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<h1>Repo.cpp</h1>This example evaluates a repo on a fixed-coupon bond.<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="l00020"></a>00020 <span class="comment">/* a Repo calculation done using the FixedCouponBondForward class</span>
<a name="l00021"></a>00021 <span class="comment"> cf. aaBondFwd() repo example at</span>
<a name="l00022"></a>00022 <span class="comment"> http://www.fincad.com/support/developerFunc/mathref/BFWD.htm</span>
<a name="l00023"></a>00023 <span class="comment"></span>
<a name="l00024"></a>00024 <span class="comment"> This repo is set up to use the repo rate to do all discounting</span>
<a name="l00025"></a>00025 <span class="comment"> (including the underlying bond income). Forward delivery price is</span>
<a name="l00026"></a>00026 <span class="comment"> also obtained using this repo rate. All this is done by supplying</span>
<a name="l00027"></a>00027 <span class="comment"> the FixedCouponBondForward constructor with a flat repo</span>
<a name="l00028"></a>00028 <span class="comment"> YieldTermStructure.</span>
<a name="l00029"></a>00029 <span class="comment">*/</span>
<a name="l00030"></a>00030
<a name="l00031"></a>00031 <span class="comment">// the only header you need to use QuantLib</span>
<a name="l00032"></a>00032 <span class="preprocessor">#define BOOST_LIB_DIAGNOSTIC</span>
<a name="l00033"></a>00033 <span class="preprocessor"></span><span class="preprocessor"># include <ql/quantlib.hpp></span>
<a name="l00034"></a>00034 <span class="preprocessor">#undef BOOST_LIB_DIAGNOSTIC</span>
<a name="l00035"></a>00035 <span class="preprocessor"></span>
<a name="l00036"></a>00036 <span class="preprocessor">#ifdef BOOST_MSVC</span>
<a name="l00037"></a>00037 <span class="preprocessor"></span><span class="comment">/* Uncomment the following lines to unmask floating-point</span>
<a name="l00038"></a>00038 <span class="comment"> exceptions. Warning: unpredictable results can arise...</span>
<a name="l00039"></a>00039 <span class="comment"></span>
<a name="l00040"></a>00040 <span class="comment"> See http://www.wilmott.com/messageview.cfm?catid=10&threadid=9481</span>
<a name="l00041"></a>00041 <span class="comment"> Is there anyone with a definitive word about this?</span>
<a name="l00042"></a>00042 <span class="comment">*/</span>
<a name="l00043"></a>00043 <span class="comment">// #include <float.h></span>
<a name="l00044"></a>00044 <span class="comment">// namespace { unsigned int u = _controlfp(_EM_INEXACT, _MCW_EM); }</span>
<a name="l00045"></a>00045 <span class="preprocessor">#endif</span>
<a name="l00046"></a>00046 <span class="preprocessor"></span>
<a name="l00047"></a>00047 <span class="preprocessor">#include <boost/timer.hpp></span>
<a name="l00048"></a>00048 <span class="preprocessor">#include <iostream></span>
<a name="l00049"></a>00049
<a name="l00050"></a>00050 <span class="keyword">using namespace </span>std;
<a name="l00051"></a>00051 <span class="keyword">using namespace </span>QuantLib;
<a name="l00052"></a>00052
<a name="l00053"></a>00053 <span class="preprocessor">#if defined(QL_ENABLE_SESSIONS)</span>
<a name="l00054"></a>00054 <span class="preprocessor"></span><span class="keyword">namespace </span>QuantLib {
<a name="l00055"></a>00055
<a name="l00056"></a>00056 <a name="a0"></a><a class="code" href="group__types.html#gb9c87440c314438e51a899a03d2442d0">Integer</a> sessionId() { <span class="keywordflow">return</span> 0; }
<a name="l00057"></a>00057
<a name="l00058"></a>00058 }
<a name="l00059"></a>00059 <span class="preprocessor">#endif</span>
<a name="l00060"></a>00060 <span class="preprocessor"></span>
<a name="l00061"></a>00061 <span class="keywordtype">int</span> main(<span class="keywordtype">int</span>, <span class="keywordtype">char</span>* []) {
<a name="l00062"></a>00062
<a name="l00063"></a>00063 <span class="keywordflow">try</span> {
<a name="l00064"></a>00064 <a name="a1"></a><a class="code" href="group__misc_macros.html#g11d8e34f54505b0bf6f550508278673d">QL_IO_INIT</a>
<a name="l00065"></a>00065
<a name="l00066"></a>00066 boost::timer timer;
<a name="l00067"></a>00067 std::cout << std::endl;
<a name="l00068"></a>00068
<a name="l00069"></a>00069 <a name="_a2"></a><a class="code" href="class_quant_lib_1_1_date.html">Date</a> repoSettlementDate(14,February,2000);;
<a name="l00070"></a>00070 <a class="code" href="class_quant_lib_1_1_date.html">Date</a> repoDeliveryDate(15,August,2000);
<a name="l00071"></a>00071 <a name="a3"></a><a class="code" href="group__types.html#gede435af51236692b1107d7639581d39">Rate</a> repoRate = 0.05;
<a name="l00072"></a>00072 <a name="_a4"></a><a class="code" href="class_quant_lib_1_1_day_counter.html">DayCounter</a> repoDayCountConvention = <a name="_a5"></a><a class="code" href="class_quant_lib_1_1_actual360.html">Actual360</a>();
<a name="l00073"></a>00073 <a class="code" href="group__types.html#gb9c87440c314438e51a899a03d2442d0">Integer</a> repoSettlementDays = 0;
<a name="l00074"></a>00074 Compounding repoCompounding = Simple;
<a name="l00075"></a>00075 <a class="code" href="group__datetime.html#g6d41db8ba0ea90d22df35889df452ada">Frequency</a> repoCompoundFreq = <a name="a6"></a><a class="code" href="group__datetime.html#gg6d41db8ba0ea90d22df35889df452ada508b18014c96e2d466c12b39d7f4e426">Annual</a>;
<a name="l00076"></a>00076
<a name="l00077"></a>00077 <span class="comment">// assume a ten year bond- this is irrelevant</span>
<a name="l00078"></a>00078 <a class="code" href="class_quant_lib_1_1_date.html">Date</a> bondIssueDate(15,September,1995);
<a name="l00079"></a>00079 <a class="code" href="class_quant_lib_1_1_date.html">Date</a> bondDatedDate(15,September,1995);
<a name="l00080"></a>00080 <a class="code" href="class_quant_lib_1_1_date.html">Date</a> bondMaturityDate(15,September,2005);
<a name="l00081"></a>00081 <a name="a7"></a><a class="code" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> bondCoupon = 0.08;
<a name="l00082"></a>00082 <a class="code" href="group__datetime.html#g6d41db8ba0ea90d22df35889df452ada">Frequency</a> bondCouponFrequency = <a name="a8"></a><a class="code" href="group__datetime.html#gg6d41db8ba0ea90d22df35889df452adad1a5868a1c314bb7f6ab68e2fa182b2d">Semiannual</a>;
<a name="l00083"></a>00083 <span class="comment">// unknown what calendar fincad is using</span>
<a name="l00084"></a>00084 <a name="_a9"></a><a class="code" href="class_quant_lib_1_1_calendar.html">Calendar</a> bondCalendar = <a name="_a10"></a><a class="code" href="class_quant_lib_1_1_null_calendar.html">NullCalendar</a>();
<a name="l00085"></a>00085 <a class="code" href="class_quant_lib_1_1_day_counter.html">DayCounter</a> bondDayCountConvention = <a name="_a11"></a><a class="code" href="class_quant_lib_1_1_thirty360.html">Thirty360</a>(Thirty360::BondBasis);
<a name="l00086"></a>00086 <span class="comment">// unknown what fincad is using. this may affect accrued calculation</span>
<a name="l00087"></a>00087 <a class="code" href="group__types.html#gb9c87440c314438e51a899a03d2442d0">Integer</a> bondSettlementDays = 0;
<a name="l00088"></a>00088 <a class="code" href="group__datetime.html#gff46c5ae9385d20709bedade86edd368">BusinessDayConvention</a> bondBusinessDayConvention = <a name="a12"></a><a class="code" href="group__datetime.html#ggff46c5ae9385d20709bedade86edd3685fb8b90b7fdf1a3a228fbbc083e64547">Unadjusted</a>;
<a name="l00089"></a>00089 <a class="code" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> bondCleanPrice = 89.97693786;
<a name="l00090"></a>00090 <a class="code" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> bondRedemption = 100.0;
<a name="l00091"></a>00091 <a class="code" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> faceAmount = 100.0;
<a name="l00092"></a>00092
<a name="l00093"></a>00093
<a name="l00094"></a>00094 Settings::instance().evaluationDate() = repoSettlementDate;
<a name="l00095"></a>00095
<a name="l00096"></a>00096 <a name="_a13"></a><a class="code" href="class_quant_lib_1_1_handle.html">Handle<YieldTermStructure></a> bondCurve;
<a name="l00097"></a>00097 bondCurve.<a name="a14"></a><a class="code" href="class_quant_lib_1_1_handle.html#7eec88ccb240dcc59ac81e7347c335bd">linkTo</a>(boost::shared_ptr<YieldTermStructure>(
<a name="l00098"></a>00098 <span class="keyword">new</span> <a name="_a15"></a><a class="code" href="class_quant_lib_1_1_flat_forward.html">FlatForward</a>(repoSettlementDate,
<a name="l00099"></a>00099 .01, <span class="comment">// dummy rate</span>
<a name="l00100"></a>00100 bondDayCountConvention,
<a name="l00101"></a>00101 Compounded,
<a name="l00102"></a>00102 bondCouponFrequency)));
<a name="l00103"></a>00103
<a name="l00104"></a>00104
<a name="l00105"></a>00105 boost::shared_ptr<FixedCouponBond> bond(
<a name="l00106"></a>00106 <span class="keyword">new</span> <a name="_a16"></a><a class="code" href="class_quant_lib_1_1_fixed_coupon_bond.html">FixedCouponBond</a>(faceAmount,
<a name="l00107"></a>00107 bondIssueDate,
<a name="l00108"></a>00108 bondDatedDate,
<a name="l00109"></a>00109 bondMaturityDate,
<a name="l00110"></a>00110 bondSettlementDays,
<a name="l00111"></a>00111 std::vector<Rate>(1,bondCoupon),
<a name="l00112"></a>00112 bondCouponFrequency,
<a name="l00113"></a>00113 bondCalendar,
<a name="l00114"></a>00114 bondDayCountConvention,
<a name="l00115"></a>00115 bondBusinessDayConvention,
<a name="l00116"></a>00116 bondBusinessDayConvention,
<a name="l00117"></a>00117 bondRedemption,
<a name="l00118"></a>00118 bondCurve));
<a name="l00119"></a>00119
<a name="l00120"></a>00120
<a name="l00121"></a>00121 bondCurve.<a class="code" href="class_quant_lib_1_1_handle.html#7eec88ccb240dcc59ac81e7347c335bd">linkTo</a>(boost::shared_ptr<YieldTermStructure> (
<a name="l00122"></a>00122 <span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_flat_forward.html">FlatForward</a>(repoSettlementDate,
<a name="l00123"></a>00123 bond->yield(bondCleanPrice,Compounded),
<a name="l00124"></a>00124 bondDayCountConvention,
<a name="l00125"></a>00125 Compounded,
<a name="l00126"></a>00126 bondCouponFrequency)));
<a name="l00127"></a>00127
<a name="l00128"></a>00128 Position::Type fwdType = Position::Long;
<a name="l00129"></a>00129 <span class="keywordtype">double</span> dummyStrike = 91.5745;
<a name="l00130"></a>00130
<a name="l00131"></a>00131 <a class="code" href="class_quant_lib_1_1_handle.html">Handle<YieldTermStructure></a> repoCurve;
<a name="l00132"></a>00132 repoCurve.<a class="code" href="class_quant_lib_1_1_handle.html#7eec88ccb240dcc59ac81e7347c335bd">linkTo</a>(boost::shared_ptr<YieldTermStructure> (
<a name="l00133"></a>00133 <span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_flat_forward.html">FlatForward</a>(repoSettlementDate,
<a name="l00134"></a>00134 repoRate,
<a name="l00135"></a>00135 repoDayCountConvention,
<a name="l00136"></a>00136 repoCompounding,
<a name="l00137"></a>00137 repoCompoundFreq)));
<a name="l00138"></a>00138
<a name="l00139"></a>00139
<a name="l00140"></a>00140 <a name="_a17"></a><a class="code" href="class_quant_lib_1_1_fixed_coupon_bond_forward.html">FixedCouponBondForward</a> bondFwd(repoSettlementDate,
<a name="l00141"></a>00141 repoDeliveryDate,
<a name="l00142"></a>00142 fwdType,
<a name="l00143"></a>00143 dummyStrike,
<a name="l00144"></a>00144 repoSettlementDays,
<a name="l00145"></a>00145 repoDayCountConvention,
<a name="l00146"></a>00146 bondCalendar,
<a name="l00147"></a>00147 bondBusinessDayConvention,
<a name="l00148"></a>00148 bond,
<a name="l00149"></a>00149 repoCurve,
<a name="l00150"></a>00150 repoCurve);
<a name="l00151"></a>00151
<a name="l00152"></a>00152
<a name="l00153"></a>00153 cout << <span class="stringliteral">"Underlying bond clean price: "</span>
<a name="l00154"></a>00154 << bond->cleanPrice()
<a name="l00155"></a>00155 << endl;
<a name="l00156"></a>00156 cout << <span class="stringliteral">"Underlying bond dirty price: "</span>
<a name="l00157"></a>00157 << bond->dirtyPrice()
<a name="l00158"></a>00158 << endl;
<a name="l00159"></a>00159 cout << <span class="stringliteral">"Underlying bond accrued at settlement: "</span>
<a name="l00160"></a>00160 << bond->accruedAmount(repoSettlementDate)
<a name="l00161"></a>00161 << endl;
<a name="l00162"></a>00162 cout << <span class="stringliteral">"Underlying bond accrued at delivery: "</span>
<a name="l00163"></a>00163 << bond->accruedAmount(repoDeliveryDate)
<a name="l00164"></a>00164 << endl;
<a name="l00165"></a>00165 cout << <span class="stringliteral">"Underlying bond spot income: "</span>
<a name="l00166"></a>00166 << bondFwd.spotIncome(repoCurve)
<a name="l00167"></a>00167 << endl;
<a name="l00168"></a>00168 cout << <span class="stringliteral">"Underlying bond fwd income: "</span>
<a name="l00169"></a>00169 << bondFwd.spotIncome(repoCurve)/
<a name="l00170"></a>00170 repoCurve->discount(repoDeliveryDate)
<a name="l00171"></a>00171 << endl;
<a name="l00172"></a>00172 cout << <span class="stringliteral">"Repo strike: "</span>
<a name="l00173"></a>00173 << dummyStrike
<a name="l00174"></a>00174 << endl;
<a name="l00175"></a>00175 cout << <span class="stringliteral">"Repo NPV: "</span>
<a name="l00176"></a>00176 << bondFwd.NPV()
<a name="l00177"></a>00177 << endl;
<a name="l00178"></a>00178 cout << <span class="stringliteral">"Repo clean forward price: "</span>
<a name="l00179"></a>00179 << bondFwd.cleanForwardPrice()
<a name="l00180"></a>00180 << endl;
<a name="l00181"></a>00181 cout << <span class="stringliteral">"Repo dirty forward price: "</span>
<a name="l00182"></a>00182 << bondFwd.forwardPrice()
<a name="l00183"></a>00183 << endl;
<a name="l00184"></a>00184 cout << <span class="stringliteral">"Repo implied yield: "</span>
<a name="l00185"></a>00185 << bondFwd.impliedYield(bond->dirtyPrice(),
<a name="l00186"></a>00186 dummyStrike,
<a name="l00187"></a>00187 repoSettlementDate,
<a name="l00188"></a>00188 repoCompounding,
<a name="l00189"></a>00189 repoDayCountConvention)
<a name="l00190"></a>00190 << endl;
<a name="l00191"></a>00191 cout << <span class="stringliteral">"Market repo rate: "</span>
<a name="l00192"></a>00192 << repoCurve->zeroRate(repoDeliveryDate,
<a name="l00193"></a>00193 repoDayCountConvention,
<a name="l00194"></a>00194 repoCompounding,
<a name="l00195"></a>00195 repoCompoundFreq)
<a name="l00196"></a>00196 << endl
<a name="l00197"></a>00197 << endl;
<a name="l00198"></a>00198
<a name="l00199"></a>00199 cout << <span class="stringliteral">"Compare with example given at \n"</span>
<a name="l00200"></a>00200 << <span class="stringliteral">"http://www.fincad.com/support/developerFunc/mathref/BFWD.htm"</span>
<a name="l00201"></a>00201 << endl;
<a name="l00202"></a>00202 cout << <span class="stringliteral">"Clean forward price = 88.2408"</span>
<a name="l00203"></a>00203 << endl
<a name="l00204"></a>00204 << endl;
<a name="l00205"></a>00205 cout << <span class="stringliteral">"In that example, it is unknown what bond calendar they are\n"</span>
<a name="l00206"></a>00206 << <span class="stringliteral">"using, as well as settlement Days. For that reason, I have\n"</span>
<a name="l00207"></a>00207 << <span class="stringliteral">"made the simplest possible assumptions here: NullCalendar\n"</span>
<a name="l00208"></a>00208 << <span class="stringliteral">"and 0 settlement days."</span>
<a name="l00209"></a>00209 << endl;
<a name="l00210"></a>00210
<a name="l00211"></a>00211
<a name="l00212"></a>00212 <a class="code" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> seconds = timer.elapsed();
<a name="l00213"></a>00213 <a class="code" href="group__types.html#gb9c87440c314438e51a899a03d2442d0">Integer</a> hours = int(seconds/3600);
<a name="l00214"></a>00214 seconds -= hours * 3600;
<a name="l00215"></a>00215 <a class="code" href="group__types.html#gb9c87440c314438e51a899a03d2442d0">Integer</a> minutes = int(seconds/60);
<a name="l00216"></a>00216 seconds -= minutes * 60;
<a name="l00217"></a>00217 cout << <span class="stringliteral">" \nRun completed in "</span>;
<a name="l00218"></a>00218 <span class="keywordflow">if</span> (hours > 0)
<a name="l00219"></a>00219 cout << hours << <span class="stringliteral">" h "</span>;
<a name="l00220"></a>00220 <span class="keywordflow">if</span> (hours > 0 || minutes > 0)
<a name="l00221"></a>00221 cout << minutes << <span class="stringliteral">" m "</span>;
<a name="l00222"></a>00222 cout << fixed << setprecision(0)
<a name="l00223"></a>00223 << seconds << <span class="stringliteral">" s\n"</span> << endl;
<a name="l00224"></a>00224
<a name="l00225"></a>00225 <span class="keywordflow">return</span> 0;
<a name="l00226"></a>00226
<a name="l00227"></a>00227 } <span class="keywordflow">catch</span> (exception& e) {
<a name="l00228"></a>00228 cout << e.what() << endl;
<a name="l00229"></a>00229 <span class="keywordflow">return</span> 1;
<a name="l00230"></a>00230 } <span class="keywordflow">catch</span> (...) {
<a name="l00231"></a>00231 cout << <span class="stringliteral">"unknown error"</span> << endl;
<a name="l00232"></a>00232 <span class="keywordflow">return</span> 1;
<a name="l00233"></a>00233 }
<a name="l00234"></a>00234 }
<a name="l00235"></a>00235
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