Callable bond base class. More...

#include <ql/experimental/callablebonds/callablebond.hpp>

Inheritance diagram for CallableBond:

Classes
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

Public Member Functions inherited from Bond
	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...

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

void	deepUpdate ()

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 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

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
DayCounter	paymentDayCounter_

Frequency	frequency_

CallabilitySchedule	putCallSchedule_

ext::shared_ptr< PricingEngine >	blackEngine_
	must be set by derived classes for impliedVolatility() to work

RelinkableHandle< Quote >	blackVolQuote_
	Black fwd yield volatility quote handle to internal blackEngine_.

RelinkableHandle< YieldTermStructure >	blackDiscountCurve_
	Black fwd yield volatility quote handle to internal blackEngine_.

class	ImpliedVolHelper

class	NPVSpreadHelper

Volatility	impliedVolatility (Real targetValue, 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)

	CallableBond (Natural settlementDays, const Schedule &schedule, const DayCounter &paymentDayCounter, const Date &issueDate=Date(), const CallabilitySchedule &putCallSchedule=CallabilitySchedule())

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 Bond
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 ()

Protected Member Functions inherited from Instrument
void	calculate () const

virtual void	performCalculations () const

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, boost::any >	additionalResults_

ext::shared_ptr< PricingEngine >	engine_

Protected Attributes inherited from LazyObject
bool	calculated_

bool	frozen_

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.

Member Function Documentation

◆ impliedVolatility()

Volatility impliedVolatility	(	Real	targetValue,
		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

◆ 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 the reference curve so that the theoretical model value matches the marketPrice.

◆ 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)

◆ 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

◆ 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

Classes

Public Member Functions

Calculations