bondhelpers.hpp

/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
 Copyright (C) 2005 Toyin Akin
 Copyright (C) 2007, 2009 StatPro Italia srl
 Copyright (C) 2008 Ferdinando Ametrano
 
 This file is part of QuantLib, a free-software/open-source library
 for financial quantitative analysts and developers - http://quantlib.org/
 
 QuantLib is free software: you can redistribute it and/or modify it
 under the terms of the QuantLib license.  You should have received a
 copy of the license along with this program; if not, please email
 <quantlib-dev@lists.sf.net>. The license is also available online at
 <http://quantlib.org/license.shtml>.
 
 This program is distributed in the hope that it will be useful, but WITHOUT
 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
 FOR A PARTICULAR PURPOSE.  See the license for more details.
*/
 
#ifndef quantlib_bond_helpers_hpp
#define quantlib_bond_helpers_hpp
 
#include <ql/termstructures/yield/ratehelpers.hpp>
#include <ql/instruments/bonds/fixedratebond.hpp>
#include <ql/instruments/bonds/cpibond.hpp>
#include <ql/cashflows/cpicoupon.hpp>
 
namespace QuantLib {
 
 
    class BondHelper : public RateHelper {
      public:
        BondHelper(const Handle<Quote>& price,
                   const ext::shared_ptr<Bond>& bond,
                   Bond::Price::Type priceType = Bond::Price::Clean);
 
 
        Real impliedQuote() const override;
        void setTermStructure(YieldTermStructure*) override;
 
        ext::shared_ptr<Bond> bond() const;
 
        Bond::Price::Type priceType() const;
 
        void accept(AcyclicVisitor&) override;
      protected:
        ext::shared_ptr<Bond> bond_;
        RelinkableHandle<YieldTermStructure> termStructureHandle_;
        Bond::Price::Type priceType_;
    };
 
 
    class FixedRateBondHelper : public BondHelper {
      public:
        FixedRateBondHelper(const Handle<Quote>& price,
                            Natural settlementDays,
                            Real faceAmount,
                            const Schedule& schedule,
                            const std::vector<Rate>& coupons,
                            const DayCounter& dayCounter,
                            BusinessDayConvention paymentConv = Following,
                            Real redemption = 100.0,
                            const Date& issueDate = Date(),
                            const Calendar& paymentCalendar = Calendar(),
                            const Period& exCouponPeriod = Period(),
                            const Calendar& exCouponCalendar = Calendar(),
                            BusinessDayConvention exCouponConvention = Unadjusted,
                            bool exCouponEndOfMonth = false,
                            Bond::Price::Type priceType = Bond::Price::Clean);
 
 
        ext::shared_ptr<FixedRateBond> fixedRateBond() const;
 
        void accept(AcyclicVisitor&) override;
      protected:
        ext::shared_ptr<FixedRateBond> fixedRateBond_;
    };
 
 
    class CPIBondHelper : public BondHelper {
      public:
        CPIBondHelper(const Handle<Quote>& price,
                      Natural settlementDays,
                      Real faceAmount,
                      bool growthOnly,
                      Real baseCPI,
                      const Period& observationLag,
                      const ext::shared_ptr<ZeroInflationIndex>& cpiIndex,
                      CPI::InterpolationType observationInterpolation,
                      const Schedule& schedule,
                      const std::vector<Rate>& fixedRate,
                      const DayCounter& accrualDayCounter,
                      BusinessDayConvention paymentConvention = Following,
                      const Date& issueDate = Date(),
                      const Calendar& paymentCalendar = Calendar(),
                      const Period& exCouponPeriod = Period(),
                      const Calendar& exCouponCalendar = Calendar(),
                      BusinessDayConvention exCouponConvention = Unadjusted,
                      bool exCouponEndOfMonth = false,
                      Bond::Price::Type priceType = Bond::Price::Clean);
 
 
        ext::shared_ptr<CPIBond> cpiBond() const;
 
        void accept(AcyclicVisitor&) override;
      protected:
        ext::shared_ptr<CPIBond> cpiBond_;
    };
 
 
    // inline
 
    inline ext::shared_ptr<Bond> BondHelper::bond() const {
        return bond_;
    }
 
    inline Bond::Price::Type BondHelper::priceType() const {
        return priceType_;
    }
 
    inline ext::shared_ptr<FixedRateBond>
    FixedRateBondHelper::fixedRateBond() const {
        return fixedRateBond_;
    }
 
    inline ext::shared_ptr<CPIBond>
    CPIBondHelper::cpiBond() const {
        return cpiBond_;
    }
 
}
 
#endif