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<h1>ConvertibleBonds.cpp</h1>This example evaluates convertible bond prices.<p>
<div class="fragment"><pre class="fragment"><a name="l00001"></a>00001 <span class="comment">/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */</span>
<a name="l00002"></a>00002
<a name="l00021"></a>00021 <span class="comment">// the only header you need to use QuantLib</span>
<a name="l00022"></a>00022 <span class="preprocessor">#define BOOST_LIB_DIAGNOSTIC</span>
<a name="l00023"></a>00023 <span class="preprocessor"></span><span class="preprocessor"># include <ql/quantlib.hpp></span>
<a name="l00024"></a>00024 <span class="preprocessor">#undef BOOST_LIB_DIAGNOSTIC</span>
<a name="l00025"></a>00025 <span class="preprocessor"></span>
<a name="l00026"></a>00026 <span class="preprocessor">#ifdef BOOST_MSVC</span>
<a name="l00027"></a>00027 <span class="preprocessor"></span><span class="comment">/* Uncomment the following lines to unmask floating-point</span>
<a name="l00028"></a>00028 <span class="comment"> exceptions. Warning: unpredictable results can arise...</span>
<a name="l00029"></a>00029 <span class="comment"></span>
<a name="l00030"></a>00030 <span class="comment"> See http://www.wilmott.com/messageview.cfm?catid=10&threadid=9481</span>
<a name="l00031"></a>00031 <span class="comment"> Is there anyone with a definitive word about this?</span>
<a name="l00032"></a>00032 <span class="comment">*/</span>
<a name="l00033"></a>00033 <span class="comment">// #include <float.h></span>
<a name="l00034"></a>00034 <span class="comment">// namespace { unsigned int u = _controlfp(_EM_INEXACT, _MCW_EM); }</span>
<a name="l00035"></a>00035 <span class="preprocessor">#endif</span>
<a name="l00036"></a>00036 <span class="preprocessor"></span>
<a name="l00037"></a>00037 <span class="preprocessor">#include <boost/timer.hpp></span>
<a name="l00038"></a>00038 <span class="preprocessor">#include <iostream></span>
<a name="l00039"></a>00039 <span class="preprocessor">#include <iomanip></span>
<a name="l00040"></a>00040
<a name="l00041"></a>00041 <span class="preprocessor">#define LENGTH(a) (sizeof(a)/sizeof(a[0]))</span>
<a name="l00042"></a>00042 <span class="preprocessor"></span>
<a name="l00043"></a>00043 <span class="keyword">using namespace </span>QuantLib;
<a name="l00044"></a>00044
<a name="l00045"></a>00045 <span class="preprocessor">#if defined(QL_ENABLE_SESSIONS)</span>
<a name="l00046"></a>00046 <span class="preprocessor"></span><span class="keyword">namespace </span>QuantLib {
<a name="l00047"></a>00047
<a name="l00048"></a>00048 <a name="a0"></a><a class="code" href="group__types.html#gb9c87440c314438e51a899a03d2442d0">Integer</a> sessionId() { <span class="keywordflow">return</span> 0; }
<a name="l00049"></a>00049
<a name="l00050"></a>00050 }
<a name="l00051"></a>00051 <span class="preprocessor">#endif</span>
<a name="l00052"></a>00052 <span class="preprocessor"></span>
<a name="l00053"></a>00053
<a name="l00054"></a>00054 <span class="keywordtype">int</span> main()
<a name="l00055"></a>00055 {
<a name="l00056"></a>00056 <span class="keywordflow">try</span> {
<a name="l00057"></a>00057
<a name="l00058"></a>00058 <a name="a1"></a><a class="code" href="group__misc_macros.html#g11d8e34f54505b0bf6f550508278673d">QL_IO_INIT</a>
<a name="l00059"></a>00059
<a name="l00060"></a>00060 boost::timer timer;
<a name="l00061"></a>00061 std::cout << std::endl;
<a name="l00062"></a>00062
<a name="l00063"></a>00063 Option::Type type(Option::Put);
<a name="l00064"></a>00064 <a name="a2"></a><a class="code" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> underlying = 36.0;
<a name="l00065"></a>00065 <a class="code" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> spreadRate = 0.005;
<a name="l00066"></a>00066
<a name="l00067"></a>00067 <a name="a3"></a><a class="code" href="group__types.html#ge7427f4743503002b0c6eeeefae91a3d">Spread</a> dividendYield = 0.02;
<a name="l00068"></a>00068 <a name="a4"></a><a class="code" href="group__types.html#gede435af51236692b1107d7639581d39">Rate</a> riskFreeRate = 0.06;
<a name="l00069"></a>00069 <a name="a5"></a><a class="code" href="group__types.html#gaa95ab7fe66935e3f7535413fad2a7d3">Volatility</a> <a name="a6"></a><a class="code" href="group__manips.html#gc402ef7c87f63f7c603ee87210b5750c">volatility</a> = 0.20;
<a name="l00070"></a>00070
<a name="l00071"></a>00071 <a class="code" href="group__types.html#gb9c87440c314438e51a899a03d2442d0">Integer</a> settlementDays = 3;
<a name="l00072"></a>00072 <a class="code" href="group__types.html#gb9c87440c314438e51a899a03d2442d0">Integer</a> length = 5;
<a name="l00073"></a>00073 <a class="code" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> redemption = 100.0;
<a name="l00074"></a>00074 <a class="code" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> conversionRatio = redemption/underlying; <span class="comment">// at the money</span>
<a name="l00075"></a>00075
<a name="l00076"></a>00076 <span class="comment">// set up dates/schedules</span>
<a name="l00077"></a>00077 <a name="_a7"></a><a class="code" href="class_quant_lib_1_1_calendar.html">Calendar</a> calendar = <a name="_a8"></a><a class="code" href="class_quant_lib_1_1_t_a_r_g_e_t.html">TARGET</a>();
<a name="l00078"></a>00078 <a name="_a9"></a><a class="code" href="class_quant_lib_1_1_date.html">Date</a> today = calendar.<a name="a10"></a><a class="code" href="class_quant_lib_1_1_calendar.html#8ae8c4c962667ddf0c19c99142c667b6">adjust</a>(Date::todaysDate());
<a name="l00079"></a>00079
<a name="l00080"></a>00080 Settings::instance().evaluationDate() = today;
<a name="l00081"></a>00081 <a class="code" href="class_quant_lib_1_1_date.html">Date</a> settlementDate = calendar.<a name="a11"></a><a class="code" href="class_quant_lib_1_1_calendar.html#b3fc4d2c4ba5243c3f5d51dcb3077ceb">advance</a>(today, settlementDays, Days);
<a name="l00082"></a>00082 <a class="code" href="class_quant_lib_1_1_date.html">Date</a> exerciseDate = calendar.<a class="code" href="class_quant_lib_1_1_calendar.html#b3fc4d2c4ba5243c3f5d51dcb3077ceb">advance</a>(settlementDate, length, Years);
<a name="l00083"></a>00083 <a class="code" href="class_quant_lib_1_1_date.html">Date</a> issueDate = calendar.<a class="code" href="class_quant_lib_1_1_calendar.html#b3fc4d2c4ba5243c3f5d51dcb3077ceb">advance</a>(exerciseDate, -length, Years);
<a name="l00084"></a>00084
<a name="l00085"></a>00085 <a class="code" href="group__datetime.html#gff46c5ae9385d20709bedade86edd368">BusinessDayConvention</a> convention = <a name="a12"></a><a class="code" href="group__datetime.html#ggff46c5ae9385d20709bedade86edd368013e092c359f6031cc0563fd413ce707">ModifiedFollowing</a>;
<a name="l00086"></a>00086
<a name="l00087"></a>00087 <a class="code" href="group__datetime.html#g6d41db8ba0ea90d22df35889df452ada">Frequency</a> frequency = <a name="a13"></a><a class="code" href="group__datetime.html#gg6d41db8ba0ea90d22df35889df452ada508b18014c96e2d466c12b39d7f4e426">Annual</a>;
<a name="l00088"></a>00088
<a name="l00089"></a>00089 <a name="_a14"></a><a class="code" href="class_quant_lib_1_1_schedule.html">Schedule</a> schedule(issueDate,exerciseDate,<a name="_a15"></a><a class="code" href="class_quant_lib_1_1_period.html">Period</a>(frequency),calendar,
<a name="l00090"></a>00090 convention, convention, <span class="keyword">true</span>, <span class="keyword">false</span>);
<a name="l00091"></a>00091
<a name="l00092"></a>00092 DividendSchedule dividends;
<a name="l00093"></a>00093 CallabilitySchedule callability;
<a name="l00094"></a>00094
<a name="l00095"></a>00095 std::vector<Real> coupons(1, 0.05);
<a name="l00096"></a>00096
<a name="l00097"></a>00097 <a name="_a16"></a><a class="code" href="class_quant_lib_1_1_day_counter.html">DayCounter</a> bondDayCount = <a name="_a17"></a><a class="code" href="class_quant_lib_1_1_thirty360.html">Thirty360</a>();
<a name="l00098"></a>00098
<a name="l00099"></a>00099 <a class="code" href="group__types.html#gb9c87440c314438e51a899a03d2442d0">Integer</a> callLength[] = { 2, 4 }; <span class="comment">// Call dates, years 2, 4.</span>
<a name="l00100"></a>00100 <a class="code" href="group__types.html#gb9c87440c314438e51a899a03d2442d0">Integer</a> putLength[] = { 3 }; <span class="comment">// Put dates year 3</span>
<a name="l00101"></a>00101
<a name="l00102"></a>00102 <a class="code" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> callPrices[] = { 101.5, 100.85 };
<a name="l00103"></a>00103 <a class="code" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> putPrices[]= { 105.0 };
<a name="l00104"></a>00104
<a name="l00105"></a>00105 <span class="comment">// Load call schedules</span>
<a name="l00106"></a>00106 <span class="keywordflow">for</span> (<a name="a18"></a><a class="code" href="group__types.html#gf38bdb4c54463b1f456655efa95b5c77">Size</a> i=0; i<LENGTH(callLength); i++) {
<a name="l00107"></a>00107 callability.push_back(
<a name="l00108"></a>00108 boost::shared_ptr<Callability>(
<a name="l00109"></a>00109 <span class="keyword">new</span> <a name="_a19"></a><a class="code" href="class_quant_lib_1_1_soft_callability.html">SoftCallability</a>(<a name="_a20"></a><a class="code" href="class_quant_lib_1_1_callability_1_1_price.html">Callability::Price</a>(
<a name="l00110"></a>00110 callPrices[i],
<a name="l00111"></a>00111 Callability::Price::Clean),
<a name="l00112"></a>00112 schedule.date(callLength[i]),
<a name="l00113"></a>00113 1.20)));
<a name="l00114"></a>00114 }
<a name="l00115"></a>00115
<a name="l00116"></a>00116 <span class="keywordflow">for</span> (<a class="code" href="group__types.html#gf38bdb4c54463b1f456655efa95b5c77">Size</a> j=0; j<LENGTH(putLength); j++) {
<a name="l00117"></a>00117 callability.push_back(
<a name="l00118"></a>00118 boost::shared_ptr<Callability>(
<a name="l00119"></a>00119 <span class="keyword">new</span> <a name="_a21"></a><a class="code" href="class_quant_lib_1_1_callability.html">Callability</a>(<a class="code" href="class_quant_lib_1_1_callability_1_1_price.html">Callability::Price</a>(
<a name="l00120"></a>00120 putPrices[j],
<a name="l00121"></a>00121 Callability::Price::Clean),
<a name="l00122"></a>00122 Callability::Put,
<a name="l00123"></a>00123 schedule.date(putLength[j]))));
<a name="l00124"></a>00124 }
<a name="l00125"></a>00125
<a name="l00126"></a>00126 <span class="comment">// Assume dividends are paid every 6 months.</span>
<a name="l00127"></a>00127 <span class="keywordflow">for</span> (<a class="code" href="class_quant_lib_1_1_date.html">Date</a> d = today + 6*Months; d < exerciseDate; d += 6*Months) {
<a name="l00128"></a>00128 dividends.push_back(
<a name="l00129"></a>00129 boost::shared_ptr<Dividend>(<span class="keyword">new</span> <a name="_a22"></a><a class="code" href="class_quant_lib_1_1_fixed_dividend.html">FixedDividend</a>(1.0, d)));
<a name="l00130"></a>00130 }
<a name="l00131"></a>00131
<a name="l00132"></a>00132 <a class="code" href="class_quant_lib_1_1_day_counter.html">DayCounter</a> dayCounter = <a name="_a23"></a><a class="code" href="class_quant_lib_1_1_actual365_fixed.html">Actual365Fixed</a>();
<a name="l00133"></a>00133 <a name="a24"></a><a class="code" href="group__types.html#g14fb8fca43a68f4168654e1f9f7e22f7">Time</a> maturity = dayCounter.<a name="a25"></a><a class="code" href="class_quant_lib_1_1_day_counter.html#28170faaec75755611ff6fc220c1fab8">yearFraction</a>(settlementDate,
<a name="l00134"></a>00134 exerciseDate);
<a name="l00135"></a>00135
<a name="l00136"></a>00136 std::cout << <span class="stringliteral">"option type = "</span> << type << std::endl;
<a name="l00137"></a>00137 std::cout << <span class="stringliteral">"Time to maturity = "</span> << maturity
<a name="l00138"></a>00138 << std::endl;
<a name="l00139"></a>00139 std::cout << <span class="stringliteral">"Underlying price = "</span> << underlying
<a name="l00140"></a>00140 << std::endl;
<a name="l00141"></a>00141 std::cout << <span class="stringliteral">"Risk-free interest rate = "</span> << <a name="a26"></a><a class="code" href="group__manips.html#gc63ea3dad10259db3764c7d15a61cde5">io::rate</a>(riskFreeRate)
<a name="l00142"></a>00142 << std::endl;
<a name="l00143"></a>00143 std::cout << <span class="stringliteral">"Dividend yield = "</span> << <a class="code" href="group__manips.html#gc63ea3dad10259db3764c7d15a61cde5">io::rate</a>(dividendYield)
<a name="l00144"></a>00144 << std::endl;
<a name="l00145"></a>00145 std::cout << <span class="stringliteral">"Volatility = "</span> << <a class="code" href="group__manips.html#gc402ef7c87f63f7c603ee87210b5750c">io::volatility</a>(volatility)
<a name="l00146"></a>00146 << std::endl;
<a name="l00147"></a>00147 std::cout << std::endl;
<a name="l00148"></a>00148
<a name="l00149"></a>00149 std::string method;
<a name="l00150"></a>00150 std::cout << std::endl ;
<a name="l00151"></a>00151
<a name="l00152"></a>00152 <span class="comment">// write column headings</span>
<a name="l00153"></a>00153 <a class="code" href="group__types.html#gf38bdb4c54463b1f456655efa95b5c77">Size</a> widths[] = { 35, 14, 14 };
<a name="l00154"></a>00154 <a class="code" href="group__types.html#gf38bdb4c54463b1f456655efa95b5c77">Size</a> totalWidth = widths[0] + widths[1] + widths[2];
<a name="l00155"></a>00155 std::string rule(totalWidth, <span class="charliteral">'-'</span>), dblrule(totalWidth, <span class="charliteral">'='</span>);
<a name="l00156"></a>00156
<a name="l00157"></a>00157 std::cout << dblrule << std::endl;
<a name="l00158"></a>00158 std::cout << <span class="stringliteral">"Tsiveriotis-Fernandes method"</span> << std::endl;
<a name="l00159"></a>00159 std::cout << dblrule << std::endl;
<a name="l00160"></a>00160 std::cout << std::setw(widths[0]) << std::left << <span class="stringliteral">"Tree type"</span>
<a name="l00161"></a>00161 << std::setw(widths[1]) << std::left << <span class="stringliteral">"European"</span>
<a name="l00162"></a>00162 << std::setw(widths[1]) << std::left << <span class="stringliteral">"American"</span>
<a name="l00163"></a>00163 << std::endl;
<a name="l00164"></a>00164 std::cout << rule << std::endl;
<a name="l00165"></a>00165
<a name="l00166"></a>00166 boost::shared_ptr<Exercise> exercise(
<a name="l00167"></a>00167 <span class="keyword">new</span> <a name="_a27"></a><a class="code" href="class_quant_lib_1_1_european_exercise.html">EuropeanExercise</a>(exerciseDate));
<a name="l00168"></a>00168 boost::shared_ptr<Exercise> amExercise(
<a name="l00169"></a>00169 <span class="keyword">new</span> <a name="_a28"></a><a class="code" href="class_quant_lib_1_1_american_exercise.html">AmericanExercise</a>(settlementDate,
<a name="l00170"></a>00170 exerciseDate));
<a name="l00171"></a>00171
<a name="l00172"></a>00172 <a name="_a29"></a><a class="code" href="class_quant_lib_1_1_handle.html">Handle<Quote></a> underlyingH(
<a name="l00173"></a>00173 boost::shared_ptr<Quote>(<span class="keyword">new</span> <a name="_a30"></a><a class="code" href="class_quant_lib_1_1_simple_quote.html">SimpleQuote</a>(underlying)));
<a name="l00174"></a>00174
<a name="l00175"></a>00175 <a class="code" href="class_quant_lib_1_1_handle.html">Handle<YieldTermStructure></a> flatTermStructure(
<a name="l00176"></a>00176 boost::shared_ptr<YieldTermStructure>(
<a name="l00177"></a>00177 <span class="keyword">new</span> <a name="_a31"></a><a class="code" href="class_quant_lib_1_1_flat_forward.html">FlatForward</a>(settlementDate, riskFreeRate, dayCounter)));
<a name="l00178"></a>00178
<a name="l00179"></a>00179 <a class="code" href="class_quant_lib_1_1_handle.html">Handle<YieldTermStructure></a> flatDividendTS(
<a name="l00180"></a>00180 boost::shared_ptr<YieldTermStructure>(
<a name="l00181"></a>00181 <span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_flat_forward.html">FlatForward</a>(settlementDate, dividendYield, dayCounter)));
<a name="l00182"></a>00182
<a name="l00183"></a>00183 <a class="code" href="class_quant_lib_1_1_handle.html">Handle<BlackVolTermStructure></a> flatVolTS(
<a name="l00184"></a>00184 boost::shared_ptr<BlackVolTermStructure>(
<a name="l00185"></a>00185 <span class="keyword">new</span> <a name="_a32"></a><a class="code" href="class_quant_lib_1_1_black_constant_vol.html">BlackConstantVol</a>(settlementDate, volatility, dayCounter)));
<a name="l00186"></a>00186
<a name="l00187"></a>00187
<a name="l00188"></a>00188 boost::shared_ptr<StochasticProcess> stochasticProcess(
<a name="l00189"></a>00189 <span class="keyword">new</span> <a name="_a33"></a><a class="code" href="class_quant_lib_1_1_black_scholes_merton_process.html">BlackScholesMertonProcess</a>(underlyingH,
<a name="l00190"></a>00190 flatDividendTS,
<a name="l00191"></a>00191 flatTermStructure,
<a name="l00192"></a>00192 flatVolTS));
<a name="l00193"></a>00193
<a name="l00194"></a>00194 <a class="code" href="group__types.html#gf38bdb4c54463b1f456655efa95b5c77">Size</a> timeSteps = 801;
<a name="l00195"></a>00195
<a name="l00196"></a>00196 <a class="code" href="class_quant_lib_1_1_handle.html">Handle<Quote></a> creditSpread(
<a name="l00197"></a>00197 boost::shared_ptr<Quote>(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_simple_quote.html">SimpleQuote</a>(spreadRate)));
<a name="l00198"></a>00198
<a name="l00199"></a>00199 boost::shared_ptr<Quote> <a class="code" href="group__manips.html#gc63ea3dad10259db3764c7d15a61cde5">rate</a>(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_simple_quote.html">SimpleQuote</a>(riskFreeRate));
<a name="l00200"></a>00200
<a name="l00201"></a>00201 <a class="code" href="class_quant_lib_1_1_handle.html">Handle<YieldTermStructure></a> discountCurve(
<a name="l00202"></a>00202 boost::shared_ptr<YieldTermStructure>(
<a name="l00203"></a>00203 <span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_flat_forward.html">FlatForward</a>(today, <a class="code" href="class_quant_lib_1_1_handle.html">Handle<Quote></a>(<a class="code" href="group__manips.html#gc63ea3dad10259db3764c7d15a61cde5">rate</a>), dayCounter)));
<a name="l00204"></a>00204
<a name="l00205"></a>00205 boost::shared_ptr<PricingEngine> engine(
<a name="l00206"></a>00206 <span class="keyword">new</span> <a name="_a34"></a><a class="code" href="class_quant_lib_1_1_binomial_convertible_engine.html">BinomialConvertibleEngine<JarrowRudd></a>(timeSteps));
<a name="l00207"></a>00207
<a name="l00208"></a>00208 <a name="_a35"></a><a class="code" href="class_quant_lib_1_1_convertible_fixed_coupon_bond.html">ConvertibleFixedCouponBond</a> europeanBond(
<a name="l00209"></a>00209 stochasticProcess, exercise, engine,
<a name="l00210"></a>00210 conversionRatio, dividends, callability,
<a name="l00211"></a>00211 creditSpread, issueDate, settlementDays,
<a name="l00212"></a>00212 coupons, bondDayCount, schedule, redemption);
<a name="l00213"></a>00213
<a name="l00214"></a>00214 <a class="code" href="class_quant_lib_1_1_convertible_fixed_coupon_bond.html">ConvertibleFixedCouponBond</a> americanBond(
<a name="l00215"></a>00215 stochasticProcess, amExercise, engine,
<a name="l00216"></a>00216 conversionRatio, dividends, callability,
<a name="l00217"></a>00217 creditSpread, issueDate, settlementDays,
<a name="l00218"></a>00218 coupons, bondDayCount, schedule, redemption);
<a name="l00219"></a>00219
<a name="l00220"></a>00220 method = <span class="stringliteral">"Jarrow-Rudd"</span>;
<a name="l00221"></a>00221 europeanBond.setPricingEngine(boost::shared_ptr<PricingEngine>(
<a name="l00222"></a>00222 <span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_binomial_convertible_engine.html">BinomialConvertibleEngine<JarrowRudd></a>(timeSteps)));
<a name="l00223"></a>00223 americanBond.setPricingEngine(boost::shared_ptr<PricingEngine>(
<a name="l00224"></a>00224 <span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_binomial_convertible_engine.html">BinomialConvertibleEngine<JarrowRudd></a>(timeSteps)));
<a name="l00225"></a>00225 std::cout << std::setw(widths[0]) << std::left << method
<a name="l00226"></a>00226 << std::fixed
<a name="l00227"></a>00227 << std::setw(widths[1]) << std::left << europeanBond.NPV()
<a name="l00228"></a>00228 << std::setw(widths[2]) << std::left << americanBond.NPV()
<a name="l00229"></a>00229 << std::endl;
<a name="l00230"></a>00230
<a name="l00231"></a>00231 method = <span class="stringliteral">"Cox-Ross-Rubinstein"</span>;
<a name="l00232"></a>00232 europeanBond.setPricingEngine(boost::shared_ptr<PricingEngine>(
<a name="l00233"></a>00233 <span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_binomial_convertible_engine.html">BinomialConvertibleEngine<CoxRossRubinstein></a>(timeSteps)));
<a name="l00234"></a>00234 americanBond.setPricingEngine(boost::shared_ptr<PricingEngine>(
<a name="l00235"></a>00235 <span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_binomial_convertible_engine.html">BinomialConvertibleEngine<CoxRossRubinstein></a>(timeSteps)));
<a name="l00236"></a>00236 std::cout << std::setw(widths[0]) << std::left << method
<a name="l00237"></a>00237 << std::fixed
<a name="l00238"></a>00238 << std::setw(widths[1]) << std::left << europeanBond.NPV()
<a name="l00239"></a>00239 << std::setw(widths[2]) << std::left << americanBond.NPV()
<a name="l00240"></a>00240 << std::endl;
<a name="l00241"></a>00241
<a name="l00242"></a>00242 method = <span class="stringliteral">"Additive equiprobabilities"</span>;
<a name="l00243"></a>00243 europeanBond.setPricingEngine(boost::shared_ptr<PricingEngine>(
<a name="l00244"></a>00244 <span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_binomial_convertible_engine.html">BinomialConvertibleEngine<AdditiveEQPBinomialTree></a>(timeSteps)));
<a name="l00245"></a>00245 americanBond.setPricingEngine(boost::shared_ptr<PricingEngine>(
<a name="l00246"></a>00246 <span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_binomial_convertible_engine.html">BinomialConvertibleEngine<AdditiveEQPBinomialTree></a>(timeSteps)));
<a name="l00247"></a>00247 std::cout << std::setw(widths[0]) << std::left << method
<a name="l00248"></a>00248 << std::fixed
<a name="l00249"></a>00249 << std::setw(widths[1]) << std::left << europeanBond.NPV()
<a name="l00250"></a>00250 << std::setw(widths[2]) << std::left << americanBond.NPV()
<a name="l00251"></a>00251 << std::endl;
<a name="l00252"></a>00252
<a name="l00253"></a>00253 method = <span class="stringliteral">"Trigeorgis"</span>;
<a name="l00254"></a>00254 europeanBond.setPricingEngine(boost::shared_ptr<PricingEngine>(
<a name="l00255"></a>00255 <span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_binomial_convertible_engine.html">BinomialConvertibleEngine<Trigeorgis></a>(timeSteps)));
<a name="l00256"></a>00256 americanBond.setPricingEngine(boost::shared_ptr<PricingEngine>(
<a name="l00257"></a>00257 <span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_binomial_convertible_engine.html">BinomialConvertibleEngine<Trigeorgis></a>(timeSteps)));
<a name="l00258"></a>00258 std::cout << std::setw(widths[0]) << std::left << method
<a name="l00259"></a>00259 << std::fixed
<a name="l00260"></a>00260 << std::setw(widths[1]) << std::left << europeanBond.NPV()
<a name="l00261"></a>00261 << std::setw(widths[2]) << std::left << americanBond.NPV()
<a name="l00262"></a>00262 << std::endl;
<a name="l00263"></a>00263
<a name="l00264"></a>00264 method = <span class="stringliteral">"Tian"</span>;
<a name="l00265"></a>00265 europeanBond.setPricingEngine(boost::shared_ptr<PricingEngine>(
<a name="l00266"></a>00266 <span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_binomial_convertible_engine.html">BinomialConvertibleEngine<Tian></a>(timeSteps)));
<a name="l00267"></a>00267 americanBond.setPricingEngine(boost::shared_ptr<PricingEngine>(
<a name="l00268"></a>00268 <span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_binomial_convertible_engine.html">BinomialConvertibleEngine<Tian></a>(timeSteps)));
<a name="l00269"></a>00269 std::cout << std::setw(widths[0]) << std::left << method
<a name="l00270"></a>00270 << std::fixed
<a name="l00271"></a>00271 << std::setw(widths[1]) << std::left << europeanBond.NPV()
<a name="l00272"></a>00272 << std::setw(widths[2]) << std::left << americanBond.NPV()
<a name="l00273"></a>00273 << std::endl;
<a name="l00274"></a>00274
<a name="l00275"></a>00275 method = <span class="stringliteral">"Leisen-Reimer"</span>;
<a name="l00276"></a>00276 europeanBond.setPricingEngine(boost::shared_ptr<PricingEngine>(
<a name="l00277"></a>00277 <span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_binomial_convertible_engine.html">BinomialConvertibleEngine<LeisenReimer></a>(timeSteps)));
<a name="l00278"></a>00278 americanBond.setPricingEngine(boost::shared_ptr<PricingEngine>(
<a name="l00279"></a>00279 <span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_binomial_convertible_engine.html">BinomialConvertibleEngine<LeisenReimer></a>(timeSteps)));
<a name="l00280"></a>00280 std::cout << std::setw(widths[0]) << std::left << method
<a name="l00281"></a>00281 << std::fixed
<a name="l00282"></a>00282 << std::setw(widths[1]) << std::left << europeanBond.NPV()
<a name="l00283"></a>00283 << std::setw(widths[2]) << std::left << americanBond.NPV()
<a name="l00284"></a>00284 << std::endl;
<a name="l00285"></a>00285
<a name="l00286"></a>00286 std::cout << dblrule << std::endl;
<a name="l00287"></a>00287
<a name="l00288"></a>00288 <a class="code" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> seconds = timer.elapsed();
<a name="l00289"></a>00289 <a class="code" href="group__types.html#gb9c87440c314438e51a899a03d2442d0">Integer</a> hours = int(seconds/3600);
<a name="l00290"></a>00290 seconds -= hours * 3600;
<a name="l00291"></a>00291 <a class="code" href="group__types.html#gb9c87440c314438e51a899a03d2442d0">Integer</a> minutes = int(seconds/60);
<a name="l00292"></a>00292 seconds -= minutes * 60;
<a name="l00293"></a>00293 std::cout << <span class="stringliteral">" \nRun completed in "</span>;
<a name="l00294"></a>00294 <span class="keywordflow">if</span> (hours > 0)
<a name="l00295"></a>00295 std::cout << hours << <span class="stringliteral">" h "</span>;
<a name="l00296"></a>00296 <span class="keywordflow">if</span> (hours > 0 || minutes > 0)
<a name="l00297"></a>00297 std::cout << minutes << <span class="stringliteral">" m "</span>;
<a name="l00298"></a>00298 std::cout << std::fixed << std::setprecision(0)
<a name="l00299"></a>00299 << seconds << <span class="stringliteral">" s\n"</span> << std::endl;
<a name="l00300"></a>00300
<a name="l00301"></a>00301 <span class="keywordflow">return</span> 0;
<a name="l00302"></a>00302 } <span class="keywordflow">catch</span> (std::exception& e) {
<a name="l00303"></a>00303 std::cout << e.what() << std::endl;
<a name="l00304"></a>00304 <span class="keywordflow">return</span> 1;
<a name="l00305"></a>00305 } <span class="keywordflow">catch</span> (...) {
<a name="l00306"></a>00306 std::cout << <span class="stringliteral">"unknown error"</span> << std::endl;
<a name="l00307"></a>00307 <span class="keywordflow">return</span> 1;
<a name="l00308"></a>00308 }
<a name="l00309"></a>00309
<a name="l00310"></a>00310 }
<a name="l00311"></a>00311
</pre></div>
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