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<p>This example shows how to set up a term structure and then price some simple bonds. The last part is dedicated to peripherical computations such as "Yield to Price" or "Price to Yield"</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">/* This example shows how to set up a term structure and then price</span>
<span class="comment"> some simple bonds. The last part is dedicated to peripherical</span>
<span class="comment"> computations such as "Yield to Price" or "Price to Yield"</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">#include <boost/timer.hpp></span>
<span class="preprocessor">#include <iostream></span>
<span class="preprocessor">#include <iomanip></span>
<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#gab9c87440c314438e51a899a03d2442d0" 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;
<span class="comment">/*********************</span>
<span class="comment"> *** MARKET DATA ***</span>
<span class="comment"> *********************/</span>
<a name="_a1"></a><a class="code" href="class_quant_lib_1_1_calendar.html" title="calendar class">Calendar</a> calendar = <a name="_a2"></a><a class="code" href="class_quant_lib_1_1_t_a_r_g_e_t.html" title="TARGET calendar">TARGET</a>();
<a name="_a3"></a><a class="code" href="class_quant_lib_1_1_date.html" title="Concrete date class.">Date</a> settlementDate(18, September, 2008);
<span class="comment">// must be a business day</span>
settlementDate = calendar.<a name="a4"></a><a class="code" href="class_quant_lib_1_1_calendar.html#aee7c18511c7ee1bcda6124f43a37aa28">adjust</a>(settlementDate);
<a class="code" href="group__types.html#gab9c87440c314438e51a899a03d2442d0" title="integer number">Integer</a> fixingDays = 3;
<a name="a5"></a><a class="code" href="group__types.html#ga7e529c39c477ba1f5a22264d93e8457a" title="positive integer">Natural</a> settlementDays = 3;
<a class="code" href="class_quant_lib_1_1_date.html" title="Concrete date class.">Date</a> todaysDate = calendar.<a name="a6"></a><a class="code" href="class_quant_lib_1_1_calendar.html#ac47bb82bf7b147cfacf373991c2905ea">advance</a>(settlementDate, -fixingDays, Days);
<span class="comment">// nothing to do with Date::todaysDate</span>
<a name="a7"></a><a class="code" href="class_quant_lib_1_1_singleton.html#ab7455b7e1235d292c444095842349291" title="access to the unique instance">Settings::instance</a>().<a name="a8"></a><a class="code" href="class_quant_lib_1_1_settings.html#a95055e9410ed0465a5f30d3ffc90c1d3" title="the date at which pricing is to be performed.">evaluationDate</a>() = todaysDate;
std::cout << <span class="stringliteral">"Today: "</span> << todaysDate.<a name="a9"></a>weekday()
<< <span class="stringliteral">", "</span> << todaysDate << std::endl;
std::cout << <span class="stringliteral">"Settlement date: "</span> << settlementDate.weekday()
<< <span class="stringliteral">", "</span> << settlementDate << std::endl;
<span class="comment">// Building of the bonds discounting yield curve</span>
<span class="comment">/*********************</span>
<span class="comment"> *** RATE HELPERS ***</span>
<span class="comment"> *********************/</span>
<span class="comment">// RateHelpers are built from the above quotes together with</span>
<span class="comment">// other instrument dependant infos. Quotes are passed in</span>
<span class="comment">// relinkable handles which could be relinked to some other</span>
<span class="comment">// data source later.</span>
<span class="comment">// Common data</span>
<span class="comment">// ZC rates for the short end</span>
<a name="a10"></a><a class="code" href="group__types.html#gaede435af51236692b1107d7639581d39" title="interest rates">Rate</a> zc3mQuote=0.0096;
<a class="code" href="group__types.html#gaede435af51236692b1107d7639581d39" title="interest rates">Rate</a> zc6mQuote=0.0145;
<a class="code" href="group__types.html#gaede435af51236692b1107d7639581d39" title="interest rates">Rate</a> zc1yQuote=0.0194;
boost::shared_ptr<Quote> zc3mRate(<span class="keyword">new</span> <a name="_a11"></a><a class="code" href="class_quant_lib_1_1_simple_quote.html" title="market element returning a stored value">SimpleQuote</a>(zc3mQuote));
boost::shared_ptr<Quote> zc6mRate(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_simple_quote.html" title="market element returning a stored value">SimpleQuote</a>(zc6mQuote));
boost::shared_ptr<Quote> zc1yRate(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_simple_quote.html" title="market element returning a stored value">SimpleQuote</a>(zc1yQuote));
<a name="_a12"></a><a class="code" href="class_quant_lib_1_1_day_counter.html" title="day counter class">DayCounter</a> zcBondsDayCounter = <a name="_a13"></a><a class="code" href="class_quant_lib_1_1_actual365_fixed.html" title="Actual/365 (Fixed) day count convention.">Actual365Fixed</a>();
boost::shared_ptr<RateHelper> zc3m(<span class="keyword">new</span> <a name="_a14"></a><a class="code" href="class_quant_lib_1_1_deposit_rate_helper.html" title="Rate helper for bootstrapping over deposit rates.">DepositRateHelper</a>(
<a name="_a15"></a><a class="code" href="class_quant_lib_1_1_handle.html">Handle<Quote></a>(zc3mRate),
3*Months, fixingDays,
calendar, <a name="a16"></a><a class="code" href="group__datetime.html#ggaff46c5ae9385d20709bedade86edd368a013e092c359f6031cc0563fd413ce707">ModifiedFollowing</a>,
<span class="keyword">true</span>, zcBondsDayCounter));
boost::shared_ptr<RateHelper> zc6m(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_deposit_rate_helper.html" title="Rate helper for bootstrapping over deposit rates.">DepositRateHelper</a>(
<a class="code" href="class_quant_lib_1_1_handle.html">Handle<Quote></a>(zc6mRate),
6*Months, fixingDays,
calendar, <a class="code" href="group__datetime.html#ggaff46c5ae9385d20709bedade86edd368a013e092c359f6031cc0563fd413ce707">ModifiedFollowing</a>,
<span class="keyword">true</span>, zcBondsDayCounter));
boost::shared_ptr<RateHelper> zc1y(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_deposit_rate_helper.html" title="Rate helper for bootstrapping over deposit rates.">DepositRateHelper</a>(
<a class="code" href="class_quant_lib_1_1_handle.html">Handle<Quote></a>(zc1yRate),
1*Years, fixingDays,
calendar, <a class="code" href="group__datetime.html#ggaff46c5ae9385d20709bedade86edd368a013e092c359f6031cc0563fd413ce707">ModifiedFollowing</a>,
<span class="keyword">true</span>, zcBondsDayCounter));
<span class="comment">// setup bonds</span>
<a name="a17"></a><a class="code" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78" title="real number">Real</a> redemption = 100.0;
<span class="keyword">const</span> <a class="code" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77" title="size of a container">Size</a> numberOfBonds = 5;
<a class="code" href="class_quant_lib_1_1_date.html" title="Concrete date class.">Date</a> issueDates[] = {
<a class="code" href="class_quant_lib_1_1_date.html" title="Concrete date class.">Date</a> (15, March, 2005),
<a class="code" href="class_quant_lib_1_1_date.html" title="Concrete date class.">Date</a> (15, June, 2005),
<a class="code" href="class_quant_lib_1_1_date.html" title="Concrete date class.">Date</a> (30, June, 2006),
<a class="code" href="class_quant_lib_1_1_date.html" title="Concrete date class.">Date</a> (15, November, 2002),
<a class="code" href="class_quant_lib_1_1_date.html" title="Concrete date class.">Date</a> (15, May, 1987)
};
<a class="code" href="class_quant_lib_1_1_date.html" title="Concrete date class.">Date</a> maturities[] = {
<a class="code" href="class_quant_lib_1_1_date.html" title="Concrete date class.">Date</a> (31, August, 2010),
<a class="code" href="class_quant_lib_1_1_date.html" title="Concrete date class.">Date</a> (31, August, 2011),
<a class="code" href="class_quant_lib_1_1_date.html" title="Concrete date class.">Date</a> (31, August, 2013),
<a class="code" href="class_quant_lib_1_1_date.html" title="Concrete date class.">Date</a> (15, August, 2018),
<a class="code" href="class_quant_lib_1_1_date.html" title="Concrete date class.">Date</a> (15, May, 2038)
};
<a class="code" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78" title="real number">Real</a> couponRates[] = {
0.02375,
0.04625,
0.03125,
0.04000,
0.04500
};
<a class="code" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78" title="real number">Real</a> marketQuotes[] = {
100.390625,
106.21875,
100.59375,
101.6875,
102.140625
};
std::vector< boost::shared_ptr<SimpleQuote> > quote;
<span class="keywordflow">for</span> (<a class="code" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77" title="size of a container">Size</a> i=0; i<numberOfBonds; i++) {
boost::shared_ptr<SimpleQuote> cp(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_simple_quote.html" title="market element returning a stored value">SimpleQuote</a>(marketQuotes[i]));
quote.push_back(cp);
}
<a name="_a18"></a><a class="code" href="class_quant_lib_1_1_relinkable_handle.html">RelinkableHandle<Quote></a> quoteHandle[numberOfBonds];
<span class="keywordflow">for</span> (<a class="code" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77" title="size of a container">Size</a> i=0; i<numberOfBonds; i++) {
quoteHandle[i].<a name="a19"></a>linkTo(quote[i]);
}
<span class="comment">// Definition of the rate helpers</span>
std::vector<boost::shared_ptr<FixedRateBondHelper> > bondsHelpers;
<span class="keywordflow">for</span> (<a class="code" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77" title="size of a container">Size</a> i=0; i<numberOfBonds; i++) {
<a name="_a20"></a><a class="code" href="class_quant_lib_1_1_schedule.html" title="Payment schedule.">Schedule</a> schedule(issueDates[i], maturities[i], <a name="_a21"></a><a class="code" href="class_quant_lib_1_1_period.html">Period</a>(<a name="a22"></a><a class="code" href="group__datetime.html#gga6d41db8ba0ea90d22df35889df452adaad1a5868a1c314bb7f6ab68e2fa182b2d" title="twice a year">Semiannual</a>), <a name="_a23"></a><a class="code" href="class_quant_lib_1_1_united_states.html" title="United States calendars.">UnitedStates</a>(<a name="a24"></a><a class="code" href="class_quant_lib_1_1_united_states.html#abe41cfffd960e29a5d8b07be00aeda42a561f5c560b2b1a55abd84072867a8016" title="government-bond calendar">UnitedStates::GovernmentBond</a>),
<a name="a25"></a><a class="code" href="group__datetime.html#ggaff46c5ae9385d20709bedade86edd368a5fb8b90b7fdf1a3a228fbbc083e64547">Unadjusted</a>, <a class="code" href="group__datetime.html#ggaff46c5ae9385d20709bedade86edd368a5fb8b90b7fdf1a3a228fbbc083e64547">Unadjusted</a>, <a name="a26"></a><a class="code" href="struct_quant_lib_1_1_date_generation.html#a11fcd51ef86118f65e603c1474377a78a67e19347f85332c3bbfd61266cecbe4e">DateGeneration::Backward</a>, <span class="keyword">false</span>);
boost::shared_ptr<FixedRateBondHelper> bondHelper(<span class="keyword">new</span> FixedRateBondHelper(
quoteHandle[i],
settlementDays,
100.0,
schedule,
std::vector<Rate>(1,couponRates[i]),
<a name="_a27"></a><a class="code" href="class_quant_lib_1_1_actual_actual.html" title="Actual/Actual day count.">ActualActual</a>(ActualActual::Bond),
<a class="code" href="group__datetime.html#ggaff46c5ae9385d20709bedade86edd368a5fb8b90b7fdf1a3a228fbbc083e64547">Unadjusted</a>,
redemption,
issueDates[i]));
bondsHelpers.push_back(bondHelper);
}
<span class="comment">/*********************</span>
<span class="comment"> ** CURVE BUILDING **</span>
<span class="comment"> *********************/</span>
<span class="comment">// Any DayCounter would be fine.</span>
<span class="comment">// ActualActual::ISDA ensures that 30 years is 30.0</span>
<a class="code" href="class_quant_lib_1_1_day_counter.html" title="day counter class">DayCounter</a> termStructureDayCounter =
<a class="code" href="class_quant_lib_1_1_actual_actual.html" title="Actual/Actual day count.">ActualActual</a>(ActualActual::ISDA);
<span class="keywordtype">double</span> tolerance = 1.0e-15;
<span class="comment">// A depo-bond curve</span>
std::vector<boost::shared_ptr<RateHelper> > bondInstruments;
<span class="comment">// Adding the ZC bonds to the curve for the short end</span>
bondInstruments.push_back(zc3m);
bondInstruments.push_back(zc6m);
bondInstruments.push_back(zc1y);
<span class="comment">// Adding the Fixed rate bonds to the curve for the long end</span>
<span class="keywordflow">for</span> (<a class="code" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77" title="size of a container">Size</a> i=0; i<numberOfBonds; i++) {
bondInstruments.push_back(bondsHelpers[i]);
}
boost::shared_ptr<YieldTermStructure> bondDiscountingTermStructure(
<span class="keyword">new</span> <a name="_a28"></a><a class="code" href="class_quant_lib_1_1_piecewise_yield_curve.html" title="Piecewise yield term structure.">PiecewiseYieldCurve<Discount,LogLinear></a>(
settlementDate, bondInstruments,
termStructureDayCounter,
tolerance));
<span class="comment">// Building of the Libor forecasting curve</span>
<span class="comment">// deposits</span>
<a class="code" href="group__types.html#gaede435af51236692b1107d7639581d39" title="interest rates">Rate</a> d1wQuote=0.043375;
<a class="code" href="group__types.html#gaede435af51236692b1107d7639581d39" title="interest rates">Rate</a> d1mQuote=0.031875;
<a class="code" href="group__types.html#gaede435af51236692b1107d7639581d39" title="interest rates">Rate</a> d3mQuote=0.0320375;
<a class="code" href="group__types.html#gaede435af51236692b1107d7639581d39" title="interest rates">Rate</a> d6mQuote=0.03385;
<a class="code" href="group__types.html#gaede435af51236692b1107d7639581d39" title="interest rates">Rate</a> d9mQuote=0.0338125;
<a class="code" href="group__types.html#gaede435af51236692b1107d7639581d39" title="interest rates">Rate</a> d1yQuote=0.0335125;
<span class="comment">// swaps</span>
<a class="code" href="group__types.html#gaede435af51236692b1107d7639581d39" title="interest rates">Rate</a> s2yQuote=0.0295;
<a class="code" href="group__types.html#gaede435af51236692b1107d7639581d39" title="interest rates">Rate</a> s3yQuote=0.0323;
<a class="code" href="group__types.html#gaede435af51236692b1107d7639581d39" title="interest rates">Rate</a> s5yQuote=0.0359;
<a class="code" href="group__types.html#gaede435af51236692b1107d7639581d39" title="interest rates">Rate</a> s10yQuote=0.0412;
<a class="code" href="group__types.html#gaede435af51236692b1107d7639581d39" title="interest rates">Rate</a> s15yQuote=0.0433;
<span class="comment">/********************</span>
<span class="comment"> *** QUOTES ***</span>
<span class="comment"> ********************/</span>
<span class="comment">// SimpleQuote stores a value which can be manually changed;</span>
<span class="comment">// other Quote subclasses could read the value from a database</span>
<span class="comment">// or some kind of data feed.</span>
<span class="comment">// deposits</span>
boost::shared_ptr<Quote> d1wRate(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_simple_quote.html" title="market element returning a stored value">SimpleQuote</a>(d1wQuote));
boost::shared_ptr<Quote> d1mRate(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_simple_quote.html" title="market element returning a stored value">SimpleQuote</a>(d1mQuote));
boost::shared_ptr<Quote> d3mRate(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_simple_quote.html" title="market element returning a stored value">SimpleQuote</a>(d3mQuote));
boost::shared_ptr<Quote> d6mRate(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_simple_quote.html" title="market element returning a stored value">SimpleQuote</a>(d6mQuote));
boost::shared_ptr<Quote> d9mRate(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_simple_quote.html" title="market element returning a stored value">SimpleQuote</a>(d9mQuote));
boost::shared_ptr<Quote> d1yRate(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_simple_quote.html" title="market element returning a stored value">SimpleQuote</a>(d1yQuote));
<span class="comment">// swaps</span>
boost::shared_ptr<Quote> s2yRate(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_simple_quote.html" title="market element returning a stored value">SimpleQuote</a>(s2yQuote));
boost::shared_ptr<Quote> s3yRate(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_simple_quote.html" title="market element returning a stored value">SimpleQuote</a>(s3yQuote));
boost::shared_ptr<Quote> s5yRate(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_simple_quote.html" title="market element returning a stored value">SimpleQuote</a>(s5yQuote));
boost::shared_ptr<Quote> s10yRate(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_simple_quote.html" title="market element returning a stored value">SimpleQuote</a>(s10yQuote));
boost::shared_ptr<Quote> s15yRate(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_simple_quote.html" title="market element returning a stored value">SimpleQuote</a>(s15yQuote));
<span class="comment">/*********************</span>
<span class="comment"> *** RATE HELPERS ***</span>
<span class="comment"> *********************/</span>
<span class="comment">// RateHelpers are built from the above quotes together with</span>
<span class="comment">// other instrument dependant infos. Quotes are passed in</span>
<span class="comment">// relinkable handles which could be relinked to some other</span>
<span class="comment">// data source later.</span>
<span class="comment">// deposits</span>
<a class="code" href="class_quant_lib_1_1_day_counter.html" title="day counter class">DayCounter</a> depositDayCounter = <a name="_a29"></a><a class="code" href="class_quant_lib_1_1_actual360.html" title="Actual/360 day count convention.">Actual360</a>();
boost::shared_ptr<RateHelper> d1w(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_deposit_rate_helper.html" title="Rate helper for bootstrapping over deposit rates.">DepositRateHelper</a>(
<a class="code" href="class_quant_lib_1_1_handle.html">Handle<Quote></a>(d1wRate),
1*Weeks, fixingDays,
calendar, <a class="code" href="group__datetime.html#ggaff46c5ae9385d20709bedade86edd368a013e092c359f6031cc0563fd413ce707">ModifiedFollowing</a>,
<span class="keyword">true</span>, depositDayCounter));
boost::shared_ptr<RateHelper> d1m(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_deposit_rate_helper.html" title="Rate helper for bootstrapping over deposit rates.">DepositRateHelper</a>(
<a class="code" href="class_quant_lib_1_1_handle.html">Handle<Quote></a>(d1mRate),
1*Months, fixingDays,
calendar, <a class="code" href="group__datetime.html#ggaff46c5ae9385d20709bedade86edd368a013e092c359f6031cc0563fd413ce707">ModifiedFollowing</a>,
<span class="keyword">true</span>, depositDayCounter));
boost::shared_ptr<RateHelper> d3m(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_deposit_rate_helper.html" title="Rate helper for bootstrapping over deposit rates.">DepositRateHelper</a>(
<a class="code" href="class_quant_lib_1_1_handle.html">Handle<Quote></a>(d3mRate),
3*Months, fixingDays,
calendar, <a class="code" href="group__datetime.html#ggaff46c5ae9385d20709bedade86edd368a013e092c359f6031cc0563fd413ce707">ModifiedFollowing</a>,
<span class="keyword">true</span>, depositDayCounter));
boost::shared_ptr<RateHelper> d6m(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_deposit_rate_helper.html" title="Rate helper for bootstrapping over deposit rates.">DepositRateHelper</a>(
<a class="code" href="class_quant_lib_1_1_handle.html">Handle<Quote></a>(d6mRate),
6*Months, fixingDays,
calendar, <a class="code" href="group__datetime.html#ggaff46c5ae9385d20709bedade86edd368a013e092c359f6031cc0563fd413ce707">ModifiedFollowing</a>,
<span class="keyword">true</span>, depositDayCounter));
boost::shared_ptr<RateHelper> d9m(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_deposit_rate_helper.html" title="Rate helper for bootstrapping over deposit rates.">DepositRateHelper</a>(
<a class="code" href="class_quant_lib_1_1_handle.html">Handle<Quote></a>(d9mRate),
9*Months, fixingDays,
calendar, <a class="code" href="group__datetime.html#ggaff46c5ae9385d20709bedade86edd368a013e092c359f6031cc0563fd413ce707">ModifiedFollowing</a>,
<span class="keyword">true</span>, depositDayCounter));
boost::shared_ptr<RateHelper> d1y(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_deposit_rate_helper.html" title="Rate helper for bootstrapping over deposit rates.">DepositRateHelper</a>(
<a class="code" href="class_quant_lib_1_1_handle.html">Handle<Quote></a>(d1yRate),
1*Years, fixingDays,
calendar, <a class="code" href="group__datetime.html#ggaff46c5ae9385d20709bedade86edd368a013e092c359f6031cc0563fd413ce707">ModifiedFollowing</a>,
<span class="keyword">true</span>, depositDayCounter));
<span class="comment">// setup swaps</span>
<a class="code" href="group__datetime.html#ga6d41db8ba0ea90d22df35889df452ada" title="Frequency of events.">Frequency</a> swFixedLegFrequency = <a name="a30"></a><a class="code" href="group__datetime.html#gga6d41db8ba0ea90d22df35889df452adaa508b18014c96e2d466c12b39d7f4e426" title="once a year">Annual</a>;
<a class="code" href="group__datetime.html#gaff46c5ae9385d20709bedade86edd368" title="Business Day conventions.">BusinessDayConvention</a> swFixedLegConvention = <a class="code" href="group__datetime.html#ggaff46c5ae9385d20709bedade86edd368a5fb8b90b7fdf1a3a228fbbc083e64547">Unadjusted</a>;
<a class="code" href="class_quant_lib_1_1_day_counter.html" title="day counter class">DayCounter</a> swFixedLegDayCounter = <a name="_a31"></a><a class="code" href="class_quant_lib_1_1_thirty360.html" title="30/360 day count convention">Thirty360</a>(Thirty360::European);
boost::shared_ptr<IborIndex> swFloatingLegIndex(<span class="keyword">new</span> <a name="_a32"></a><a class="code" href="class_quant_lib_1_1_euribor6_m.html" title="6-months Euribor index">Euribor6M</a>);
<span class="keyword">const</span> <a class="code" href="class_quant_lib_1_1_period.html">Period</a> forwardStart(1*Days);
boost::shared_ptr<RateHelper> s2y(<span class="keyword">new</span> <a name="_a33"></a><a class="code" href="class_quant_lib_1_1_swap_rate_helper.html" title="Rate helper for bootstrapping over swap rates.">SwapRateHelper</a>(
<a class="code" href="class_quant_lib_1_1_handle.html">Handle<Quote></a>(s2yRate), 2*Years,
calendar, swFixedLegFrequency,
swFixedLegConvention, swFixedLegDayCounter,
swFloatingLegIndex, <a class="code" href="class_quant_lib_1_1_handle.html">Handle<Quote></a>(),forwardStart));
boost::shared_ptr<RateHelper> s3y(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_swap_rate_helper.html" title="Rate helper for bootstrapping over swap rates.">SwapRateHelper</a>(
<a class="code" href="class_quant_lib_1_1_handle.html">Handle<Quote></a>(s3yRate), 3*Years,
calendar, swFixedLegFrequency,
swFixedLegConvention, swFixedLegDayCounter,
swFloatingLegIndex, <a class="code" href="class_quant_lib_1_1_handle.html">Handle<Quote></a>(),forwardStart));
boost::shared_ptr<RateHelper> s5y(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_swap_rate_helper.html" title="Rate helper for bootstrapping over swap rates.">SwapRateHelper</a>(
<a class="code" href="class_quant_lib_1_1_handle.html">Handle<Quote></a>(s5yRate), 5*Years,
calendar, swFixedLegFrequency,
swFixedLegConvention, swFixedLegDayCounter,
swFloatingLegIndex, <a class="code" href="class_quant_lib_1_1_handle.html">Handle<Quote></a>(),forwardStart));
boost::shared_ptr<RateHelper> s10y(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_swap_rate_helper.html" title="Rate helper for bootstrapping over swap rates.">SwapRateHelper</a>(
<a class="code" href="class_quant_lib_1_1_handle.html">Handle<Quote></a>(s10yRate), 10*Years,
calendar, swFixedLegFrequency,
swFixedLegConvention, swFixedLegDayCounter,
swFloatingLegIndex, <a class="code" href="class_quant_lib_1_1_handle.html">Handle<Quote></a>(),forwardStart));
boost::shared_ptr<RateHelper> s15y(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_swap_rate_helper.html" title="Rate helper for bootstrapping over swap rates.">SwapRateHelper</a>(
<a class="code" href="class_quant_lib_1_1_handle.html">Handle<Quote></a>(s15yRate), 15*Years,
calendar, swFixedLegFrequency,
swFixedLegConvention, swFixedLegDayCounter,
swFloatingLegIndex, <a class="code" href="class_quant_lib_1_1_handle.html">Handle<Quote></a>(),forwardStart));
<span class="comment">/*********************</span>
<span class="comment"> ** CURVE BUILDING **</span>
<span class="comment"> *********************/</span>
<span class="comment">// Any DayCounter would be fine.</span>
<span class="comment">// ActualActual::ISDA ensures that 30 years is 30.0</span>
<span class="comment">// A depo-swap curve</span>
std::vector<boost::shared_ptr<RateHelper> > depoSwapInstruments;
depoSwapInstruments.push_back(d1w);
depoSwapInstruments.push_back(d1m);
depoSwapInstruments.push_back(d3m);
depoSwapInstruments.push_back(d6m);
depoSwapInstruments.push_back(d9m);
depoSwapInstruments.push_back(d1y);
depoSwapInstruments.push_back(s2y);
depoSwapInstruments.push_back(s3y);
depoSwapInstruments.push_back(s5y);
depoSwapInstruments.push_back(s10y);
depoSwapInstruments.push_back(s15y);
boost::shared_ptr<YieldTermStructure> depoSwapTermStructure(
<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_piecewise_yield_curve.html" title="Piecewise yield term structure.">PiecewiseYieldCurve<Discount,LogLinear></a>(
settlementDate, depoSwapInstruments,
termStructureDayCounter,
tolerance));
<span class="comment">// Term structures that will be used for pricing:</span>
<span class="comment">// the one used for discounting cash flows</span>
<a name="_a34"></a><a class="code" href="class_quant_lib_1_1_relinkable_handle.html">RelinkableHandle<YieldTermStructure></a> discountingTermStructure;
<span class="comment">// the one used for forward rate forecasting</span>
<a class="code" href="class_quant_lib_1_1_relinkable_handle.html">RelinkableHandle<YieldTermStructure></a> forecastingTermStructure;
<span class="comment">/*********************</span>
<span class="comment"> * BONDS TO BE PRICED *</span>
<span class="comment"> **********************/</span>
<span class="comment">// Common data</span>
<a class="code" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78" title="real number">Real</a> faceAmount = 100;
<span class="comment">// Pricing engine</span>
boost::shared_ptr<PricingEngine> bondEngine(
<span class="keyword">new</span> DiscountingBondEngine(discountingTermStructure));
<span class="comment">// Zero coupon bond</span>
<a name="_a35"></a><a class="code" href="class_quant_lib_1_1_zero_coupon_bond.html" title="zero-coupon bond">ZeroCouponBond</a> zeroCouponBond(
settlementDays,
<a class="code" href="class_quant_lib_1_1_united_states.html" title="United States calendars.">UnitedStates</a>(<a class="code" href="class_quant_lib_1_1_united_states.html#abe41cfffd960e29a5d8b07be00aeda42a561f5c560b2b1a55abd84072867a8016" title="government-bond calendar">UnitedStates::GovernmentBond</a>),
faceAmount,
<a class="code" href="class_quant_lib_1_1_date.html" title="Concrete date class.">Date</a>(15,August,2013),
<a name="a36"></a><a class="code" href="group__datetime.html#ggaff46c5ae9385d20709bedade86edd368ab6a37af780aa2b97f8bbdc4d149dae18">Following</a>,
<a class="code" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78" title="real number">Real</a>(116.92),
<a class="code" href="class_quant_lib_1_1_date.html" title="Concrete date class.">Date</a>(15,August,2003));
zeroCouponBond.setPricingEngine(bondEngine);
<span class="comment">// Fixed 4.5% US Treasury Note</span>
<a class="code" href="class_quant_lib_1_1_schedule.html" title="Payment schedule.">Schedule</a> fixedBondSchedule(<a class="code" href="class_quant_lib_1_1_date.html" title="Concrete date class.">Date</a>(15, May, 2007),
<a class="code" href="class_quant_lib_1_1_date.html" title="Concrete date class.">Date</a>(15,May,2017), <a class="code" href="class_quant_lib_1_1_period.html">Period</a>(<a class="code" href="group__datetime.html#gga6d41db8ba0ea90d22df35889df452adaad1a5868a1c314bb7f6ab68e2fa182b2d" title="twice a year">Semiannual</a>),
<a class="code" href="class_quant_lib_1_1_united_states.html" title="United States calendars.">UnitedStates</a>(<a class="code" href="class_quant_lib_1_1_united_states.html#abe41cfffd960e29a5d8b07be00aeda42a561f5c560b2b1a55abd84072867a8016" title="government-bond calendar">UnitedStates::GovernmentBond</a>),
<a class="code" href="group__datetime.html#ggaff46c5ae9385d20709bedade86edd368a5fb8b90b7fdf1a3a228fbbc083e64547">Unadjusted</a>, <a class="code" href="group__datetime.html#ggaff46c5ae9385d20709bedade86edd368a5fb8b90b7fdf1a3a228fbbc083e64547">Unadjusted</a>, <a class="code" href="struct_quant_lib_1_1_date_generation.html#a11fcd51ef86118f65e603c1474377a78a67e19347f85332c3bbfd61266cecbe4e">DateGeneration::Backward</a>, <span class="keyword">false</span>);
<a name="_a37"></a><a class="code" href="class_quant_lib_1_1_fixed_rate_bond.html" title="fixed-rate bond">FixedRateBond</a> fixedRateBond(
settlementDays,
faceAmount,
fixedBondSchedule,
std::vector<Rate>(1, 0.045),
<a class="code" href="class_quant_lib_1_1_actual_actual.html" title="Actual/Actual day count.">ActualActual</a>(ActualActual::Bond),
<a class="code" href="group__datetime.html#ggaff46c5ae9385d20709bedade86edd368a013e092c359f6031cc0563fd413ce707">ModifiedFollowing</a>,
100.0, <a class="code" href="class_quant_lib_1_1_date.html" title="Concrete date class.">Date</a>(15, May, 2007));
fixedRateBond.setPricingEngine(bondEngine);
<span class="comment">// Floating rate bond (3M USD Libor + 0.1%)</span>
<span class="comment">// Should and will be priced on another curve later...</span>
<a class="code" href="class_quant_lib_1_1_relinkable_handle.html">RelinkableHandle<YieldTermStructure></a> liborTermStructure;
<span class="keyword">const</span> boost::shared_ptr<IborIndex> libor3m(
<span class="keyword">new</span> <a name="_a38"></a><a class="code" href="class_quant_lib_1_1_u_s_d_libor.html" title="USD LIBOR rate">USDLibor</a>(<a class="code" href="class_quant_lib_1_1_period.html">Period</a>(3,Months),liborTermStructure));
libor3m->addFixing(<a class="code" href="class_quant_lib_1_1_date.html" title="Concrete date class.">Date</a>(17, July, 2008),0.0278625);
<a class="code" href="class_quant_lib_1_1_schedule.html" title="Payment schedule.">Schedule</a> floatingBondSchedule(<a class="code" href="class_quant_lib_1_1_date.html" title="Concrete date class.">Date</a>(21, October, 2005),
<a class="code" href="class_quant_lib_1_1_date.html" title="Concrete date class.">Date</a>(21, October, 2010), <a class="code" href="class_quant_lib_1_1_period.html">Period</a>(<a name="a39"></a><a class="code" href="group__datetime.html#gga6d41db8ba0ea90d22df35889df452adaab4fce358383d1822f7596659e00b07f7" title="every third month">Quarterly</a>),
<a class="code" href="class_quant_lib_1_1_united_states.html" title="United States calendars.">UnitedStates</a>(<a name="a40"></a><a class="code" href="class_quant_lib_1_1_united_states.html#abe41cfffd960e29a5d8b07be00aeda42a3f2821f9809075eb575505bcc2525103" title="New York stock exchange calendar.">UnitedStates::NYSE</a>),
<a class="code" href="group__datetime.html#ggaff46c5ae9385d20709bedade86edd368a5fb8b90b7fdf1a3a228fbbc083e64547">Unadjusted</a>, <a class="code" href="group__datetime.html#ggaff46c5ae9385d20709bedade86edd368a5fb8b90b7fdf1a3a228fbbc083e64547">Unadjusted</a>, <a class="code" href="struct_quant_lib_1_1_date_generation.html#a11fcd51ef86118f65e603c1474377a78a67e19347f85332c3bbfd61266cecbe4e">DateGeneration::Backward</a>, <span class="keyword">true</span>);
<a name="_a41"></a><a class="code" href="class_quant_lib_1_1_floating_rate_bond.html" title="floating-rate bond (possibly capped and/or floored)">FloatingRateBond</a> floatingRateBond(
settlementDays,
faceAmount,
floatingBondSchedule,
libor3m,
<a class="code" href="class_quant_lib_1_1_actual360.html" title="Actual/360 day count convention.">Actual360</a>(),
<a class="code" href="group__datetime.html#ggaff46c5ae9385d20709bedade86edd368a013e092c359f6031cc0563fd413ce707">ModifiedFollowing</a>,
<a class="code" href="group__types.html#ga7e529c39c477ba1f5a22264d93e8457a" title="positive integer">Natural</a>(2),
<span class="comment">// Gearings</span>
std::vector<Real>(1, 1.0),
<span class="comment">// Spreads</span>
std::vector<Rate>(1, 0.001),
<span class="comment">// Caps</span>
std::vector<Rate>(),
<span class="comment">// Floors</span>
std::vector<Rate>(),
<span class="comment">// Fixing in arrears</span>
<span class="keyword">true</span>,
<a class="code" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78" title="real number">Real</a>(100.0),
<a class="code" href="class_quant_lib_1_1_date.html" title="Concrete date class.">Date</a>(21, October, 2005));
floatingRateBond.setPricingEngine(bondEngine);
<span class="comment">// Coupon pricers</span>
boost::shared_ptr<IborCouponPricer> pricer(<span class="keyword">new</span> <a name="_a42"></a><a class="code" href="class_quant_lib_1_1_black_ibor_coupon_pricer.html" title="Black-formula pricer for capped/floored Ibor coupons.">BlackIborCouponPricer</a>);
<span class="comment">// optionLet volatilities</span>
<a name="a43"></a><a class="code" href="group__types.html#gaaa95ab7fe66935e3f7535413fad2a7d3" title="volatility">Volatility</a> <a name="a44"></a><a class="code" href="group__manips.html#gac402ef7c87f63f7c603ee87210b5750c" title="output volatilities as percentages">volatility</a> = 0.0;
<a name="_a45"></a><a class="code" href="class_quant_lib_1_1_handle.html">Handle<OptionletVolatilityStructure></a> vol;
vol = <a class="code" href="class_quant_lib_1_1_handle.html">Handle<OptionletVolatilityStructure></a>(
boost::shared_ptr<OptionletVolatilityStructure>(<span class="keyword">new</span>
<a name="_a46"></a><a class="code" href="class_quant_lib_1_1_constant_optionlet_volatility.html" title="Constant caplet volatility, no time-strike dependence.">ConstantOptionletVolatility</a>(
settlementDays,
calendar,
<a class="code" href="group__datetime.html#ggaff46c5ae9385d20709bedade86edd368a013e092c359f6031cc0563fd413ce707">ModifiedFollowing</a>,
volatility,
<a class="code" href="class_quant_lib_1_1_actual365_fixed.html" title="Actual/365 (Fixed) day count convention.">Actual365Fixed</a>())));
pricer->setCapletVolatility(vol);
setCouponPricer(floatingRateBond.cashflows(),pricer);
<span class="comment">// Yield curve bootstrapping</span>
forecastingTermStructure.<a name="a47"></a>linkTo(depoSwapTermStructure);
discountingTermStructure.linkTo(bondDiscountingTermStructure);
<span class="comment">// We are using the depo & swap curve to estimate the future Libor rates</span>
liborTermStructure.linkTo(depoSwapTermStructure);
<span class="comment">/***************</span>
<span class="comment"> * BOND PRICING *</span>
<span class="comment"> ****************/</span>
std::cout << std::endl;
<span class="comment">// write column headings</span>
<a class="code" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77" title="size of a container">Size</a> widths[] = { 18, 10, 10, 10 };
std::cout << std::setw(widths[0]) << <span class="stringliteral">" "</span>
<< std::setw(widths[1]) << <span class="stringliteral">"ZC"</span>
<< std::setw(widths[2]) << <span class="stringliteral">"Fixed"</span>
<< std::setw(widths[3]) << <span class="stringliteral">"Floating"</span>
<< std::endl;
std::string separator = <span class="stringliteral">" | "</span>;
<a class="code" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77" title="size of a container">Size</a> width = widths[0]
+ widths[1]
+ widths[2]
+ widths[3];
std::string rule(width, <span class="charliteral">'-'</span>), dblrule(width, <span class="charliteral">'='</span>);
std::string tab(8, <span class="charliteral">' '</span>);
std::cout << rule << std::endl;
std::cout << std::fixed;
std::cout << std::setprecision(2);
std::cout << std::setw(widths[0]) << <span class="stringliteral">"Net present value"</span>
<< std::setw(widths[1]) << zeroCouponBond.NPV()
<< std::setw(widths[2]) << fixedRateBond.NPV()
<< std::setw(widths[3]) << floatingRateBond.NPV()
<< std::endl;
std::cout << std::setw(widths[0]) << <span class="stringliteral">"Clean price"</span>
<< std::setw(widths[1]) << zeroCouponBond.cleanPrice()
<< std::setw(widths[2]) << fixedRateBond.cleanPrice()
<< std::setw(widths[3]) << floatingRateBond.cleanPrice()
<< std::endl;
std::cout << std::setw(widths[0]) << <span class="stringliteral">"Dirty price"</span>
<< std::setw(widths[1]) << zeroCouponBond.dirtyPrice()
<< std::setw(widths[2]) << fixedRateBond.dirtyPrice()
<< std::setw(widths[3]) << floatingRateBond.dirtyPrice()
<< std::endl;
std::cout << std::setw(widths[0]) << <span class="stringliteral">"Accrued coupon"</span>
<< std::setw(widths[1]) << zeroCouponBond.accruedAmount()
<< std::setw(widths[2]) << fixedRateBond.accruedAmount()
<< std::setw(widths[3]) << floatingRateBond.accruedAmount()
<< std::endl;
std::cout << std::setw(widths[0]) << <span class="stringliteral">"Previous coupon"</span>
<< std::setw(widths[1]) << <span class="stringliteral">"N/A"</span> <span class="comment">// zeroCouponBond</span>
<< std::setw(widths[2]) << <a name="a48"></a><a class="code" href="group__manips.html#gac63ea3dad10259db3764c7d15a61cde5" title="output rates and spreads as percentages">io::rate</a>(fixedRateBond.previousCouponRate())
<< std::setw(widths[3]) << <a class="code" href="group__manips.html#gac63ea3dad10259db3764c7d15a61cde5" title="output rates and spreads as percentages">io::rate</a>(floatingRateBond.previousCouponRate())
<< std::endl;
std::cout << std::setw(widths[0]) << <span class="stringliteral">"Next coupon"</span>
<< std::setw(widths[1]) << <span class="stringliteral">"N/A"</span> <span class="comment">// zeroCouponBond</span>
<< std::setw(widths[2]) << <a class="code" href="group__manips.html#gac63ea3dad10259db3764c7d15a61cde5" title="output rates and spreads as percentages">io::rate</a>(fixedRateBond.nextCouponRate())
<< std::setw(widths[3]) << <a class="code" href="group__manips.html#gac63ea3dad10259db3764c7d15a61cde5" title="output rates and spreads as percentages">io::rate</a>(floatingRateBond.nextCouponRate())
<< std::endl;
std::cout << std::setw(widths[0]) << <span class="stringliteral">"Yield"</span>
<< std::setw(widths[1])
<< <a class="code" href="group__manips.html#gac63ea3dad10259db3764c7d15a61cde5" title="output rates and spreads as percentages">io::rate</a>(zeroCouponBond.yield(<a class="code" href="class_quant_lib_1_1_actual360.html" title="Actual/360 day count convention.">Actual360</a>(),Compounded,<a class="code" href="group__datetime.html#gga6d41db8ba0ea90d22df35889df452adaa508b18014c96e2d466c12b39d7f4e426" title="once a year">Annual</a>))
<< std::setw(widths[2])
<< <a class="code" href="group__manips.html#gac63ea3dad10259db3764c7d15a61cde5" title="output rates and spreads as percentages">io::rate</a>(fixedRateBond.yield(<a class="code" href="class_quant_lib_1_1_actual360.html" title="Actual/360 day count convention.">Actual360</a>(),Compounded,<a class="code" href="group__datetime.html#gga6d41db8ba0ea90d22df35889df452adaa508b18014c96e2d466c12b39d7f4e426" title="once a year">Annual</a>))
<< std::setw(widths[3])
<< <a class="code" href="group__manips.html#gac63ea3dad10259db3764c7d15a61cde5" title="output rates and spreads as percentages">io::rate</a>(floatingRateBond.yield(<a class="code" href="class_quant_lib_1_1_actual360.html" title="Actual/360 day count convention.">Actual360</a>(),Compounded,<a class="code" href="group__datetime.html#gga6d41db8ba0ea90d22df35889df452adaa508b18014c96e2d466c12b39d7f4e426" title="once a year">Annual</a>))
<< std::endl;
std::cout << std::endl;
<span class="comment">// Other computations</span>
std::cout << <span class="stringliteral">"Sample indirect computations (for the floating rate bond): "</span> << std::endl;
std::cout << rule << std::endl;
std::cout << <span class="stringliteral">"Yield to Clean Price: "</span>
<< floatingRateBond.cleanPrice(floatingRateBond.yield(<a class="code" href="class_quant_lib_1_1_actual360.html" title="Actual/360 day count convention.">Actual360</a>(),Compounded,<a class="code" href="group__datetime.html#gga6d41db8ba0ea90d22df35889df452adaa508b18014c96e2d466c12b39d7f4e426" title="once a year">Annual</a>),<a class="code" href="class_quant_lib_1_1_actual360.html" title="Actual/360 day count convention.">Actual360</a>(),Compounded,<a class="code" href="group__datetime.html#gga6d41db8ba0ea90d22df35889df452adaa508b18014c96e2d466c12b39d7f4e426" title="once a year">Annual</a>,settlementDate) << std::endl;
std::cout << <span class="stringliteral">"Clean Price to Yield: "</span>
<< <a class="code" href="group__manips.html#gac63ea3dad10259db3764c7d15a61cde5" title="output rates and spreads as percentages">io::rate</a>(floatingRateBond.yield(floatingRateBond.cleanPrice(),<a class="code" href="class_quant_lib_1_1_actual360.html" title="Actual/360 day count convention.">Actual360</a>(),Compounded,<a class="code" href="group__datetime.html#gga6d41db8ba0ea90d22df35889df452adaa508b18014c96e2d466c12b39d7f4e426" title="once a year">Annual</a>,settlementDate)) << std::endl;
<span class="comment">/* "Yield to Price"</span>
<span class="comment"> "Price to Yield" */</span>
<a class="code" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78" title="real number">Real</a> seconds = timer.elapsed();
<a class="code" href="group__types.html#gab9c87440c314438e51a899a03d2442d0" title="integer number">Integer</a> hours = int(seconds/3600);
seconds -= hours * 3600;
<a class="code" href="group__types.html#gab9c87440c314438e51a899a03d2442d0" title="integer number">Integer</a> minutes = int(seconds/60);
seconds -= minutes * 60;
std::cout << <span class="stringliteral">" \nRun completed in "</span>;
<span class="keywordflow">if</span> (hours > 0)
std::cout << hours << <span class="stringliteral">" h "</span>;
<span class="keywordflow">if</span> (hours > 0 || minutes > 0)
std::cout << minutes << <span class="stringliteral">" m "</span>;
std::cout << std::fixed << std::setprecision(0)
<< seconds << <span class="stringliteral">" s\n"</span> << std::endl;
<span class="keywordflow">return</span> 0;
} <span class="keywordflow">catch</span> (std::exception& e) {
std::cerr << e.what() << std::endl;
<span class="keywordflow">return</span> 1;
} <span class="keywordflow">catch</span> (...) {
std::cerr << <span class="stringliteral">"unknown error"</span> << std::endl;
<span class="keywordflow">return</span> 1;
}
}
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