base class for convertible bonds More...

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

Inheritance diagram for ConvertibleBond:

Collaboration diagram for ConvertibleBond:

Classes
class	arguments

class	engine

Public Member Functions
Real	conversionRatio () const

const CallabilitySchedule &	callability () 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 Member Functions
	ConvertibleBond (ext::shared_ptr< Exercise > exercise, Real conversionRatio, const CallabilitySchedule &callability, const Date &issueDate, Natural settlementDays, const Schedule &schedule, Real redemption)

void	setupArguments (PricingEngine::arguments *) const override

Protected Member Functions inherited from Bond
void	setupExpired () 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

Private Attributes
ext::shared_ptr< Exercise >	exercise_

Real	conversionRatio_

CallabilitySchedule	callability_

Real	redemption_

Additional Inherited Members
Public Types inherited from Observer
typedef set_type::iterator	iterator

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

base class for convertible bonds

Definition at line 54 of file convertiblebonds.hpp.

Constructor & Destructor Documentation

◆ ConvertibleBond()

ConvertibleBond	(	ext::shared_ptr< Exercise >	exercise,
		Real	conversionRatio,
		const CallabilitySchedule &	callability,
		const Date &	issueDate,
		Natural	settlementDays,
		const Schedule &	schedule,
		Real	redemption
	)

protected

Definition at line 32 of file convertiblebonds.cpp.

Here is the call graph for this function:

Member Function Documentation

◆ conversionRatio()

Real conversionRatio ( ) const

Definition at line 58 of file convertiblebonds.hpp.

◆ callability()

const CallabilitySchedule & callability ( ) const

Definition at line 59 of file convertiblebonds.hpp.

Here is the caller graph for this function:

◆ setupArguments()

void setupArguments ( PricingEngine::arguments * ) const

overrideprotectedvirtual

When a derived argument structure is defined for an instrument, this method should be overridden to fill it. This is mandatory in case a pricing engine is used.

Reimplemented from Bond.

Definition at line 153 of file convertiblebonds.cpp.

Here is the call graph for this function:

Member Data Documentation

◆ exercise_

ext::shared_ptr<Exercise> exercise_

private

Definition at line 72 of file convertiblebonds.hpp.

◆ conversionRatio_

Real conversionRatio_

private

Definition at line 73 of file convertiblebonds.hpp.

◆ callability_

CallabilitySchedule callability_

private

Definition at line 74 of file convertiblebonds.hpp.

◆ redemption_

Real redemption_

private

Definition at line 75 of file convertiblebonds.hpp.

Classes

Public Member Functions

Protected Member Functions

Private Attributes

Additional Inherited Members

Detailed Description

Constructor & Destructor Documentation

◆ ConvertibleBond()

Member Function Documentation

◆ conversionRatio()

◆ callability()

◆ setupArguments()

Member Data Documentation

◆ exercise_

◆ conversionRatio_

◆ callability_

◆ redemption_