convertible floating-rate bond More...
#include <convertiblebonds.hpp>
Inheritance diagram for ConvertibleFloatingRateBond:
Collaboration diagram for ConvertibleFloatingRateBond:
Public Member Functions | |
| ConvertibleFloatingRateBond (const ext::shared_ptr< Exercise > &exercise, Real conversionRatio, const CallabilitySchedule &callability, const Date &issueDate, Natural settlementDays, const ext::shared_ptr< IborIndex > &index, Natural fixingDays, const std::vector< Spread > &spreads, const DayCounter &dayCounter, const Schedule &schedule, Real redemption=100, const Period &exCouponPeriod=Period(), const Calendar &exCouponCalendar=Calendar(), BusinessDayConvention exCouponConvention=Unadjusted, bool exCouponEndOfMonth=false) | |
| Public Member Functions inherited from ConvertibleBond | |
| 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 |
| Rate | yield (Bond::Price price, const DayCounter &dc, Compounding comp, Frequency freq, Date settlementDate=Date(), Real accuracy=1.0e-8, Size maxEvaluations=100, Real guess=0.05) 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 ConvertibleBond | |
| 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 | |
| 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
convertible floating-rate bond
- Warning:
- Most methods inherited from Bond (such as yield or the yield-based dirtyPrice and cleanPrice) refer to the underlying plain-vanilla bond and do not take convertibility and callability into account.
Definition at line 128 of file convertiblebonds.hpp.
Constructor & Destructor Documentation
◆ ConvertibleFloatingRateBond()
| ConvertibleFloatingRateBond | ( | const ext::shared_ptr< Exercise > & | exercise, |
| Real | conversionRatio, | ||
| const CallabilitySchedule & | callability, | ||
| const Date & | issueDate, | ||
| Natural | settlementDays, | ||
| const ext::shared_ptr< IborIndex > & | index, | ||
| Natural | fixingDays, | ||
| const std::vector< Spread > & | spreads, | ||
| const DayCounter & | dayCounter, | ||
| const Schedule & | schedule, | ||
| Real | redemption = 100, |
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| const Period & | exCouponPeriod = Period(), |
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| const Calendar & | exCouponCalendar = Calendar(), |
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| BusinessDayConvention | exCouponConvention = Unadjusted, |
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| bool | exCouponEndOfMonth = false |
||
| ) |
