fixed-rate bond More...

#include <ql/instruments/bonds/fixedratebond.hpp>

Inheritance diagram for FixedRateBond:

Collaboration diagram for FixedRateBond:

Public Member Functions
	FixedRateBond (Natural settlementDays, Real faceAmount, const Schedule &schedule, const std::vector< Rate > &coupons, const DayCounter &accrualDayCounter, BusinessDayConvention paymentConvention=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, const DayCounter &firstPeriodDayCounter=DayCounter())
	simple annual compounding coupon rates More...

Frequency	frequency () const

const DayCounter &	dayCounter () const

const DayCounter &	firstPeriodDayCounter () 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 ()

Protected Attributes
Frequency	frequency_

DayCounter	dayCounter_

DayCounter	firstPeriodDayCounter_

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_

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

Detailed Description

fixed-rate bond

Tests:: calculations are tested by checking results against cached values.

Examples: Bonds.cpp.

Definition at line 46 of file fixedratebond.hpp.

Constructor & Destructor Documentation

◆ FixedRateBond()

FixedRateBond	(	Natural	settlementDays,
		Real	faceAmount,
		const Schedule &	schedule,
		const std::vector< Rate > &	coupons,
		const DayCounter &	accrualDayCounter,
		BusinessDayConvention	paymentConvention = `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`,
		const DayCounter &	firstPeriodDayCounter = `DayCounter()`
	)

simple annual compounding coupon rates

Definition at line 31 of file fixedratebond.cpp.

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Member Function Documentation

◆ frequency()

Frequency frequency ( ) const

Definition at line 64 of file fixedratebond.hpp.

◆ dayCounter()

const DayCounter & dayCounter ( ) const

Definition at line 65 of file fixedratebond.hpp.

◆ firstPeriodDayCounter()

const DayCounter & firstPeriodDayCounter ( ) const

Definition at line 66 of file fixedratebond.hpp.

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Member Data Documentation

◆ frequency_

Frequency frequency_

protected

Definition at line 68 of file fixedratebond.hpp.

◆ dayCounter_

DayCounter dayCounter_

protected

Definition at line 69 of file fixedratebond.hpp.

◆ firstPeriodDayCounter_

DayCounter firstPeriodDayCounter_

protected

Definition at line 70 of file fixedratebond.hpp.

Public Member Functions

Protected Attributes

Additional Inherited Members

Detailed Description

Constructor & Destructor Documentation

◆ FixedRateBond()

Member Function Documentation

◆ frequency()

◆ dayCounter()

◆ firstPeriodDayCounter()

Member Data Documentation

◆ frequency_

◆ dayCounter_

◆ firstPeriodDayCounter_