FloatingCatBond Class Reference

floating-rate cat bond (possibly capped and/or floored) More...

#include <ql/experimental/catbonds/catbond.hpp>

Inheritance diagram for FloatingCatBond:

Collaboration diagram for FloatingCatBond:

Public Member Functions
	FloatingCatBond (Natural settlementDays, Real faceAmount, const Schedule &schedule, const ext::shared_ptr< IborIndex > &iborIndex, const DayCounter &accrualDayCounter, const ext::shared_ptr< NotionalRisk > &notionalRisk, BusinessDayConvention paymentConvention=Following, Natural fixingDays=Null< Natural >(), const std::vector< Real > &gearings=std::vector< Real >(1, 1.0), const std::vector< Spread > &spreads=std::vector< Spread >(1, 0.0), const std::vector< Rate > &caps=std::vector< Rate >(), const std::vector< Rate > &floors=std::vector< Rate >(), bool inArrears=false, Real redemption=100.0, const Date &issueDate=Date())
	FloatingCatBond (Natural settlementDays, Real faceAmount, const Date &startDate, const Date &maturityDate, Frequency couponFrequency, const Calendar &calendar, const ext::shared_ptr< IborIndex > &iborIndex, const DayCounter &accrualDayCounter, const ext::shared_ptr< NotionalRisk > &notionalRisk, BusinessDayConvention accrualConvention=Following, BusinessDayConvention paymentConvention=Following, Natural fixingDays=Null< Natural >(), const std::vector< Real > &gearings=std::vector< Real >(1, 1.0), const std::vector< Spread > &spreads=std::vector< Spread >(1, 0.0), const std::vector< Rate > &caps=std::vector< Rate >(), const std::vector< Rate > &floors=std::vector< Rate >(), bool inArrears=false, Real redemption=100.0, const Date &issueDate=Date(), const Date &stubDate=Date(), DateGeneration::Rule rule=DateGeneration::Backward, bool endOfMonth=false)
Public Member Functions inherited from CatBond
	CatBond (Natural settlementDays, const Calendar &calendar, const Date &issueDate, ext::shared_ptr< NotionalRisk > notionalRisk)
	~CatBond () override=default
void	setupArguments (PricingEngine::arguments *) const override
void	fetchResults (const PricingEngine::results *) const override
Real	lossProbability () const
Real	expectedLoss () const
Real	exhaustionProbability () 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
	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 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 CatBond
ext::shared_ptr< NotionalRisk >	notionalRisk_
Real	lossProbability_
Real	exhaustionProbability_
Real	expectedLoss_
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_

Detailed Description

floating-rate cat bond (possibly capped and/or floored)

Tests:

calculations are tested by checking results against cached values.

Definition at line 93 of file catbond.hpp.

Constructor & Destructor Documentation

FloatingCatBond() [1/2]

FloatingCatBond	(	Natural	settlementDays,
		Real	faceAmount,
		const Schedule &	schedule,
		const ext::shared_ptr< IborIndex > &	iborIndex,
		const DayCounter &	accrualDayCounter,
		const ext::shared_ptr< NotionalRisk > &	notionalRisk,
		BusinessDayConvention	paymentConvention = Following,
		Natural	fixingDays = Null<Natural>(),
		const std::vector< Real > &	gearings = std::vector<Real>(1, 1.0),
		const std::vector< Spread > &	spreads = std::vector<Spread>(1, 0.0),
		const std::vector< Rate > &	caps = std::vector<Rate>(),
		const std::vector< Rate > &	floors = std::vector<Rate>(),
		bool	inArrears = false,
		Real	redemption = 100.0,
		const Date &	issueDate = Date()
	)

Definition at line 60 of file catbond.cpp.

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FloatingCatBond() [2/2]

FloatingCatBond	(	Natural	settlementDays,
		Real	faceAmount,
		const Date &	startDate,
		const Date &	maturityDate,
		Frequency	couponFrequency,
		const Calendar &	calendar,
		const ext::shared_ptr< IborIndex > &	iborIndex,
		const DayCounter &	accrualDayCounter,
		const ext::shared_ptr< NotionalRisk > &	notionalRisk,
		BusinessDayConvention	accrualConvention = Following,
		BusinessDayConvention	paymentConvention = Following,
		Natural	fixingDays = Null<Natural>(),
		const std::vector< Real > &	gearings = std::vector<Real>(1, 1.0),
		const std::vector< Spread > &	spreads = std::vector<Spread>(1, 0.0),
		const std::vector< Rate > &	caps = std::vector<Rate>(),
		const std::vector< Rate > &	floors = std::vector<Rate>(),
		bool	inArrears = false,
		Real	redemption = 100.0,
		const Date &	issueDate = Date(),
		const Date &	stubDate = Date(),
		DateGeneration::Rule	rule = DateGeneration::Backward,
		bool	endOfMonth = false
	)

Definition at line 98 of file catbond.cpp.

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