuantLib::ext::shared_ptr< Exercise >	exercise_
Real	conversionRatio_
DividendSchedule	dividends_
CallabilitySchedule	callability_
QuantLib::ext::shared_ptr< option >	option_

Detailed Description

convertible bond

Definition at line 56 of file convertiblebond.hpp.

Constructor & Destructor Documentation

ConvertibleBond()

ConvertibleBond	(	Natural	settlementDays,
		const Calendar &	calendar,
		const Date &	issueDate,
		const Leg &	coupons,
		const QuantLib::ext::shared_ptr< Exercise > &	exercise,
		const Real	conversionRatio,
		const DividendSchedule &	dividends,
		const CallabilitySchedule &	callability
	)

similar to bond ctor, coupons should not contain redemption flows

Definition at line 36 of file convertiblebond.cpp.

    : Bond(settlementDays, calendar, issueDate, coupons), exercise_(exercise), conversionRatio_(conversionRatio),
      dividends_(dividends), callability_(callability) {
 
    if (!callability.empty()) {
        QL_REQUIRE(callability.back()->date() <= maturityDate_, "last callability date (" << callability.back()->date()
                                                                                          << ") later than maturity ("
                                                                                          << maturityDate_ << ")");
    }
 
    QL_REQUIRE(exercise_, "no exercise for conversion given");
    QL_REQUIRE(!exercise_->dates().empty(), "exercise does not contain any conversion dates");
 
    option_ = QuantLib::ext::make_shared<option>(this);
}

Here is the call graph for this function:

Member Function Documentation

exercise()

QuantLib::ext::shared_ptr< Exercise > exercise

(

)

const

Definition at line 63 of file convertiblebond.hpp.

{ return exercise_; }

Here is the caller graph for this function:

conversionRatio()

Real conversionRatio

(

)

const

Definition at line 64 of file convertiblebond.hpp.

{ return conversionRatio_; }

Here is the caller graph for this function:

dividends()

const DividendSchedule & dividends

(

)

const

Definition at line 65 of file convertiblebond.hpp.

{ return dividends_; }

callability()

const CallabilitySchedule & callability

(

)

const

Definition at line 66 of file convertiblebond.hpp.

{ return callability_; }

Here is the caller graph for this function:

performCalculations()

void performCalculations ( ) const

overrideprotected

Definition at line 55 of file convertiblebond.cpp.

                                                {
    option_->setPricingEngine(engine_);
    NPV_ = settlementValue_ = option_->NPV();
    additionalResults_ = option_->additionalResults();
    errorEstimate_ = Null<Real>();
}

Member Data Documentation

exercise_

QuantLib::ext::shared_ptr<Exercise> exercise_

protected

Definition at line 71 of file convertiblebond.hpp.

conversionRatio_

Real conversionRatio_

protected

Definition at line 72 of file convertiblebond.hpp.

dividends_

DividendSchedule dividends_

protected

Definition at line 73 of file convertiblebond.hpp.

callability_

CallabilitySchedule callability_

protected

Definition at line 74 of file convertiblebond.hpp.

option_

QuantLib::ext::shared_ptr<option> option_

protected

Definition at line 76 of file convertiblebond.hpp.