ConvertibleBond2 Class Reference

#include <qle/instruments/convertiblebond2.hpp>

Inheritance diagram for ConvertibleBond2:

Collaboration diagram for ConvertibleBond2:

Classes
class	arguments
struct	CallabilityData
struct	ConversionData
struct	ConversionRatioData
struct	ConversionResetData
struct	DividendProtectionData
class	engine
struct	ExchangeableData
struct	MakeWholeData
struct	MandatoryConversionData
class	results

Public Member Functions
	ConvertibleBond2 (Size settlementDays, const Calendar &calendar, const Date &issueDate, const Leg &coupons, const ExchangeableData &exchangeableData=ExchangeableData{false, false}, const std::vector< CallabilityData > &callData={}, const MakeWholeData &makeWholeData={}, const std::vector< CallabilityData > &putData={}, const std::vector< ConversionRatioData > &conversionRatioData={}, const std::vector< ConversionData > &conversionData={}, const std::vector< MandatoryConversionData > &mandatoryConversionData={}, const std::vector< ConversionResetData > &conversionResetData={}, const std::vector< DividendProtectionData > &dividendProtectionData={}, const bool detachable=false, const bool perpetual=false)

Private Member Functions
void	setupArguments (PricingEngine::arguments *) const override
void	fetchResults (const PricingEngine::results *) const override

Private Attributes
ExchangeableData	exchangeableData_
std::vector< CallabilityData >	callData_
MakeWholeData	makeWholeData_
std::vector< CallabilityData >	putData_
std::vector< ConversionData >	conversionData_
std::vector< ConversionRatioData >	conversionRatioData_
std::vector< MandatoryConversionData >	mandatoryConversionData_
std::vector< ConversionResetData >	conversionResetData_
std::vector< DividendProtectionData >	dividendProtectionData_
bool	detachable_
bool	perpetual_

Detailed Description

Definition at line 37 of file convertiblebond2.hpp.

Constructor & Destructor Documentation

ConvertibleBond2()

ConvertibleBond2	(	Size	settlementDays,
		const Calendar &	calendar,
		const Date &	issueDate,
		const Leg &	coupons,
		const ExchangeableData &	exchangeableData = ExchangeableData{false, false},
		const std::vector< CallabilityData > &	callData = {},
		const MakeWholeData &	makeWholeData = {},
		const std::vector< CallabilityData > &	putData = {},
		const std::vector< ConversionRatioData > &	conversionRatioData = {},
		const std::vector< ConversionData > &	conversionData = {},
		const std::vector< MandatoryConversionData > &	mandatoryConversionData = {},
		const std::vector< ConversionResetData > &	conversionResetData = {},
		const std::vector< DividendProtectionData > &	dividendProtectionData = {},
		const bool	detachable = false,
		const bool	perpetual = false
	)

Definition at line 24 of file convertiblebond2.cpp.

    : Bond(settlementDays, calendar, issueDate, coupons), exchangeableData_(exchangeableData), callData_(callData),
      makeWholeData_(makeWholeData), putData_(putData), conversionData_(conversionData),
      conversionRatioData_(conversionRatioData), mandatoryConversionData_(mandatoryConversionData),
      conversionResetData_(conversionResetData), dividendProtectionData_(dividendProtectionData),
      detachable_(detachable), perpetual_(perpetual) {}

Member Function Documentation

setupArguments()

void setupArguments ( PricingEngine::arguments *  args ) const

overrideprivate

Definition at line 40 of file convertiblebond2.cpp.

                                                                        {
    Bond::setupArguments(args);
    ConvertibleBond2::arguments* arguments = dynamic_cast<ConvertibleBond2::arguments*>(args);
    QL_REQUIRE(arguments != nullptr, "ConvertibleBond2::setupArguments(): wrong argument type");
    arguments->startDate = startDate();
    arguments->notionals = notionals();
    arguments->exchangeableData = exchangeableData_;
    arguments->callData = callData_;
    arguments->makeWholeData = makeWholeData_;
    arguments->putData = putData_;
    arguments->conversionRatioData = conversionRatioData_;
    arguments->conversionData = conversionData_;
    arguments->mandatoryConversionData = mandatoryConversionData_;
    arguments->conversionResetData = conversionResetData_;
    arguments->dividendProtectionData = dividendProtectionData_;
    arguments->detachable = detachable_;
    arguments->perpetual = perpetual_;
}

fetchResults()

void fetchResults ( const PricingEngine::results *  r ) const

overrideprivate

Definition at line 59 of file convertiblebond2.cpp.

{ Bond::fetchResults(r); }

Member Data Documentation

exchangeableData_

ExchangeableData exchangeableData_

private

Definition at line 127 of file convertiblebond2.hpp.

callData_

std::vector<CallabilityData> callData_

private

Definition at line 128 of file convertiblebond2.hpp.

makeWholeData_

MakeWholeData makeWholeData_

private

Definition at line 129 of file convertiblebond2.hpp.

putData_

std::vector<CallabilityData> putData_

private

Definition at line 130 of file convertiblebond2.hpp.

conversionData_

std::vector<ConversionData> conversionData_

private

Definition at line 131 of file convertiblebond2.hpp.

conversionRatioData_

std::vector<ConversionRatioData> conversionRatioData_

private

Definition at line 132 of file convertiblebond2.hpp.

mandatoryConversionData_

std::vector<MandatoryConversionData> mandatoryConversionData_

private

Definition at line 133 of file convertiblebond2.hpp.

conversionResetData_

std::vector<ConversionResetData> conversionResetData_

private

Definition at line 134 of file convertiblebond2.hpp.

dividendProtectionData_

std::vector<DividendProtectionData> dividendProtectionData_

private

Definition at line 135 of file convertiblebond2.hpp.

detachable_

bool detachable_

private

Definition at line 136 of file convertiblebond2.hpp.

perpetual_

bool perpetual_

private

Definition at line 137 of file convertiblebond2.hpp.