bondfunctions.hpp

/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
 Copyright (C) 2007, 2008, 2009, 2010 Ferdinando Ametrano
 Copyright (C) 2007 Chiara Fornarola
 Copyright (C) 2009 StatPro Italia srl
 Copyright (C) 2009 Nathan Abbott
 
 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_functions_hpp
#define quantlib_bond_functions_hpp
 
#include <ql/cashflows/cashflows.hpp>
#include <ql/cashflows/duration.hpp>
#include <ql/cashflow.hpp>
#include <ql/interestrate.hpp>
#include <ql/instruments/bond.hpp>
#include <ql/shared_ptr.hpp>
 
namespace QuantLib {
 
    // forward declarations
    class Bond;
    class DayCounter;
    class YieldTermStructure;
 
 
    struct BondFunctions {
 
        static Date startDate(const Bond& bond);
        static Date maturityDate(const Bond& bond);
        static bool isTradable(const Bond& bond,
                               Date settlementDate = Date());
 
 
        static Leg::const_reverse_iterator
        previousCashFlow(const Bond& bond,
                         Date refDate = Date());
        static Leg::const_iterator nextCashFlow(const Bond& bond,
                                                Date refDate = Date());
        static Date previousCashFlowDate(const Bond& bond,
                                         Date refDate = Date());
        static Date nextCashFlowDate(const Bond& bond,
                                     Date refDate = Date());
        static Real previousCashFlowAmount(const Bond& bond,
                                           Date refDate = Date());
        static Real nextCashFlowAmount(const Bond& bond,
                                       Date refDate = Date());
 
 
        static Rate previousCouponRate(const Bond& bond,
                                       Date settlementDate = Date());
        static Rate nextCouponRate(const Bond& bond,
                                   Date settlementDate = Date());
        static Date accrualStartDate(const Bond& bond,
                                     Date settlementDate = Date());
        static Date accrualEndDate(const Bond& bond,
                                   Date settlementDate = Date());
        static Date referencePeriodStart(const Bond& bond,
                                         Date settlementDate = Date());
        static Date referencePeriodEnd(const Bond& bond,
                                       Date settlementDate = Date());
        static Time accrualPeriod(const Bond& bond,
                                  Date settlementDate = Date());
        static Date::serial_type accrualDays(const Bond& bond,
                                             Date settlementDate = Date());
        static Time accruedPeriod(const Bond& bond,
                                  Date settlementDate = Date());
        static Date::serial_type accruedDays(const Bond& bond,
                                             Date settlementDate = Date());
        static Real accruedAmount(const Bond& bond,
                                  Date settlementDate = Date());
 
 
        static Real cleanPrice(const Bond& bond,
                               const YieldTermStructure& discountCurve,
                               Date settlementDate = Date());
        static Real bps(const Bond& bond,
                        const YieldTermStructure& discountCurve,
                        Date settlementDate = Date());
        static Rate atmRate(const Bond& bond,
                            const YieldTermStructure& discountCurve,
                            Date settlementDate = Date(),
                            Real cleanPrice = Null<Real>());
 
 
        static Real cleanPrice(const Bond& bond,
                               const InterestRate& yield,
                               Date settlementDate = Date());
        static Real cleanPrice(const Bond& bond,
                               Rate yield,
                               const DayCounter& dayCounter,
                               Compounding compounding,
                               Frequency frequency,
                               Date settlementDate = Date());
        static Real dirtyPrice(const Bond& bond,
                               const InterestRate& yield,
                               Date settlementDate = Date());
        static Real dirtyPrice(const Bond& bond,
                               Rate yield,
                               const DayCounter& dayCounter,
                               Compounding compounding,
                               Frequency frequency,
                               Date settlementDate = Date());
        static Real bps(const Bond& bond,
                        const InterestRate& yield,
                        Date settlementDate = Date());
        static Real bps(const Bond& bond,
                        Rate yield,
                        const DayCounter& dayCounter,
                        Compounding compounding,
                        Frequency frequency,
                        Date settlementDate = Date());
        static Rate yield(const Bond& bond,
                          Real price,
                          const DayCounter& dayCounter,
                          Compounding compounding,
                          Frequency frequency,
                          Date settlementDate = Date(),
                          Real accuracy = 1.0e-10,
                          Size maxIterations = 100,
                          Rate guess = 0.05,
                          Bond::Price::Type priceType = Bond::Price::Clean);
        template <typename Solver>
        static Rate yield(const Solver& solver,
                          const Bond& bond,
                          Real price,
                          const DayCounter& dayCounter,
                          Compounding compounding,
                          Frequency frequency,
                          Date settlementDate = Date(),
                          Real accuracy = 1.0e-10,
                          Rate guess = 0.05,
                          Bond::Price::Type priceType = Bond::Price::Clean) {
            if (settlementDate == Date())
                settlementDate = bond.settlementDate();
 
            QL_REQUIRE(BondFunctions::isTradable(bond, settlementDate),
                       "non tradable at " << settlementDate <<
                       " (maturity being " << bond.maturityDate() << ")");
 
            Real dirtyPrice = price;
 
            if (priceType == Bond::Price::Clean)
                dirtyPrice += bond.accruedAmount(settlementDate);
 
            dirtyPrice /= 100.0 / bond.notional(settlementDate);
 
            return CashFlows::yield<Solver>(solver, bond.cashflows(),
                                            dirtyPrice, dayCounter, compounding,
                                            frequency, false, settlementDate,
                                            settlementDate, accuracy, guess);
        }
        static Time duration(const Bond& bond,
                             const InterestRate& yield,
                             Duration::Type type = Duration::Modified,
                             Date settlementDate = Date() );
        static Time duration(const Bond& bond,
                             Rate yield,
                             const DayCounter& dayCounter,
                             Compounding compounding,
                             Frequency frequency,
                             Duration::Type type = Duration::Modified,
                             Date settlementDate = Date() );
        static Real convexity(const Bond& bond,
                              const InterestRate& yield,
                              Date settlementDate = Date());
        static Real convexity(const Bond& bond,
                              Rate yield,
                              const DayCounter& dayCounter,
                              Compounding compounding,
                              Frequency frequency,
                              Date settlementDate = Date());
        static Real basisPointValue(const Bond& bond,
                                    const InterestRate& yield,
                                    Date settlementDate = Date());
        static Real basisPointValue(const Bond& bond,
                                    Rate yield,
                                    const DayCounter& dayCounter,
                                    Compounding compounding,
                                    Frequency frequency,
                                    Date settlementDate = Date());
        static Real yieldValueBasisPoint(const Bond& bond,
                                         const InterestRate& yield,
                                         Date settlementDate = Date());
        static Real yieldValueBasisPoint(const Bond& bond,
                                         Rate yield,
                                         const DayCounter& dayCounter,
                                         Compounding compounding,
                                         Frequency frequency,
                                         Date settlementDate = Date());
 
 
        static Real cleanPrice(const Bond& bond,
                               const ext::shared_ptr<YieldTermStructure>& discount,
                               Spread zSpread,
                               const DayCounter& dayCounter,
                               Compounding compounding,
                               Frequency frequency,
                               Date settlementDate = Date());
        static Spread zSpread(const Bond& bond,
                              Real cleanPrice,
                              const ext::shared_ptr<YieldTermStructure>&,
                              const DayCounter& dayCounter,
                              Compounding compounding,
                              Frequency frequency,
                              Date settlementDate = Date(),
                              Real accuracy = 1.0e-10,
                              Size maxIterations = 100,
                              Rate guess = 0.0);
 
    };
 
}
 
#endif