QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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callable/puttable fixed rate bond More...
#include <callablebond.hpp>
Public Member Functions | |
CallableFixedRateBond (Natural settlementDays, Real faceAmount, Schedule schedule, const std::vector< Rate > &coupons, const DayCounter &accrualDayCounter, BusinessDayConvention paymentConvention=Following, Real redemption=100.0, const Date &issueDate=Date(), const CallabilitySchedule &putCallSchedule={}, const Period &exCouponPeriod=Period(), const Calendar &exCouponCalendar=Calendar(), BusinessDayConvention exCouponConvention=Unadjusted, bool exCouponEndOfMonth=false) | |
Public Member Functions inherited from CallableBond | |
const CallabilitySchedule & | callability () const |
return the bond's put/call schedule More... | |
Volatility | impliedVolatility (const Bond::Price &targetPrice, const Handle< YieldTermStructure > &discountCurve, Real accuracy, Size maxEvaluations, Volatility minVol, Volatility maxVol) const |
returns the Black implied forward yield volatility More... | |
Spread | OAS (Real cleanPrice, const Handle< YieldTermStructure > &engineTS, const DayCounter &dayCounter, Compounding compounding, Frequency frequency, Date settlementDate=Date(), Real accuracy=1.0e-10, Size maxIterations=100, Rate guess=0.0) |
Calculate the Option Adjusted Spread (OAS) More... | |
Real | cleanPriceOAS (Real oas, const Handle< YieldTermStructure > &engineTS, const DayCounter &dayCounter, Compounding compounding, Frequency frequency, Date settlementDate=Date()) |
Real | effectiveDuration (Real oas, const Handle< YieldTermStructure > &engineTS, const DayCounter &dayCounter, Compounding compounding, Frequency frequency, Real bump=2e-4) |
Real | effectiveConvexity (Real oas, const Handle< YieldTermStructure > &engineTS, const DayCounter &dayCounter, Compounding compounding, Frequency frequency, Real bump=2e-4) |
void | setupArguments (PricingEngine::arguments *args) const override |
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 CallableBond | |
CallableBond (Natural settlementDays, const Date &maturityDate, const Calendar &calendar, DayCounter paymentDayCounter, Real faceAmount, const Date &issueDate=Date(), CallabilitySchedule putCallSchedule=CallabilitySchedule()) | |
Protected Member Functions inherited from Bond | |
void | setupExpired () const override |
void | setupArguments (PricingEngine::arguments *) 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 CallableBond | |
DayCounter | paymentDayCounter_ |
Frequency | frequency_ |
CallabilitySchedule | putCallSchedule_ |
Real | faceAmount_ |
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_ |
callable/puttable fixed rate bond
Callable fixed rate bond class.
Definition at line 199 of file callablebond.hpp.
CallableFixedRateBond | ( | Natural | settlementDays, |
Real | faceAmount, | ||
Schedule | schedule, | ||
const std::vector< Rate > & | coupons, | ||
const DayCounter & | accrualDayCounter, | ||
BusinessDayConvention | paymentConvention = Following , |
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Real | redemption = 100.0 , |
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const Date & | issueDate = Date() , |
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const CallabilitySchedule & | putCallSchedule = {} , |
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const Period & | exCouponPeriod = Period() , |
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const Calendar & | exCouponCalendar = Calendar() , |
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BusinessDayConvention | exCouponConvention = Unadjusted , |
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bool | exCouponEndOfMonth = false |
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