BondFunctions Struct Reference

Bond adapters of CashFlows functions. More...

#include <ql/pricingengines/bond/bondfunctions.hpp>

Static Public Member Functions
Date inspectors
static Date	startDate (const Bond &bond)
static Date	maturityDate (const Bond &bond)
static bool	isTradable (const Bond &bond, Date settlementDate=Date())
CashFlow inspectors
static Leg::const_reverse_iterator	previousCashFlow (const Bond &bond, Date refDate=Date())
static Leg::const_iterator	nextCashFlow (const Bond &bond, Date refDate=Date())
static Date	previousCashFlowDate (const Bond &bond, Date refDate=Date())
static Date	nextCashFlowDate (const Bond &bond, Date refDate=Date())
static Real	previousCashFlowAmount (const Bond &bond, Date refDate=Date())
static Real	nextCashFlowAmount (const Bond &bond, Date refDate=Date())
Coupon inspectors
static Rate	previousCouponRate (const Bond &bond, Date settlementDate=Date())
static Rate	nextCouponRate (const Bond &bond, Date settlementDate=Date())
static Date	accrualStartDate (const Bond &bond, Date settlementDate=Date())
static Date	accrualEndDate (const Bond &bond, Date settlementDate=Date())
static Date	referencePeriodStart (const Bond &bond, Date settlementDate=Date())
static Date	referencePeriodEnd (const Bond &bond, Date settlementDate=Date())
static Time	accrualPeriod (const Bond &bond, Date settlementDate=Date())
static Date::serial_type	accrualDays (const Bond &bond, Date settlementDate=Date())
static Time	accruedPeriod (const Bond &bond, Date settlementDate=Date())
static Date::serial_type	accruedDays (const Bond &bond, Date settlementDate=Date())
static Real	accruedAmount (const Bond &bond, Date settlementDate=Date())
YieldTermStructure functions
static Real	cleanPrice (const Bond &bond, const YieldTermStructure &discountCurve, Date settlementDate=Date())
static Real	bps (const Bond &bond, const YieldTermStructure &discountCurve, Date settlementDate=Date())
static Rate	atmRate (const Bond &bond, const YieldTermStructure &discountCurve, Date settlementDate=Date(), Real cleanPrice=Null< Real >())
Yield (a.k.a. Internal Rate of Return, i.e. IRR) functions
static Real	cleanPrice (const Bond &bond, const InterestRate &yield, Date settlementDate=Date())
static Real	cleanPrice (const Bond &bond, Rate yield, const DayCounter &dayCounter, Compounding compounding, Frequency frequency, Date settlementDate=Date())
static Real	dirtyPrice (const Bond &bond, const InterestRate &yield, Date settlementDate=Date())
static Real	dirtyPrice (const Bond &bond, Rate yield, const DayCounter &dayCounter, Compounding compounding, Frequency frequency, Date settlementDate=Date())
static Real	bps (const Bond &bond, const InterestRate &yield, Date settlementDate=Date())
static Real	bps (const Bond &bond, Rate yield, const DayCounter &dayCounter, Compounding compounding, Frequency frequency, Date settlementDate=Date())
static Rate	yield (const Bond &bond, Real price, const DayCounter &dayCounter, Compounding compounding, Frequency frequency, Date settlementDate=Date(), Real accuracy=1.0e-10, Size maxIterations=100, Rate guess=0.05, Bond::Price::Type priceType=Bond::Price::Clean)
template<typename Solver >
static Rate	yield (const Solver &solver, const Bond &bond, Real price, const DayCounter &dayCounter, Compounding compounding, Frequency frequency, Date settlementDate=Date(), Real accuracy=1.0e-10, Rate guess=0.05, Bond::Price::Type priceType=Bond::Price::Clean)
static Time	duration (const Bond &bond, const InterestRate &yield, Duration::Type type=Duration::Modified, Date settlementDate=Date())
static Time	duration (const Bond &bond, Rate yield, const DayCounter &dayCounter, Compounding compounding, Frequency frequency, Duration::Type type=Duration::Modified, Date settlementDate=Date())
static Real	convexity (const Bond &bond, const InterestRate &yield, Date settlementDate=Date())
static Real	convexity (const Bond &bond, Rate yield, const DayCounter &dayCounter, Compounding compounding, Frequency frequency, Date settlementDate=Date())
static Real	basisPointValue (const Bond &bond, const InterestRate &yield, Date settlementDate=Date())
static Real	basisPointValue (const Bond &bond, Rate yield, const DayCounter &dayCounter, Compounding compounding, Frequency frequency, Date settlementDate=Date())
static Real	yieldValueBasisPoint (const Bond &bond, const InterestRate &yield, Date settlementDate=Date())
static Real	yieldValueBasisPoint (const Bond &bond, Rate yield, const DayCounter &dayCounter, Compounding compounding, Frequency frequency, Date settlementDate=Date())
Z-spread functions
static Real	cleanPrice (const Bond &bond, const ext::shared_ptr< YieldTermStructure > &discount, Spread zSpread, const DayCounter &dayCounter, Compounding compounding, Frequency frequency, Date settlementDate=Date())
static Spread	zSpread (const Bond &bond, Real cleanPrice, const ext::shared_ptr< YieldTermStructure > &, const DayCounter &dayCounter, Compounding compounding, Frequency frequency, Date settlementDate=Date(), Real accuracy=1.0e-10, Size maxIterations=100, Rate guess=0.0)

Detailed Description

Bond adapters of CashFlows functions.

See CashFlows for functions' documentation.

These adapters calls into CashFlows functions passing as input the Bond cashflows, the dirty price (i.e. npv) calculated from clean price, the bond settlement date (unless another date is given), zero ex-dividend days, and excluding any cashflow on the settlement date.

Prices are always clean, as per market convention.