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Classes | List of all members
CallableBond Class Reference

Callable bond base class. More...

#include <callablebond.hpp>

+ Inheritance diagram for CallableBond:
+ Collaboration diagram for CallableBond:

Classes

class  arguments
 
class  engine
 base class for callable fixed rate bond engine More...
 
class  results
 results for a callable bond calculation More...
 

Public Member Functions

Inspectors
const CallabilitySchedulecallability () const
 return the bond's put/call schedule More...
 
- 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 Calendarcalendar () const
 
const std::vector< Real > & notionals () const
 
virtual Real notional (Date d=Date()) const
 
const Legcashflows () const
 
const Legredemptions () 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 DatevaluationDate () 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 &)
 
Observableoperator= (const Observable &)
 
 Observable (Observable &&)=delete
 
Observableoperator= (Observable &&)=delete
 
virtual ~Observable ()=default
 
void notifyObservers ()
 
- Public Member Functions inherited from Observer
 Observer ()=default
 
 Observer (const Observer &)
 
Observeroperator= (const Observer &)
 
virtual ~Observer ()
 
std::pair< iterator, boolregisterWith (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 ()
 

Calculations

DayCounter paymentDayCounter_
 
Frequency frequency_
 
CallabilitySchedule putCallSchedule_
 
Real faceAmount_
 
Volatility impliedVolatility (const Bond::Price &targetPrice, const Handle< YieldTermStructure > &discountCurve, Real accuracy, Size maxEvaluations, Volatility minVol, Volatility maxVol) const
 returns the Black implied forward yield volatility More...
 
Spread OAS (Real cleanPrice, const Handle< YieldTermStructure > &engineTS, const DayCounter &dayCounter, Compounding compounding, Frequency frequency, Date settlementDate=Date(), Real accuracy=1.0e-10, Size maxIterations=100, Rate guess=0.0)
 Calculate the Option Adjusted Spread (OAS) More...
 
Real cleanPriceOAS (Real oas, const Handle< YieldTermStructure > &engineTS, const DayCounter &dayCounter, Compounding compounding, Frequency frequency, Date settlementDate=Date())
 
Real effectiveDuration (Real oas, const Handle< YieldTermStructure > &engineTS, const DayCounter &dayCounter, Compounding compounding, Frequency frequency, Real bump=2e-4)
 
Real effectiveConvexity (Real oas, const Handle< YieldTermStructure > &engineTS, const DayCounter &dayCounter, Compounding compounding, Frequency frequency, Real bump=2e-4)
 
void setupArguments (PricingEngine::arguments *args) const override
 
 CallableBond (Natural settlementDays, const Date &maturityDate, const Calendar &calendar, DayCounter paymentDayCounter, Real faceAmount, const Date &issueDate=Date(), CallabilitySchedule putCallSchedule=CallabilitySchedule())
 
Real accrued (Date settlement) const
 

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
- Protected Attributes inherited from Bond
Natural settlementDays_
 
Calendar calendar_
 
std::vector< DatenotionalSchedule_
 
std::vector< Realnotionals_
 
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< PricingEngineengine_
 
- Protected Attributes inherited from LazyObject
bool calculated_ = false
 
bool frozen_ = false
 
bool alwaysForward_
 

Detailed Description

Callable bond base class.

Base callable bond class for fixed and zero coupon bonds. Defines commonalities between fixed and zero coupon callable bonds. At present, only European and Bermudan put/call schedules supported (no American optionality), as defined by the Callability class.

Definition at line 53 of file callablebond.hpp.

Constructor & Destructor Documentation

◆ CallableBond()

CallableBond ( Natural  settlementDays,
const Date maturityDate,
const Calendar calendar,
DayCounter  paymentDayCounter,
Real  faceAmount,
const Date issueDate = Date(),
CallabilitySchedule  putCallSchedule = CallabilitySchedule() 
)
protected

Definition at line 30 of file callablebond.cpp.

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Member Function Documentation

◆ callability()

const CallabilitySchedule & callability ( ) const

return the bond's put/call schedule

Definition at line 62 of file callablebond.hpp.

◆ impliedVolatility()

Volatility impliedVolatility ( const Bond::Price targetPrice,
const Handle< YieldTermStructure > &  discountCurve,
Real  accuracy,
Size  maxEvaluations,
Volatility  minVol,
Volatility  maxVol 
) const

returns the Black implied forward yield volatility

the forward yield volatility, see Hull, Fourth Edition, Chapter 20, pg 536). Relevant only to European put/call schedules

Definition at line 112 of file callablebond.cpp.

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◆ OAS()

Spread OAS ( Real  cleanPrice,
const Handle< YieldTermStructure > &  engineTS,
const DayCounter dayCounter,
Compounding  compounding,
Frequency  frequency,
Date  settlementDate = Date(),
Real  accuracy = 1.0e-10,
Size  maxIterations = 100,
Rate  guess = 0.0 
)

Calculate the Option Adjusted Spread (OAS)

Calculates the spread that needs to be added to the reference curve so that the theoretical model value matches the marketPrice.

Definition at line 279 of file callablebond.cpp.

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◆ cleanPriceOAS()

Real cleanPriceOAS ( Real  oas,
const Handle< YieldTermStructure > &  engineTS,
const DayCounter dayCounter,
Compounding  compounding,
Frequency  frequency,
Date  settlementDate = Date() 
)

Calculate the clean price based on the given option-adjust-spread (oas) over the given yield term structure (engineTS)

Definition at line 313 of file callablebond.cpp.

◆ effectiveDuration()

Real effectiveDuration ( Real  oas,
const Handle< YieldTermStructure > &  engineTS,
const DayCounter dayCounter,
Compounding  compounding,
Frequency  frequency,
Real  bump = 2e-4 
)

Calculate the effective duration, i.e., the first differential of the dirty price w.r.t. a parallel shift of the yield term structure divided by current dirty price

Definition at line 337 of file callablebond.cpp.

◆ effectiveConvexity()

Real effectiveConvexity ( Real  oas,
const Handle< YieldTermStructure > &  engineTS,
const DayCounter dayCounter,
Compounding  compounding,
Frequency  frequency,
Real  bump = 2e-4 
)

Calculate the effective convexity, i.e., the second differential of the dirty price w.r.t. a parallel shift of the yield term structure divided by current dirty price

Definition at line 369 of file callablebond.cpp.

◆ setupArguments()

void setupArguments ( PricingEngine::arguments ) const
overridevirtual

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 Instrument.

Definition at line 403 of file callablebond.cpp.

◆ accrued()

Real accrued ( Date  settlement) const
private

Definition at line 461 of file callablebond.cpp.

Member Data Documentation

◆ paymentDayCounter_

DayCounter paymentDayCounter_
protected

Definition at line 140 of file callablebond.hpp.

◆ frequency_

Frequency frequency_
protected

Definition at line 141 of file callablebond.hpp.

◆ putCallSchedule_

CallabilitySchedule putCallSchedule_
protected

Definition at line 142 of file callablebond.hpp.

◆ faceAmount_

Real faceAmount_
protected

Definition at line 143 of file callablebond.hpp.