bondhelpers.hpp

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/* -*- 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.
*/
 
/*! \file bondhelpers.hpp
    \brief bond rate helpers
*/
 
#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 {
 
    //! Bond helper for curve bootstrap
    /*! \warning This class assumes that the reference date
                 does not change between calls of setTermStructure().
    */
    class BondHelper : public RateHelper {
      public:
        /*! \warning Setting a pricing engine to the passed bond from
                     external code will cause the bootstrap to fail or
                     to give wrong results. It is advised to discard
                     the bond after creating the helper, so that the
                     helper has sole ownership of it.
        */
        BondHelper(const Handle<Quote>& price,
                   const ext::shared_ptr<Bond>& bond,
                   Bond::Price::Type priceType = Bond::Price::Clean);
 
        //! \name RateHelper interface
        //@{
        Real impliedQuote() const override;
        void setTermStructure(YieldTermStructure*) override;
        //@}
        //! \name Additional inspectors
        //@{
        ext::shared_ptr<Bond> bond() const;
 
        Bond::Price::Type priceType() const;
        //@}
        //! \name Visitability
        //@{
        void accept(AcyclicVisitor&) override;
        //@}
      protected:
        ext::shared_ptr<Bond> bond_;
        RelinkableHandle<YieldTermStructure> termStructureHandle_;
        Bond::Price::Type priceType_;
    };
 
 
    //! Fixed-coupon bond helper for curve bootstrap
    class FixedRateBondHelper : public BondHelper {
      public:
        // needed to avoid warning about deprecated data member;
        // it can be removed once the latter is gone.
        QL_DEPRECATED_DISABLE_WARNING
        ~FixedRateBondHelper() override = default;
        QL_DEPRECATED_ENABLE_WARNING
 
        FixedRateBondHelper(const Handle<Quote>& price,
                            Natural settlementDays,
                            Real faceAmount,
                            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);
 
        /*! \deprecated Do not use; this method is broken and will be removed.
                        Deprecated in version 1.34.
        */
        [[deprecated("Do not use; this method is broken and will be removed.")]]
        ext::shared_ptr<FixedRateBond> fixedRateBond() const {
            QL_DEPRECATED_DISABLE_WARNING
            return fixedRateBond_;
            QL_DEPRECATED_ENABLE_WARNING
        }
 
        //! \name Visitability
        //@{
        void accept(AcyclicVisitor&) override;
        //@}
      protected:
        /*! \deprecated Do not use; this pointer is always null.
                        Deprecated in version 1.34.
        */
        [[deprecated("Do not use; this pointer is always null.")]]
        ext::shared_ptr<FixedRateBond> fixedRateBond_;
    };
 
 
    //! CPI bond helper for curve bootstrap
    class CPIBondHelper : public BondHelper {
      public:
        // needed to avoid warning about deprecated data member;
        // it can be removed once the latter is gone.
        QL_DEPRECATED_DISABLE_WARNING
        ~CPIBondHelper() override = default;
        QL_DEPRECATED_ENABLE_WARNING
 
        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,
                      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);
 
        /*! \deprecated Do not use; this method is broken and will be removed.
                        Deprecated in version 1.34.
        */
        [[deprecated("Do not use; this method is broken and will be removed.")]]
        ext::shared_ptr<CPIBond> cpiBond() const {
            QL_DEPRECATED_DISABLE_WARNING
            return cpiBond_;
            QL_DEPRECATED_ENABLE_WARNING
        }
 
        //! \name Visitability
        //@{
        void accept(AcyclicVisitor&) override;
        //@}
      protected:
        /*! \deprecated Do not use; this pointer is always null.
                        Deprecated in version 1.34.
        */
        [[deprecated("Do not use; this pointer is always null.")]]
        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_;
    }
 
 
}
 
#endif