Callable bond base class. More...

#include <ql/experimental/callablebonds/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 CallabilitySchedule &	callability () 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 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 ()

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< 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

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.

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◆ 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.

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◆ 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.

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◆ 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.

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◆ accrued()

Real accrued ( Date settlement ) const

private

Definition at line 461 of file callablebond.cpp.

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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.

Classes

Public Member Functions

Calculations

Additional Inherited Members

Detailed Description

Constructor & Destructor Documentation

◆ CallableBond()

Member Function Documentation

◆ callability()

◆ impliedVolatility()

◆ OAS()

◆ cleanPriceOAS()

◆ effectiveDuration()

◆ effectiveConvexity()

◆ setupArguments()

◆ accrued()

Member Data Documentation

◆ paymentDayCounter_

◆ frequency_

◆ putCallSchedule_

◆ faceAmount_