ConvertibleBond::option::arguments Class Reference

#include <qle/instruments/convertiblebond.hpp>

Inheritance diagram for ConvertibleBond::option::arguments:

Collaboration diagram for ConvertibleBond::option::arguments:

Public Member Functions
	arguments ()
void	validate () const override

Public Attributes
Real	conversionRatio
Real	conversionValue
DividendSchedule	dividends
std::vector< Date >	dividendDates
std::vector< Date >	callabilityDates
std::vector< Callability::Type >	callabilityTypes
std::vector< Real >	callabilityPrices
std::vector< Real >	callabilityTriggers
std::vector< Date >	cashflowDates
std::vector< Real >	cashflowAmounts
std::vector< Date >	notionalDates
std::vector< Real >	notionals
Date	issueDate
Date	settlementDate
Date	maturityDate
Natural	settlementDays

Detailed Description

Definition at line 93 of file convertiblebond.hpp.

Constructor & Destructor Documentation

arguments()

arguments

(

)

Definition at line 95 of file convertiblebond.hpp.

: conversionRatio(Null<Real>()), settlementDays(Null<Natural>()) {}

Member Function Documentation

validate()

void validate ( ) const

override

Definition at line 151 of file convertiblebond.cpp.

                                                    {
 
    OneAssetOption::arguments::validate();
 
    QL_REQUIRE(conversionRatio != Null<Real>(), "null conversion ratio");
    QL_REQUIRE(conversionRatio > 0.0 || close_enough(conversionRatio, 0.0),
               "non-negative conversion ratio required: " << conversionRatio << " not allowed");
 
    QL_REQUIRE(settlementDate != Date(), "null settlement date");
 
    QL_REQUIRE(settlementDays != Null<Natural>(), "null settlement days");
 
    QL_REQUIRE(callabilityDates.size() == callabilityTypes.size(), "different number of callability dates and types");
    QL_REQUIRE(callabilityDates.size() == callabilityPrices.size(), "different number of callability dates and prices");
    QL_REQUIRE(callabilityDates.size() == callabilityTriggers.size(),
               "different number of callability dates and triggers");
 
    QL_REQUIRE(cashflowDates.size() == cashflowAmounts.size(), "different number of coupon dates and amounts");
 
    QL_REQUIRE(exercise->lastDate() <= maturityDate, "last conversion date (" << exercise->lastDate()
                                                                              << ") must not be after bond maturity ("
                                                                              << maturityDate << ")");
}

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Member Data Documentation

conversionRatio

Real conversionRatio

Definition at line 97 of file convertiblebond.hpp.

conversionValue

Real conversionValue

Definition at line 97 of file convertiblebond.hpp.

dividends

DividendSchedule dividends

Definition at line 98 of file convertiblebond.hpp.

dividendDates

std::vector<Date> dividendDates

Definition at line 99 of file convertiblebond.hpp.

callabilityDates

std::vector<Date> callabilityDates

Definition at line 100 of file convertiblebond.hpp.

callabilityTypes

std::vector<Callability::Type> callabilityTypes

Definition at line 101 of file convertiblebond.hpp.

callabilityPrices

std::vector<Real> callabilityPrices

Definition at line 102 of file convertiblebond.hpp.

callabilityTriggers

std::vector<Real> callabilityTriggers

Definition at line 103 of file convertiblebond.hpp.

cashflowDates

std::vector<Date> cashflowDates

Definition at line 104 of file convertiblebond.hpp.

cashflowAmounts

std::vector<Real> cashflowAmounts

Definition at line 105 of file convertiblebond.hpp.

notionalDates

std::vector<Date> notionalDates

Definition at line 106 of file convertiblebond.hpp.

notionals

std::vector<Real> notionals

Definition at line 107 of file convertiblebond.hpp.

issueDate

Date issueDate

Definition at line 108 of file convertiblebond.hpp.

settlementDate

Date settlementDate

Definition at line 109 of file convertiblebond.hpp.

maturityDate

Date maturityDate

Definition at line 110 of file convertiblebond.hpp.

settlementDays

Natural settlementDays

Definition at line 111 of file convertiblebond.hpp.