QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
|
convertible fixed-coupon bond More...
#include <convertiblebonds.hpp>
Public Member Functions | |
ConvertibleFixedCouponBond (const ext::shared_ptr< Exercise > &exercise, Real conversionRatio, const CallabilitySchedule &callability, const Date &issueDate, Natural settlementDays, const std::vector< Rate > &coupons, const DayCounter &dayCounter, const Schedule &schedule, Real redemption=100, const Period &exCouponPeriod=Period(), const Calendar &exCouponCalendar=Calendar(), BusinessDayConvention exCouponConvention=Unadjusted, bool exCouponEndOfMonth=false) | |
Public Member Functions inherited from ConvertibleBond | |
Real | conversionRatio () const |
const CallabilitySchedule & | callability () const |
Public Member Functions inherited from Bond | |
Bond (Natural settlementDays, Calendar calendar, const Date &issueDate=Date(), const Leg &coupons=Leg()) | |
constructor for amortizing or non-amortizing bonds. More... | |
Bond (Natural settlementDays, Calendar calendar, Real faceAmount, const Date &maturityDate, const Date &issueDate=Date(), const Leg &cashflows=Leg()) | |
old constructor for non amortizing bonds. More... | |
bool | isExpired () const override |
returns whether the instrument might have value greater than zero. More... | |
void | deepUpdate () override |
Natural | settlementDays () const |
const Calendar & | calendar () const |
const std::vector< Real > & | notionals () const |
virtual Real | notional (Date d=Date()) const |
const Leg & | cashflows () const |
const Leg & | redemptions () const |
const ext::shared_ptr< CashFlow > & | redemption () const |
Date | startDate () const |
Date | maturityDate () const |
Date | issueDate () const |
bool | isTradable (Date d=Date()) const |
Date | settlementDate (Date d=Date()) const |
Real | cleanPrice () const |
theoretical clean price More... | |
Real | dirtyPrice () const |
theoretical dirty price More... | |
Real | settlementValue () const |
theoretical settlement value More... | |
Rate | yield (const DayCounter &dc, Compounding comp, Frequency freq, Real accuracy=1.0e-8, Size maxEvaluations=100, Real guess=0.05, Bond::Price::Type priceType=Bond::Price::Clean) const |
theoretical bond yield More... | |
Real | cleanPrice (Rate yield, const DayCounter &dc, Compounding comp, Frequency freq, Date settlementDate=Date()) const |
clean price given a yield and settlement date More... | |
Real | dirtyPrice (Rate yield, const DayCounter &dc, Compounding comp, Frequency freq, Date settlementDate=Date()) const |
dirty price given a yield and settlement date More... | |
Real | settlementValue (Real cleanPrice) const |
settlement value as a function of the clean price More... | |
Rate | yield (Real price, const DayCounter &dc, Compounding comp, Frequency freq, Date settlementDate=Date(), Real accuracy=1.0e-8, Size maxEvaluations=100, Real guess=0.05, Bond::Price::Type priceType=Bond::Price::Clean) const |
Rate | yield (Bond::Price price, const DayCounter &dc, Compounding comp, Frequency freq, Date settlementDate=Date(), Real accuracy=1.0e-8, Size maxEvaluations=100, Real guess=0.05) const |
yield given a price and settlement date More... | |
virtual Real | accruedAmount (Date d=Date()) const |
accrued amount at a given date More... | |
virtual Rate | nextCouponRate (Date d=Date()) const |
Rate | previousCouponRate (Date d=Date()) const |
Previous coupon already paid at a given date. More... | |
Date | nextCashFlowDate (Date d=Date()) const |
Date | previousCashFlowDate (Date d=Date()) const |
Public Member Functions inherited from Instrument | |
Instrument () | |
Real | NPV () const |
returns the net present value of the instrument. More... | |
Real | errorEstimate () const |
returns the error estimate on the NPV when available. More... | |
const Date & | valuationDate () const |
returns the date the net present value refers to. More... | |
template<typename T > | |
T | result (const std::string &tag) const |
returns any additional result returned by the pricing engine. More... | |
const std::map< std::string, ext::any > & | additionalResults () const |
returns all additional result returned by the pricing engine. More... | |
void | setPricingEngine (const ext::shared_ptr< PricingEngine > &) |
set the pricing engine to be used. More... | |
Public Member Functions inherited from LazyObject | |
LazyObject () | |
~LazyObject () override=default | |
void | update () override |
bool | isCalculated () const |
void | forwardFirstNotificationOnly () |
void | alwaysForwardNotifications () |
void | recalculate () |
void | freeze () |
void | unfreeze () |
Public Member Functions inherited from Observable | |
Observable () | |
Observable (const Observable &) | |
Observable & | operator= (const Observable &) |
Observable (Observable &&)=delete | |
Observable & | operator= (Observable &&)=delete |
virtual | ~Observable ()=default |
void | notifyObservers () |
Public Member Functions inherited from Observer | |
Observer ()=default | |
Observer (const Observer &) | |
Observer & | operator= (const Observer &) |
virtual | ~Observer () |
std::pair< iterator, bool > | registerWith (const ext::shared_ptr< Observable > &) |
void | registerWithObservables (const ext::shared_ptr< Observer > &) |
Size | unregisterWith (const ext::shared_ptr< Observable > &) |
void | unregisterWithAll () |
virtual void | update ()=0 |
virtual void | deepUpdate () |
Additional Inherited Members | |
Public Types inherited from Observer | |
typedef set_type::iterator | iterator |
Protected Member Functions inherited from ConvertibleBond | |
ConvertibleBond (ext::shared_ptr< Exercise > exercise, Real conversionRatio, const CallabilitySchedule &callability, const Date &issueDate, Natural settlementDays, const Schedule &schedule, Real redemption) | |
void | setupArguments (PricingEngine::arguments *) const override |
Protected Member Functions inherited from Bond | |
void | setupExpired () const override |
void | fetchResults (const PricingEngine::results *) const override |
void | addRedemptionsToCashflows (const std::vector< Real > &redemptions=std::vector< Real >()) |
void | setSingleRedemption (Real notional, Real redemption, const Date &date) |
void | setSingleRedemption (Real notional, const ext::shared_ptr< CashFlow > &redemption) |
void | calculateNotionalsFromCashflows () |
Protected Member Functions inherited from Instrument | |
void | calculate () const override |
void | performCalculations () const override |
Protected Member Functions inherited from LazyObject | |
Protected Attributes inherited from Bond | |
Natural | settlementDays_ |
Calendar | calendar_ |
std::vector< Date > | notionalSchedule_ |
std::vector< Real > | notionals_ |
Leg | cashflows_ |
Leg | redemptions_ |
Date | maturityDate_ |
Date | issueDate_ |
Real | settlementValue_ |
Protected Attributes inherited from Instrument | |
Real | NPV_ |
Real | errorEstimate_ |
Date | valuationDate_ |
std::map< std::string, ext::any > | additionalResults_ |
ext::shared_ptr< PricingEngine > | engine_ |
Protected Attributes inherited from LazyObject | |
bool | calculated_ = false |
bool | frozen_ = false |
bool | alwaysForward_ |
convertible fixed-coupon bond
Definition at line 104 of file convertiblebonds.hpp.
ConvertibleFixedCouponBond | ( | const ext::shared_ptr< Exercise > & | exercise, |
Real | conversionRatio, | ||
const CallabilitySchedule & | callability, | ||
const Date & | issueDate, | ||
Natural | settlementDays, | ||
const std::vector< Rate > & | coupons, | ||
const DayCounter & | dayCounter, | ||
const Schedule & | schedule, | ||
Real | redemption = 100 , |
||
const Period & | exCouponPeriod = Period() , |
||
const Calendar & | exCouponCalendar = Calendar() , |
||
BusinessDayConvention | exCouponConvention = Unadjusted , |
||
bool | exCouponEndOfMonth = false |
||
) |