floating-rate bond (possibly capped and/or floored) More...
#include <ql/instruments/bonds/floatingratebond.hpp>
Public Member Functions | |
FloatingRateBond (Natural settlementDays, Real faceAmount, const Schedule &schedule, const ext::shared_ptr< IborIndex > &iborIndex, const DayCounter &accrualDayCounter, BusinessDayConvention paymentConvention=Following, Natural fixingDays=Null< Natural >(), const std::vector< Real > &gearings=std::vector< Real >(1, 1.0), const std::vector< Spread > &spreads=std::vector< Spread >(1, 0.0), const std::vector< Rate > &caps=std::vector< Rate >(), const std::vector< Rate > &floors=std::vector< Rate >(), bool inArrears=false, Real redemption=100.0, const Date &issueDate=Date(), const Period &exCouponPeriod=Period(), const Calendar &exCouponCalendar=Calendar(), BusinessDayConvention exCouponConvention=Unadjusted, bool exCouponEndOfMonth=false) | |
FloatingRateBond (Natural settlementDays, Real faceAmount, const Date &startDate, const Date &maturityDate, Frequency couponFrequency, const Calendar &calendar, const ext::shared_ptr< IborIndex > &iborIndex, const DayCounter &accrualDayCounter, BusinessDayConvention accrualConvention=Following, BusinessDayConvention paymentConvention=Following, Natural fixingDays=Null< Natural >(), const std::vector< Real > &gearings=std::vector< Real >(1, 1.0), const std::vector< Spread > &spreads=std::vector< Spread >(1, 0.0), const std::vector< Rate > &caps=std::vector< Rate >(), const std::vector< Rate > &floors=std::vector< Rate >(), bool inArrears=false, Real redemption=100.0, const Date &issueDate=Date(), const Date &stubDate=Date(), DateGeneration::Rule rule=DateGeneration::Backward, bool endOfMonth=false, const Period &exCouponPeriod=Period(), const Calendar &exCouponCalendar=Calendar(), BusinessDayConvention exCouponConvention=Unadjusted, bool exCouponEndOfMonth=false) | |
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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 |
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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... | |
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void | update () |
void | recalculate () |
void | freeze () |
void | unfreeze () |
void | alwaysForwardNotifications () |
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Observable (const Observable &) | |
Observable & | operator= (const Observable &) |
void | notifyObservers () |
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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 () |
Additional Inherited Members | |
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typedef boost::unordered_set< ext::shared_ptr< Observable > > | set_type |
typedef set_type::iterator | iterator |
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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 () |
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void | calculate () const |
virtual void | performCalculations () const |
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Natural | settlementDays_ |
Calendar | calendar_ |
std::vector< Date > | notionalSchedule_ |
std::vector< Real > | notionals_ |
Leg | cashflows_ |
Leg | redemptions_ |
Date | maturityDate_ |
Date | issueDate_ |
Real | settlementValue_ |
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Real | NPV_ |
Real | errorEstimate_ |
Date | valuationDate_ |
std::map< std::string, boost::any > | additionalResults_ |
ext::shared_ptr< PricingEngine > | engine_ |
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bool | calculated_ |
bool | frozen_ |
bool | alwaysForward_ |