impliedbondspread.hpp

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/*
Copyright (C) 2018 Quaternion Risk Management Ltd
All rights reserved.
 
This file is part of ORE, a free-software/open-source library
for transparent pricing and risk analysis - http://opensourcerisk.org
 
ORE is free software: you can redistribute it and/or modify it
under the terms of the Modified BSD License.  You should have received a
copy of the license along with this program.
The license is also available online at <http://opensourcerisk.org>
 
This program is distributed on the basis that it will form a useful
contribution to risk analytics and model standardisation, but WITHOUT
ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or
FITNESS FOR A PARTICULAR PURPOSE. See the license for more details.
*/
 
/*! \file qle/instruments/impliedbondspread.hpp
\brief utilities for implied bond credit spread calculation
 
\ingroup instruments
*/
 
#ifndef quantlib_implied_bond_spread_hpp
#define quantlib_implied_bond_spread_hpp
 
#include <ql/instruments/bond.hpp>
#include <ql/quotes/simplequote.hpp>
 
namespace QuantExt {
 
namespace detail {
 
//! helper class for implied vanilla bond spread calculation
/*! The passed engine must be linked to the passed quote
 
     \note this function is meant for developers of bond
           classes so that they can compute a fair credit spread,
           or infer spread from quoted bond price.
*/
class ImpliedBondSpreadHelper {
public:
    static QuantLib::Real calculate(const QuantLib::ext::shared_ptr<QuantLib::Bond>& bond,
                                    const QuantLib::ext::shared_ptr<QuantLib::PricingEngine>& engine,
                                    const QuantLib::ext::shared_ptr<QuantLib::SimpleQuote>& spreadQuote,
                                    QuantLib::Real targetValue,
                                    bool isCleanPrice, // if false, assumes targetValue is based on dirty price
                                    QuantLib::Real accuracy, QuantLib::Natural maxEvaluations, QuantLib::Real minSpread,
                                    QuantLib::Real maxSpread);
};
} // namespace detail
 
} // namespace QuantExt
 
#endif