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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"><span class="comment">/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */</span>
<span class="comment">/* a Repo calculation done using the FixedRateBondForward class</span>
<span class="comment"> cf. aaBondFwd() repo example at</span>
<span class="comment"> http://www.fincad.com/support/developerFunc/mathref/BFWD.htm</span>
<span class="comment"></span>
<span class="comment"> This repo is set up to use the repo rate to do all discounting</span>
<span class="comment"> (including the underlying bond income). Forward delivery price is</span>
<span class="comment"> also obtained using this repo rate. All this is done by supplying</span>
<span class="comment"> the FixedRateBondForward constructor with a flat repo</span>
<span class="comment"> YieldTermStructure.</span>
<span class="comment">*/</span>
<span class="comment">// the only header you need to use QuantLib</span>
<span class="preprocessor">#include <ql/quantlib.hpp></span>
<span class="preprocessor">#ifdef BOOST_MSVC</span>
<span class="preprocessor"></span><span class="comment">/* Uncomment the following lines to unmask floating-point</span>
<span class="comment"> exceptions. Warning: unpredictable results can arise...</span>
<span class="comment"></span>
<span class="comment"> See http://www.wilmott.com/messageview.cfm?catid=10&threadid=9481</span>
<span class="comment"> Is there anyone with a definitive word about this?</span>
<span class="comment">*/</span>
<span class="comment">// #include <float.h></span>
<span class="comment">// namespace { unsigned int u = _controlfp(_EM_INEXACT, _MCW_EM); }</span>
<span class="preprocessor">#endif</span>
<span class="preprocessor"></span>
<span class="preprocessor">#include <boost/timer.hpp></span>
<span class="preprocessor">#include <iostream></span>
<span class="keyword">using namespace </span>std;
<span class="keyword">using namespace </span>QuantLib;
<span class="preprocessor">#if defined(QL_ENABLE_SESSIONS)</span>
<span class="preprocessor"></span><span class="keyword">namespace </span>QuantLib {
<a name="a0"></a><a class="code" href="group__types.html#gb9c87440c314438e51a899a03d2442d0" title="integer number">Integer</a> sessionId() { <span class="keywordflow">return</span> 0; }
}
<span class="preprocessor">#endif</span>
<span class="preprocessor"></span>
<span class="keywordtype">int</span> main(<span class="keywordtype">int</span>, <span class="keywordtype">char</span>* []) {
<span class="keywordflow">try</span> {
boost::timer timer;
std::cout << std::endl;
<a name="_a1"></a><a class="code" href="class_quant_lib_1_1_date.html" title="Concrete date class.">Date</a> repoSettlementDate(14,February,2000);;
<a class="code" href="class_quant_lib_1_1_date.html" title="Concrete date class.">Date</a> repoDeliveryDate(15,August,2000);
<a name="a2"></a><a class="code" href="group__types.html#gede435af51236692b1107d7639581d39" title="interest rates">Rate</a> repoRate = 0.05;
<a name="_a3"></a><a class="code" href="class_quant_lib_1_1_day_counter.html" title="day counter class">DayCounter</a> repoDayCountConvention = <a name="_a4"></a><a class="code" href="class_quant_lib_1_1_actual360.html" title="Actual/360 day count convention.">Actual360</a>();
<a class="code" href="group__types.html#gb9c87440c314438e51a899a03d2442d0" title="integer number">Integer</a> repoSettlementDays = 0;
<a class="code" href="namespace_quant_lib.html#2779d04b4839fd386b5c85bbb96aaf73" title="Interest rate coumpounding rule.">Compounding</a> repoCompounding = <a name="a5"></a><a class="code" href="namespace_quant_lib.html#2779d04b4839fd386b5c85bbb96aaf73ebfbf7dc5cde0772efb1aa49712bd76b">Simple</a>;
<a class="code" href="group__datetime.html#g6d41db8ba0ea90d22df35889df452ada" title="Frequency of events.">Frequency</a> repoCompoundFreq = <a name="a6"></a><a class="code" href="group__datetime.html#gg6d41db8ba0ea90d22df35889df452ada508b18014c96e2d466c12b39d7f4e426" title="once a year">Annual</a>;
<span class="comment">// assume a ten year bond- this is irrelevant</span>
<a class="code" href="class_quant_lib_1_1_date.html" title="Concrete date class.">Date</a> bondIssueDate(15,September,1995);
<a class="code" href="class_quant_lib_1_1_date.html" title="Concrete date class.">Date</a> bondDatedDate(15,September,1995);
<a class="code" href="class_quant_lib_1_1_date.html" title="Concrete date class.">Date</a> bondMaturityDate(15,September,2005);
<a name="a7"></a><a class="code" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78" title="real number">Real</a> bondCoupon = 0.08;
<a class="code" href="group__datetime.html#g6d41db8ba0ea90d22df35889df452ada" title="Frequency of events.">Frequency</a> bondCouponFrequency = <a name="a8"></a><a class="code" href="group__datetime.html#gg6d41db8ba0ea90d22df35889df452adad1a5868a1c314bb7f6ab68e2fa182b2d" title="twice a year">Semiannual</a>;
<span class="comment">// unknown what calendar fincad is using</span>
<a name="_a9"></a><a class="code" href="class_quant_lib_1_1_calendar.html" title="calendar class">Calendar</a> bondCalendar = <a name="_a10"></a><a class="code" href="class_quant_lib_1_1_null_calendar.html" title="Calendar for reproducing theoretical calculations.">NullCalendar</a>();
<a class="code" href="class_quant_lib_1_1_day_counter.html" title="day counter class">DayCounter</a> bondDayCountConvention = <a name="_a11"></a><a class="code" href="class_quant_lib_1_1_thirty360.html" title="30/360 day count convention">Thirty360</a>(Thirty360::BondBasis);
<span class="comment">// unknown what fincad is using. this may affect accrued calculation</span>
<a class="code" href="group__types.html#gb9c87440c314438e51a899a03d2442d0" title="integer number">Integer</a> bondSettlementDays = 0;
<a class="code" href="group__datetime.html#gff46c5ae9385d20709bedade86edd368" title="Business Day conventions.">BusinessDayConvention</a> bondBusinessDayConvention = <a name="a12"></a><a class="code" href="group__datetime.html#ggff46c5ae9385d20709bedade86edd3685fb8b90b7fdf1a3a228fbbc083e64547">Unadjusted</a>;
<a class="code" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78" title="real number">Real</a> bondCleanPrice = 89.97693786;
<a class="code" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78" title="real number">Real</a> bondRedemption = 100.0;
<a class="code" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78" title="real number">Real</a> faceAmount = 100.0;
Settings::instance().evaluationDate() = repoSettlementDate;
<a name="_a13"></a><a class="code" href="class_quant_lib_1_1_relinkable_handle.html" title="Relinkable handle to an observable.">RelinkableHandle<YieldTermStructure></a> bondCurve;
bondCurve.<a name="a14"></a><a class="code" href="class_quant_lib_1_1_relinkable_handle.html#7eec88ccb240dcc59ac81e7347c335bd">linkTo</a>(boost::shared_ptr<YieldTermStructure>(
<span class="keyword">new</span> <a name="_a15"></a><a class="code" href="class_quant_lib_1_1_flat_forward.html" title="Flat interest-rate curve.">FlatForward</a>(repoSettlementDate,
.01, <span class="comment">// dummy rate</span>
bondDayCountConvention,
<a name="a16"></a><a class="code" href="namespace_quant_lib.html#2779d04b4839fd386b5c85bbb96aaf737f3e11143ca01a7d20f92e11ad445e0c">Compounded</a>,
bondCouponFrequency)));
<span class="comment">/*</span>
<span class="comment"> boost::shared_ptr<FixedRateBond> bond(</span>
<span class="comment"> new FixedRateBond(faceAmount,</span>
<span class="comment"> bondIssueDate,</span>
<span class="comment"> bondDatedDate,</span>
<span class="comment"> bondMaturityDate,</span>
<span class="comment"> bondSettlementDays,</span>
<span class="comment"> std::vector<Rate>(1,bondCoupon),</span>
<span class="comment"> bondCouponFrequency,</span>
<span class="comment"> bondCalendar,</span>
<span class="comment"> bondDayCountConvention,</span>
<span class="comment"> bondBusinessDayConvention,</span>
<span class="comment"> bondBusinessDayConvention,</span>
<span class="comment"> bondRedemption,</span>
<span class="comment"> bondCurve));</span>
<span class="comment"> */</span>
<a name="_a17"></a><a class="code" href="class_quant_lib_1_1_schedule.html" title="Payment schedule.">Schedule</a> bondSchedule(bondDatedDate, bondMaturityDate,
<a name="_a18"></a><a class="code" href="class_quant_lib_1_1_period.html">Period</a>(bondCouponFrequency),
bondCalendar,bondBusinessDayConvention,
bondBusinessDayConvention,
DateGeneration::Backward,<span class="keyword">false</span>);
boost::shared_ptr<FixedRateBond> bond(
<span class="keyword">new</span> <a name="_a19"></a><a class="code" href="class_quant_lib_1_1_fixed_rate_bond.html" title="fixed-rate bond">FixedRateBond</a>(bondSettlementDays,
faceAmount,
bondSchedule,
std::vector<Rate>(1,bondCoupon),
bondDayCountConvention,
bondBusinessDayConvention,
bondRedemption,
bondIssueDate));
bond->setPricingEngine(boost::shared_ptr<PricingEngine>(
<span class="keyword">new</span> DiscountingBondEngine(bondCurve)));
bondCurve.<a class="code" href="class_quant_lib_1_1_relinkable_handle.html#7eec88ccb240dcc59ac81e7347c335bd">linkTo</a>(boost::shared_ptr<YieldTermStructure> (
<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_flat_forward.html" title="Flat interest-rate curve.">FlatForward</a>(repoSettlementDate,
bond->yield(bondCleanPrice,
bondDayCountConvention,
<a class="code" href="namespace_quant_lib.html#2779d04b4839fd386b5c85bbb96aaf737f3e11143ca01a7d20f92e11ad445e0c">Compounded</a>,
bondCouponFrequency),
bondDayCountConvention,
<a class="code" href="namespace_quant_lib.html#2779d04b4839fd386b5c85bbb96aaf737f3e11143ca01a7d20f92e11ad445e0c">Compounded</a>,
bondCouponFrequency)));
Position::Type fwdType = Position::Long;
<span class="keywordtype">double</span> dummyStrike = 91.5745;
<a class="code" href="class_quant_lib_1_1_relinkable_handle.html" title="Relinkable handle to an observable.">RelinkableHandle<YieldTermStructure></a> repoCurve;
repoCurve.<a class="code" href="class_quant_lib_1_1_relinkable_handle.html#7eec88ccb240dcc59ac81e7347c335bd">linkTo</a>(boost::shared_ptr<YieldTermStructure> (
<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_flat_forward.html" title="Flat interest-rate curve.">FlatForward</a>(repoSettlementDate,
repoRate,
repoDayCountConvention,
repoCompounding,
repoCompoundFreq)));
<a name="_a20"></a><a class="code" href="class_quant_lib_1_1_fixed_rate_bond_forward.html" title="Forward contract on a fixed-rate bond">FixedRateBondForward</a> bondFwd(repoSettlementDate,
repoDeliveryDate,
fwdType,
dummyStrike,
repoSettlementDays,
repoDayCountConvention,
bondCalendar,
bondBusinessDayConvention,
bond,
repoCurve,
repoCurve);
cout << <span class="stringliteral">"Underlying bond clean price: "</span>
<< bond->cleanPrice()
<< endl;
cout << <span class="stringliteral">"Underlying bond dirty price: "</span>
<< bond->dirtyPrice()
<< endl;
cout << <span class="stringliteral">"Underlying bond accrued at settlement: "</span>
<< bond->accruedAmount(repoSettlementDate)
<< endl;
cout << <span class="stringliteral">"Underlying bond accrued at delivery: "</span>
<< bond->accruedAmount(repoDeliveryDate)
<< endl;
cout << <span class="stringliteral">"Underlying bond spot income: "</span>
<< bondFwd.spotIncome(repoCurve)
<< endl;
cout << <span class="stringliteral">"Underlying bond fwd income: "</span>
<< bondFwd.spotIncome(repoCurve)/
repoCurve->discount(repoDeliveryDate)
<< endl;
cout << <span class="stringliteral">"Repo strike: "</span>
<< dummyStrike
<< endl;
cout << <span class="stringliteral">"Repo NPV: "</span>
<< bondFwd.NPV()
<< endl;
cout << <span class="stringliteral">"Repo clean forward price: "</span>
<< bondFwd.cleanForwardPrice()
<< endl;
cout << <span class="stringliteral">"Repo dirty forward price: "</span>
<< bondFwd.forwardPrice()
<< endl;
cout << <span class="stringliteral">"Repo implied yield: "</span>
<< bondFwd.impliedYield(bond->dirtyPrice(),
dummyStrike,
repoSettlementDate,
repoCompounding,
repoDayCountConvention)
<< endl;
cout << <span class="stringliteral">"Market repo rate: "</span>
<< repoCurve->zeroRate(repoDeliveryDate,
repoDayCountConvention,
repoCompounding,
repoCompoundFreq)
<< endl
<< endl;
cout << <span class="stringliteral">"Compare with example given at \n"</span>
<< <span class="stringliteral">"http://www.fincad.com/support/developerFunc/mathref/BFWD.htm"</span>
<< endl;
cout << <span class="stringliteral">"Clean forward price = 88.2408"</span>
<< endl
<< endl;
cout << <span class="stringliteral">"In that example, it is unknown what bond calendar they are\n"</span>
<< <span class="stringliteral">"using, as well as settlement Days. For that reason, I have\n"</span>
<< <span class="stringliteral">"made the simplest possible assumptions here: NullCalendar\n"</span>
<< <span class="stringliteral">"and 0 settlement days."</span>
<< endl;
<a class="code" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78" title="real number">Real</a> seconds = timer.elapsed();
<a class="code" href="group__types.html#gb9c87440c314438e51a899a03d2442d0" title="integer number">Integer</a> hours = int(seconds/3600);
seconds -= hours * 3600;
<a class="code" href="group__types.html#gb9c87440c314438e51a899a03d2442d0" title="integer number">Integer</a> minutes = int(seconds/60);
seconds -= minutes * 60;
cout << <span class="stringliteral">" \nRun completed in "</span>;
<span class="keywordflow">if</span> (hours > 0)
cout << hours << <span class="stringliteral">" h "</span>;
<span class="keywordflow">if</span> (hours > 0 || minutes > 0)
cout << minutes << <span class="stringliteral">" m "</span>;
cout << fixed << setprecision(0)
<< seconds << <span class="stringliteral">" s\n"</span> << endl;
<span class="keywordflow">return</span> 0;
} <span class="keywordflow">catch</span> (exception& e) {
cout << e.what() << endl;
<span class="keywordflow">return</span> 1;
} <span class="keywordflow">catch</span> (...) {
cout << <span class="stringliteral">"unknown error"</span> << endl;
<span class="keywordflow">return</span> 1;
}
}
</pre></div>
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