Base bond class. More...

#include <ql/instruments/bond.hpp>

Inheritance diagram for Bond:

Classes
class	Price
	Bond price information. More...

Public Member Functions
	Bond (Natural settlementDays, const Calendar &calendar, const Date &issueDate=Date(), const Leg &coupons=Leg())
	constructor for amortizing or non-amortizing bonds. More...

	Bond (Natural settlementDays, const Calendar &calendar, Real faceAmount, const Date &maturityDate, const Date &issueDate=Date(), const Leg &cashflows=Leg())
	old constructor for non amortizing bonds. More...

Instrument interface
bool	isExpired () const
	returns whether the instrument might have value greater than zero.

Observable interface
void	deepUpdate ()

Inspectors
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

Public Member Functions inherited from Instrument
Real	NPV () const
	returns the net present value of the instrument.

Real	errorEstimate () const
	returns the error estimate on the NPV when available.

const Date &	valuationDate () const
	returns the date the net present value refers to.

template<typename T >
T	result (const std::string &tag) const
	returns any additional result returned by the pricing engine.

const std::map< std::string, boost::any > &	additionalResults () const
	returns all additional result returned by the pricing engine.

void	setPricingEngine (const ext::shared_ptr< PricingEngine > &)
	set the pricing engine to be used. More...

Public Member Functions inherited from LazyObject
void	update ()

void	recalculate ()

void	freeze ()

void	unfreeze ()

void	alwaysForwardNotifications ()

Public Member Functions inherited from Observable
	Observable (const Observable &)

Observable &	operator= (const Observable &)

void	notifyObservers ()

Public Member Functions inherited from Observer
	Observer (const Observer &)

Observer &	operator= (const 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 ()

Calculations
Natural	settlementDays_

Calendar	calendar_

std::vector< Date >	notionalSchedule_

std::vector< Real >	notionals_

Leg	cashflows_

Leg	redemptions_

Date	maturityDate_

Date	issueDate_

Real	settlementValue_

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 cleanPrice, 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 (clean) 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

void	setupExpired () const

void	setupArguments (PricingEngine::arguments *) const

void	fetchResults (const PricingEngine::results *) const

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 ()

Additional Inherited Members
Public Types inherited from Observer
typedef boost::unordered_set< ext::shared_ptr< Observable > >	set_type

typedef set_type::iterator	iterator

Protected Member Functions inherited from Instrument
void	calculate () const

virtual void	performCalculations () const

Protected Member Functions inherited from LazyObject
Protected Attributes inherited from Instrument
Real	NPV_

Real	errorEstimate_

Date	valuationDate_

std::map< std::string, boost::any >	additionalResults_

ext::shared_ptr< PricingEngine >	engine_

Protected Attributes inherited from LazyObject
bool	calculated_

bool	frozen_

bool	alwaysForward_

Detailed Description

Base bond class.

Derived classes must fill the uninitialized data members.

Warning:: Most methods assume that the cash flows are stored sorted by date, the redemption(s) being after any cash flow at the same date. In particular, if there's one single redemption, it must be the last cash flow,

Tests:

price/yield calculations are cross-checked for consistency.
price/yield calculations are checked against known good values.

Examples: FittedBondCurve.cpp.

Constructor & Destructor Documentation

◆ Bond() [1/2]

Bond	(	Natural	settlementDays,
		const Calendar &	calendar,
		const Date &	issueDate = `Date()`,
		const Leg &	coupons = `Leg()`
	)

constructor for amortizing or non-amortizing bonds.

Redemptions and maturity are calculated from the coupon data, if available. Therefore, redemptions must not be included in the passed cash flows.

◆ Bond() [2/2]

Bond	(	Natural	settlementDays,
		const Calendar &	calendar,
		Real	faceAmount,
		const Date &	maturityDate,
		const Date &	issueDate = `Date()`,
		const Leg &	cashflows = `Leg()`
	)

old constructor for non amortizing bonds.

Warning:: The last passed cash flow must be the bond redemption. No other cash flow can have a date later than the redemption date.

Member Function Documentation

◆ deepUpdate()

void deepUpdate ( )

virtual

This method allows to explicitly update the instance itself and nested observers. If notifications are disabled a call to this method ensures an update of such nested observers. It should be implemented in derived classes whenever applicable

Reimplemented from Observer.

◆ cashflows()

const Leg & cashflows ( ) const

Note: returns all the cashflows, including the redemptions.

◆ redemptions()

const Leg & redemptions ( ) const

returns just the redemption flows (not interest payments)

◆ redemption()

const ext::shared_ptr<CashFlow>& redemption ( ) const

returns the redemption, if only one is defined

◆ cleanPrice() [1/2]

Real cleanPrice ( ) const

theoretical clean price

The default bond settlement is used for calculation.

Warning:: the theoretical price calculated from a flat term structure might differ slightly from the price calculated from the corresponding yield by means of the other overload of this function. If the price from a constant yield is desired, it is advisable to use such other overload.

◆ dirtyPrice() [1/2]

Real dirtyPrice ( ) const

theoretical dirty price

The default bond settlement is used for calculation.

Warning:: the theoretical price calculated from a flat term structure might differ slightly from the price calculated from the corresponding yield by means of the other overload of this function. If the price from a constant yield is desired, it is advisable to use such other overload.

◆ settlementValue() [1/2]

Real settlementValue ( ) const

theoretical settlement value

The default bond settlement date is used for calculation.

◆ yield() [1/2]

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

The default bond settlement and theoretical price are used for calculation.

◆ cleanPrice() [2/2]

Real cleanPrice	(	Rate	yield,
		const DayCounter &	dc,
		Compounding	comp,
		Frequency	freq,
		Date	settlementDate = `Date()`
	)		const

clean price given a yield and settlement date

The default bond settlement is used if no date is given.

◆ dirtyPrice() [2/2]

Real dirtyPrice	(	Rate	yield,
		const DayCounter &	dc,
		Compounding	comp,
		Frequency	freq,
		Date	settlementDate = `Date()`
	)		const

dirty price given a yield and settlement date

The default bond settlement is used if no date is given.

◆ settlementValue() [2/2]

Real settlementValue ( Real cleanPrice ) const

settlement value as a function of the clean price

The default bond settlement date is used for calculation.

◆ yield() [2/2]

Rate yield	(	Real	cleanPrice,
		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 (clean) price and settlement date

The default bond settlement is used if no date is given.

◆ accruedAmount()

virtual Real accruedAmount ( Date d = Date() ) const

virtual

accrued amount at a given date

The default bond settlement is used if no date is given.

Reimplemented in BTP, and CCTEU.

◆ nextCouponRate()

virtual Rate nextCouponRate ( Date d = Date() ) const

virtual

Expected next coupon: depending on (the bond and) the given date the coupon can be historic, deterministic or expected in a stochastic sense. When the bond settlement date is used the coupon is the already-fixed not-yet-paid one.

The current bond settlement is used if no date is given.

◆ previousCouponRate()

Rate previousCouponRate ( Date d = Date() ) const

Previous coupon already paid at a given date.

Expected previous coupon: depending on (the bond and) the given date the coupon can be historic, deterministic or expected in a stochastic sense. When the bond settlement date is used the coupon is the last paid one.

The current bond settlement is used if no date is given.

◆ setupExpired()

void setupExpired ( ) const

protectedvirtual

This method must leave the instrument in a consistent state when the expiration condition is met.

Reimplemented from Instrument.

◆ setupArguments()

void setupArguments ( PricingEngine::arguments * ) const

protectedvirtual

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.

◆ fetchResults()

void fetchResults ( const PricingEngine::results * r ) const

protectedvirtual

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

Reimplemented from Instrument.

◆ addRedemptionsToCashflows()

void addRedemptionsToCashflows ( const std::vector< Real > & redemptions = std::vector< Real >() )

protected

This method can be called by derived classes in order to build redemption payments from the existing cash flows. It must be called after setting up the cashflows_ vector and will fill the notionalSchedule_, notionals_, and redemptions_ data members.

If given, the elements of the redemptions vector will multiply the amount of the redemption cash flow. The elements will be taken in base 100, i.e., a redemption equal to 100 does not modify the amount.

Precondition: The cashflows_ vector must contain at least one coupon and must be sorted by date.

◆ setSingleRedemption() [1/2]

void setSingleRedemption	(	Real	notional,
		Real	redemption,
		const Date &	date
	)

protected

This method can be called by derived classes in order to build a bond with a single redemption payment. It will fill the notionalSchedule_, notionals_, and redemptions_ data members.

◆ setSingleRedemption() [2/2]

void setSingleRedemption	(	Real	notional,
		const ext::shared_ptr< CashFlow > &	redemption
	)

protected

This method can be called by derived classes in order to build a bond with a single redemption payment. It will fill the notionalSchedule_, notionals_, and redemptions_ data members.

◆ calculateNotionalsFromCashflows()

void calculateNotionalsFromCashflows ( )

protected

used internally to collect notional information from the coupons. It should not be called by derived classes, unless they already provide redemption cash flows (in which case they must set up the redemptions_ data member independently). It will fill the notionalSchedule_ and notionals_ data members.

Classes

Public Member Functions

Calculations

Additional Inherited Members

Detailed Description

Constructor & Destructor Documentation

◆ Bond() [1/2]

◆ Bond() [2/2]

Member Function Documentation

◆ deepUpdate()

◆ cashflows()

◆ redemptions()

◆ redemption()

◆ cleanPrice() [1/2]

◆ dirtyPrice() [1/2]

◆ settlementValue() [1/2]

◆ yield() [1/2]

◆ cleanPrice() [2/2]

◆ dirtyPrice() [2/2]

◆ settlementValue() [2/2]

◆ yield() [2/2]

◆ accruedAmount()

◆ nextCouponRate()

◆ previousCouponRate()

◆ setupExpired()

◆ setupArguments()

◆ fetchResults()

◆ addRedemptionsToCashflows()

◆ setSingleRedemption() [1/2]

◆ setSingleRedemption() [2/2]

◆ calculateNotionalsFromCashflows()