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<div class="title">Bonds.cpp</div> </div>
</div><!--header-->
<div class="contents">
<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"><div class="line"><span class="comment">/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */</span></div>
<div class="line"> </div>
<div class="line"><span class="comment">/* This example shows how to set up a term structure and then price</span></div>
<div class="line"><span class="comment"> some simple bonds. The last part is dedicated to peripherical</span></div>
<div class="line"><span class="comment"> computations such as "Yield to Price" or "Price to Yield"</span></div>
<div class="line"><span class="comment"> */</span></div>
<div class="line"> </div>
<div class="line"><span class="preprocessor">#include <ql/qldefines.hpp></span></div>
<div class="line"><span class="preprocessor">#ifdef BOOST_MSVC</span></div>
<div class="line"><span class="preprocessor"># include <ql/auto_link.hpp></span></div>
<div class="line"><span class="preprocessor">#endif</span></div>
<div class="line"><span class="preprocessor">#include <ql/instruments/bonds/zerocouponbond.hpp></span></div>
<div class="line"><span class="preprocessor">#include <ql/instruments/bonds/floatingratebond.hpp></span></div>
<div class="line"><span class="preprocessor">#include <ql/pricingengines/bond/discountingbondengine.hpp></span></div>
<div class="line"><span class="preprocessor">#include <ql/cashflows/couponpricer.hpp></span></div>
<div class="line"><span class="preprocessor">#include <ql/termstructures/yield/piecewiseyieldcurve.hpp></span></div>
<div class="line"><span class="preprocessor">#include <ql/termstructures/yield/bondhelpers.hpp></span></div>
<div class="line"><span class="preprocessor">#include <ql/termstructures/volatility/optionlet/constantoptionletvol.hpp></span></div>
<div class="line"><span class="preprocessor">#include <ql/indexes/ibor/euribor.hpp></span></div>
<div class="line"><span class="preprocessor">#include <ql/indexes/ibor/usdlibor.hpp></span></div>
<div class="line"><span class="preprocessor">#include <ql/time/calendars/target.hpp></span></div>
<div class="line"><span class="preprocessor">#include <ql/time/calendars/unitedstates.hpp></span></div>
<div class="line"><span class="preprocessor">#include <ql/time/daycounters/actualactual.hpp></span></div>
<div class="line"><span class="preprocessor">#include <ql/time/daycounters/actual360.hpp></span></div>
<div class="line"><span class="preprocessor">#include <ql/time/daycounters/thirty360.hpp></span></div>
<div class="line"> </div>
<div class="line"><span class="preprocessor">#include <iostream></span></div>
<div class="line"><span class="preprocessor">#include <iomanip></span></div>
<div class="line"> </div>
<div class="line"><span class="keyword">using namespace </span><a class="code" href="namespace_quant_lib.html">QuantLib</a>;</div>
<div class="line"> </div>
<div class="line"><span class="preprocessor">#if defined(QL_ENABLE_SESSIONS)</span></div>
<div class="line"><span class="keyword">namespace </span><a class="code" href="namespace_quant_lib.html">QuantLib</a> {</div>
<div class="line"> </div>
<div class="line"> ThreadKey sessionId() { <span class="keywordflow">return</span> 0; }</div>
<div class="line"> </div>
<div class="line">}</div>
<div class="line"><span class="preprocessor">#endif</span></div>
<div class="line"> </div>
<div class="line"> </div>
<div class="line"><span class="keywordtype">int</span> main(<span class="keywordtype">int</span>, <span class="keywordtype">char</span>* []) {</div>
<div class="line"> </div>
<div class="line"> <span class="keywordflow">try</span> {</div>
<div class="line"> </div>
<div class="line"> std::cout << std::endl;</div>
<div class="line"> </div>
<div class="line"><span class="comment"> /*********************</span></div>
<div class="line"><span class="comment"> *** MARKET DATA ***</span></div>
<div class="line"><span class="comment"> *********************/</span></div>
<div class="line"> </div>
<div class="line"> <a name="_a0"></a><a class="code" href="class_quant_lib_1_1_calendar.html" title="calendar class">Calendar</a> calendar = <a name="_a1"></a><a class="code" href="class_quant_lib_1_1_t_a_r_g_e_t.html" title="TARGET calendar">TARGET</a>();</div>
<div class="line"> </div>
<div class="line"> <a name="_a2"></a><a class="code" href="class_quant_lib_1_1_date.html" title="Concrete date class.">Date</a> settlementDate(18, September, 2008);</div>
<div class="line"> <span class="comment">// must be a business day</span></div>
<div class="line"> settlementDate = calendar.<a name="a3"></a><a class="code" href="class_quant_lib_1_1_calendar.html#a712629806d9ef9a39f8144f368c81e4b">adjust</a>(settlementDate);</div>
<div class="line"> </div>
<div class="line"> <a name="a4"></a><a class="code" href="group__types.html#gab9c87440c314438e51a899a03d2442d0" title="integer number">Integer</a> fixingDays = 3;</div>
<div class="line"> <a class="code" href="group__types.html#ga7e529c39c477ba1f5a22264d93e8457a" title="positive integer">Natural</a> settlementDays = 3;</div>
<div class="line"> </div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_date.html" title="Concrete date class.">Date</a> todaysDate = calendar.<a name="a5"></a><a class="code" href="class_quant_lib_1_1_calendar.html#ab3fc4d2c4ba5243c3f5d51dcb3077ceb">advance</a>(settlementDate, -fixingDays, Days);</div>
<div class="line"> <span class="comment">// nothing to do with Date::todaysDate</span></div>
<div class="line"> <a name="a6"></a><a class="code" href="class_quant_lib_1_1_singleton.html#ab7455b7e1235d292c444095842349291" title="access to the unique instance">Settings::instance</a>().evaluationDate() = todaysDate;</div>
<div class="line"> </div>
<div class="line"> std::cout << <span class="stringliteral">"Today: "</span> << todaysDate.<a name="a7"></a>weekday()</div>
<div class="line"> << <span class="stringliteral">", "</span> << todaysDate << std::endl;</div>
<div class="line"> </div>
<div class="line"> std::cout << <span class="stringliteral">"Settlement date: "</span> << settlementDate.weekday()</div>
<div class="line"> << <span class="stringliteral">", "</span> << settlementDate << std::endl;</div>
<div class="line"> </div>
<div class="line"> </div>
<div class="line"> <span class="comment">// Building of the bonds discounting yield curve</span></div>
<div class="line"> </div>
<div class="line"><span class="comment"> /*********************</span></div>
<div class="line"><span class="comment"> *** RATE HELPERS ***</span></div>
<div class="line"><span class="comment"> *********************/</span></div>
<div class="line"> </div>
<div class="line"> <span class="comment">// RateHelpers are built from the above quotes together with</span></div>
<div class="line"> <span class="comment">// other instrument dependant infos. Quotes are passed in</span></div>
<div class="line"> <span class="comment">// relinkable handles which could be relinked to some other</span></div>
<div class="line"> <span class="comment">// data source later.</span></div>
<div class="line"> </div>
<div class="line"> <span class="comment">// Common data</span></div>
<div class="line"> </div>
<div class="line"> <span class="comment">// ZC rates for the short end</span></div>
<div class="line"> <a name="a8"></a><a class="code" href="group__types.html#gaede435af51236692b1107d7639581d39" title="interest rates">Rate</a> zc3mQuote=0.0096;</div>
<div class="line"> <a class="code" href="group__types.html#gaede435af51236692b1107d7639581d39" title="interest rates">Rate</a> zc6mQuote=0.0145;</div>
<div class="line"> <a class="code" href="group__types.html#gaede435af51236692b1107d7639581d39" title="interest rates">Rate</a> zc1yQuote=0.0194;</div>
<div class="line"> </div>
<div class="line"> ext::shared_ptr<Quote> zc3mRate(<span class="keyword">new</span> <a name="_a9"></a><a class="code" href="class_quant_lib_1_1_simple_quote.html" title="market element returning a stored value">SimpleQuote</a>(zc3mQuote));</div>
<div class="line"> ext::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));</div>
<div class="line"> ext::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));</div>
<div class="line"> </div>
<div class="line"> <a name="_a10"></a><a class="code" href="class_quant_lib_1_1_day_counter.html" title="day counter class">DayCounter</a> zcBondsDayCounter = <a name="_a11"></a><a class="code" href="class_quant_lib_1_1_actual365_fixed.html" title="Actual/365 (Fixed) day count convention.">Actual365Fixed</a>();</div>
<div class="line"> </div>
<div class="line"> ext::shared_ptr<RateHelper> zc3m(<span class="keyword">new</span> <a name="_a12"></a><a class="code" href="class_quant_lib_1_1_deposit_rate_helper.html" title="Rate helper for bootstrapping over deposit rates.">DepositRateHelper</a>(</div>
<div class="line"> <a name="_a13"></a><a class="code" href="class_quant_lib_1_1_handle.html" title="Shared handle to an observable.">Handle<Quote></a>(zc3mRate),</div>
<div class="line"> 3*Months, fixingDays,</div>
<div class="line"> calendar, <a name="a14"></a><a class="code" href="group__datetime.html#ggaff46c5ae9385d20709bedade86edd368a013e092c359f6031cc0563fd413ce707">ModifiedFollowing</a>,</div>
<div class="line"> <span class="keyword">true</span>, zcBondsDayCounter));</div>
<div class="line"> ext::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>(</div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_handle.html" title="Shared handle to an observable.">Handle<Quote></a>(zc6mRate),</div>
<div class="line"> 6*Months, fixingDays,</div>
<div class="line"> calendar, <a class="code" href="group__datetime.html#ggaff46c5ae9385d20709bedade86edd368a013e092c359f6031cc0563fd413ce707">ModifiedFollowing</a>,</div>
<div class="line"> <span class="keyword">true</span>, zcBondsDayCounter));</div>
<div class="line"> ext::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>(</div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_handle.html" title="Shared handle to an observable.">Handle<Quote></a>(zc1yRate),</div>
<div class="line"> 1*Years, fixingDays,</div>
<div class="line"> calendar, <a class="code" href="group__datetime.html#ggaff46c5ae9385d20709bedade86edd368a013e092c359f6031cc0563fd413ce707">ModifiedFollowing</a>,</div>
<div class="line"> <span class="keyword">true</span>, zcBondsDayCounter));</div>
<div class="line"> </div>
<div class="line"> <span class="comment">// setup bonds</span></div>
<div class="line"> <a name="a15"></a><a class="code" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78" title="real number">Real</a> redemption = 100.0;</div>
<div class="line"> </div>
<div class="line"> <span class="keyword">const</span> <a class="code" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77" title="size of a container">Size</a> numberOfBonds = 5;</div>
<div class="line"> </div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_date.html" title="Concrete date class.">Date</a> issueDates[] = {</div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_date.html" title="Concrete date class.">Date</a> (15, March, 2005),</div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_date.html" title="Concrete date class.">Date</a> (15, June, 2005),</div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_date.html" title="Concrete date class.">Date</a> (30, June, 2006),</div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_date.html" title="Concrete date class.">Date</a> (15, November, 2002),</div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_date.html" title="Concrete date class.">Date</a> (15, May, 1987)</div>
<div class="line"> };</div>
<div class="line"> </div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_date.html" title="Concrete date class.">Date</a> maturities[] = {</div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_date.html" title="Concrete date class.">Date</a> (31, August, 2010),</div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_date.html" title="Concrete date class.">Date</a> (31, August, 2011),</div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_date.html" title="Concrete date class.">Date</a> (31, August, 2013),</div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_date.html" title="Concrete date class.">Date</a> (15, August, 2018),</div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_date.html" title="Concrete date class.">Date</a> (15, May, 2038)</div>
<div class="line"> };</div>
<div class="line"> </div>
<div class="line"> <a class="code" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78" title="real number">Real</a> couponRates[] = {</div>
<div class="line"> 0.02375,</div>
<div class="line"> 0.04625,</div>
<div class="line"> 0.03125,</div>
<div class="line"> 0.04000,</div>
<div class="line"> 0.04500</div>
<div class="line"> };</div>
<div class="line"> </div>
<div class="line"> <a class="code" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78" title="real number">Real</a> marketQuotes[] = {</div>
<div class="line"> 100.390625,</div>
<div class="line"> 106.21875,</div>
<div class="line"> 100.59375,</div>
<div class="line"> 101.6875,</div>
<div class="line"> 102.140625</div>
<div class="line"> };</div>
<div class="line"> </div>
<div class="line"> std::vector< ext::shared_ptr<SimpleQuote> > quote;</div>
<div class="line"> <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++) {</div>
<div class="line"> ext::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]));</div>
<div class="line"> quote.push_back(cp);</div>
<div class="line"> }</div>
<div class="line"> </div>
<div class="line"> <a name="_a16"></a><a class="code" href="class_quant_lib_1_1_relinkable_handle.html" title="Relinkable handle to an observable.">RelinkableHandle<Quote></a> quoteHandle[numberOfBonds];</div>
<div class="line"> <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++) {</div>
<div class="line"> quoteHandle[i].<a name="a17"></a>linkTo(quote[i]);</div>
<div class="line"> }</div>
<div class="line"> </div>
<div class="line"> <span class="comment">// Definition of the rate helpers</span></div>
<div class="line"> std::vector<ext::shared_ptr<BondHelper> > bondsHelpers;</div>
<div class="line"> </div>
<div class="line"> <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++) {</div>
<div class="line"> </div>
<div class="line"> <a name="_a18"></a><a class="code" href="class_quant_lib_1_1_schedule.html" title="Payment schedule.">Schedule</a> schedule(issueDates[i], maturities[i], <a name="_a19"></a><a class="code" href="class_quant_lib_1_1_period.html">Period</a>(<a name="a20"></a><a class="code" href="group__datetime.html#gga6d41db8ba0ea90d22df35889df452adaad1a5868a1c314bb7f6ab68e2fa182b2d" title="twice a year">Semiannual</a>), <a name="_a21"></a><a class="code" href="class_quant_lib_1_1_united_states.html" title="United States calendars.">UnitedStates</a>(<a name="a22"></a><a class="code" href="class_quant_lib_1_1_united_states.html#abe41cfffd960e29a5d8b07be00aeda42a561f5c560b2b1a55abd84072867a8016" title="government-bond calendar">UnitedStates::GovernmentBond</a>),</div>
<div class="line"> <a name="a23"></a><a class="code" href="group__datetime.html#ggaff46c5ae9385d20709bedade86edd368a5fb8b90b7fdf1a3a228fbbc083e64547">Unadjusted</a>, <a class="code" href="group__datetime.html#ggaff46c5ae9385d20709bedade86edd368a5fb8b90b7fdf1a3a228fbbc083e64547">Unadjusted</a>, <a name="a24"></a><a class="code" href="struct_quant_lib_1_1_date_generation.html#a11fcd51ef86118f65e603c1474377a78a67e19347f85332c3bbfd61266cecbe4e">DateGeneration::Backward</a>, <span class="keyword">false</span>);</div>
<div class="line"> </div>
<div class="line"> ext::shared_ptr<FixedRateBondHelper> bondHelper(<span class="keyword">new</span> <a name="_a25"></a><a class="code" href="class_quant_lib_1_1_fixed_rate_bond_helper.html" title="Fixed-coupon bond helper for curve bootstrap.">FixedRateBondHelper</a>(</div>
<div class="line"> quoteHandle[i],</div>
<div class="line"> settlementDays,</div>
<div class="line"> 100.0,</div>
<div class="line"> schedule,</div>
<div class="line"> std::vector<Rate>(1,couponRates[i]),</div>
<div class="line"> <a name="_a26"></a><a class="code" href="class_quant_lib_1_1_actual_actual.html" title="Actual/Actual day count.">ActualActual</a>(ActualActual::Bond),</div>
<div class="line"> <a class="code" href="group__datetime.html#ggaff46c5ae9385d20709bedade86edd368a5fb8b90b7fdf1a3a228fbbc083e64547">Unadjusted</a>,</div>
<div class="line"> redemption,</div>
<div class="line"> issueDates[i]));</div>
<div class="line"> </div>
<div class="line"> <span class="comment">// the above could also be done by creating a</span></div>
<div class="line"> <span class="comment">// FixedRateBond instance and writing:</span></div>
<div class="line"> <span class="comment">//</span></div>
<div class="line"> <span class="comment">// ext::shared_ptr<BondHelper> bondHelper(</span></div>
<div class="line"> <span class="comment">// new BondHelper(quoteHandle[i], bond));</span></div>
<div class="line"> <span class="comment">//</span></div>
<div class="line"> <span class="comment">// This would also work for bonds that still don't have a</span></div>
<div class="line"> <span class="comment">// specialized helper, such as floating-rate bonds.</span></div>
<div class="line"> </div>
<div class="line"> </div>
<div class="line"> bondsHelpers.push_back(bondHelper);</div>
<div class="line"> }</div>
<div class="line"> </div>
<div class="line"><span class="comment"> /*********************</span></div>
<div class="line"><span class="comment"> ** CURVE BUILDING **</span></div>
<div class="line"><span class="comment"> *********************/</span></div>
<div class="line"> </div>
<div class="line"> <span class="comment">// Any DayCounter would be fine.</span></div>
<div class="line"> <span class="comment">// ActualActual::ISDA ensures that 30 years is 30.0</span></div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_day_counter.html" title="day counter class">DayCounter</a> termStructureDayCounter =</div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_actual_actual.html" title="Actual/Actual day count.">ActualActual</a>(ActualActual::ISDA);</div>
<div class="line"> </div>
<div class="line"> <span class="comment">// A depo-bond curve</span></div>
<div class="line"> std::vector<ext::shared_ptr<RateHelper> > bondInstruments;</div>
<div class="line"> </div>
<div class="line"> <span class="comment">// Adding the ZC bonds to the curve for the short end</span></div>
<div class="line"> bondInstruments.push_back(zc3m);</div>
<div class="line"> bondInstruments.push_back(zc6m);</div>
<div class="line"> bondInstruments.push_back(zc1y);</div>
<div class="line"> </div>
<div class="line"> <span class="comment">// Adding the Fixed rate bonds to the curve for the long end</span></div>
<div class="line"> <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++) {</div>
<div class="line"> bondInstruments.push_back(bondsHelpers[i]);</div>
<div class="line"> }</div>
<div class="line"> </div>
<div class="line"> ext::shared_ptr<YieldTermStructure> bondDiscountingTermStructure(</div>
<div class="line"> <span class="keyword">new</span> <a name="_a27"></a><a class="code" href="class_quant_lib_1_1_piecewise_yield_curve.html" title="Piecewise yield term structure.">PiecewiseYieldCurve<Discount,LogLinear></a>(</div>
<div class="line"> settlementDate, bondInstruments,</div>
<div class="line"> termStructureDayCounter));</div>
<div class="line"> </div>
<div class="line"> <span class="comment">// Building of the Libor forecasting curve</span></div>
<div class="line"> <span class="comment">// deposits</span></div>
<div class="line"> <a class="code" href="group__types.html#gaede435af51236692b1107d7639581d39" title="interest rates">Rate</a> d1wQuote=0.043375;</div>
<div class="line"> <a class="code" href="group__types.html#gaede435af51236692b1107d7639581d39" title="interest rates">Rate</a> d1mQuote=0.031875;</div>
<div class="line"> <a class="code" href="group__types.html#gaede435af51236692b1107d7639581d39" title="interest rates">Rate</a> d3mQuote=0.0320375;</div>
<div class="line"> <a class="code" href="group__types.html#gaede435af51236692b1107d7639581d39" title="interest rates">Rate</a> d6mQuote=0.03385;</div>
<div class="line"> <a class="code" href="group__types.html#gaede435af51236692b1107d7639581d39" title="interest rates">Rate</a> d9mQuote=0.0338125;</div>
<div class="line"> <a class="code" href="group__types.html#gaede435af51236692b1107d7639581d39" title="interest rates">Rate</a> d1yQuote=0.0335125;</div>
<div class="line"> <span class="comment">// swaps</span></div>
<div class="line"> <a class="code" href="group__types.html#gaede435af51236692b1107d7639581d39" title="interest rates">Rate</a> s2yQuote=0.0295;</div>
<div class="line"> <a class="code" href="group__types.html#gaede435af51236692b1107d7639581d39" title="interest rates">Rate</a> s3yQuote=0.0323;</div>
<div class="line"> <a class="code" href="group__types.html#gaede435af51236692b1107d7639581d39" title="interest rates">Rate</a> s5yQuote=0.0359;</div>
<div class="line"> <a class="code" href="group__types.html#gaede435af51236692b1107d7639581d39" title="interest rates">Rate</a> s10yQuote=0.0412;</div>
<div class="line"> <a class="code" href="group__types.html#gaede435af51236692b1107d7639581d39" title="interest rates">Rate</a> s15yQuote=0.0433;</div>
<div class="line"> </div>
<div class="line"> </div>
<div class="line"><span class="comment"> /********************</span></div>
<div class="line"><span class="comment"> *** QUOTES ***</span></div>
<div class="line"><span class="comment"> ********************/</span></div>
<div class="line"> </div>
<div class="line"> <span class="comment">// SimpleQuote stores a value which can be manually changed;</span></div>
<div class="line"> <span class="comment">// other Quote subclasses could read the value from a database</span></div>
<div class="line"> <span class="comment">// or some kind of data feed.</span></div>
<div class="line"> </div>
<div class="line"> <span class="comment">// deposits</span></div>
<div class="line"> ext::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));</div>
<div class="line"> ext::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));</div>
<div class="line"> ext::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));</div>
<div class="line"> ext::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));</div>
<div class="line"> ext::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));</div>
<div class="line"> ext::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));</div>
<div class="line"> <span class="comment">// swaps</span></div>
<div class="line"> ext::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));</div>
<div class="line"> ext::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));</div>
<div class="line"> ext::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));</div>
<div class="line"> ext::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));</div>
<div class="line"> ext::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));</div>
<div class="line"> </div>
<div class="line"><span class="comment"> /*********************</span></div>
<div class="line"><span class="comment"> *** RATE HELPERS ***</span></div>
<div class="line"><span class="comment"> *********************/</span></div>
<div class="line"> </div>
<div class="line"> <span class="comment">// RateHelpers are built from the above quotes together with</span></div>
<div class="line"> <span class="comment">// other instrument dependant infos. Quotes are passed in</span></div>
<div class="line"> <span class="comment">// relinkable handles which could be relinked to some other</span></div>
<div class="line"> <span class="comment">// data source later.</span></div>
<div class="line"> </div>
<div class="line"> <span class="comment">// deposits</span></div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_day_counter.html" title="day counter class">DayCounter</a> depositDayCounter = <a name="_a28"></a><a class="code" href="class_quant_lib_1_1_actual360.html" title="Actual/360 day count convention.">Actual360</a>();</div>
<div class="line"> </div>
<div class="line"> ext::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>(</div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_handle.html" title="Shared handle to an observable.">Handle<Quote></a>(d1wRate),</div>
<div class="line"> 1*Weeks, fixingDays,</div>
<div class="line"> calendar, <a class="code" href="group__datetime.html#ggaff46c5ae9385d20709bedade86edd368a013e092c359f6031cc0563fd413ce707">ModifiedFollowing</a>,</div>
<div class="line"> <span class="keyword">true</span>, depositDayCounter));</div>
<div class="line"> ext::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>(</div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_handle.html" title="Shared handle to an observable.">Handle<Quote></a>(d1mRate),</div>
<div class="line"> 1*Months, fixingDays,</div>
<div class="line"> calendar, <a class="code" href="group__datetime.html#ggaff46c5ae9385d20709bedade86edd368a013e092c359f6031cc0563fd413ce707">ModifiedFollowing</a>,</div>
<div class="line"> <span class="keyword">true</span>, depositDayCounter));</div>
<div class="line"> ext::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>(</div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_handle.html" title="Shared handle to an observable.">Handle<Quote></a>(d3mRate),</div>
<div class="line"> 3*Months, fixingDays,</div>
<div class="line"> calendar, <a class="code" href="group__datetime.html#ggaff46c5ae9385d20709bedade86edd368a013e092c359f6031cc0563fd413ce707">ModifiedFollowing</a>,</div>
<div class="line"> <span class="keyword">true</span>, depositDayCounter));</div>
<div class="line"> ext::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>(</div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_handle.html" title="Shared handle to an observable.">Handle<Quote></a>(d6mRate),</div>
<div class="line"> 6*Months, fixingDays,</div>
<div class="line"> calendar, <a class="code" href="group__datetime.html#ggaff46c5ae9385d20709bedade86edd368a013e092c359f6031cc0563fd413ce707">ModifiedFollowing</a>,</div>
<div class="line"> <span class="keyword">true</span>, depositDayCounter));</div>
<div class="line"> ext::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>(</div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_handle.html" title="Shared handle to an observable.">Handle<Quote></a>(d9mRate),</div>
<div class="line"> 9*Months, fixingDays,</div>
<div class="line"> calendar, <a class="code" href="group__datetime.html#ggaff46c5ae9385d20709bedade86edd368a013e092c359f6031cc0563fd413ce707">ModifiedFollowing</a>,</div>
<div class="line"> <span class="keyword">true</span>, depositDayCounter));</div>
<div class="line"> ext::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>(</div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_handle.html" title="Shared handle to an observable.">Handle<Quote></a>(d1yRate),</div>
<div class="line"> 1*Years, fixingDays,</div>
<div class="line"> calendar, <a class="code" href="group__datetime.html#ggaff46c5ae9385d20709bedade86edd368a013e092c359f6031cc0563fd413ce707">ModifiedFollowing</a>,</div>
<div class="line"> <span class="keyword">true</span>, depositDayCounter));</div>
<div class="line"> </div>
<div class="line"> <span class="comment">// setup swaps</span></div>
<div class="line"> <a class="code" href="group__datetime.html#ga6d41db8ba0ea90d22df35889df452ada" title="Frequency of events.">Frequency</a> swFixedLegFrequency = <a name="a29"></a><a class="code" href="group__datetime.html#gga6d41db8ba0ea90d22df35889df452adaa508b18014c96e2d466c12b39d7f4e426" title="once a year">Annual</a>;</div>
<div class="line"> <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>;</div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_day_counter.html" title="day counter class">DayCounter</a> swFixedLegDayCounter = <a name="_a30"></a><a class="code" href="class_quant_lib_1_1_thirty360.html" title="30/360 day count convention">Thirty360</a>(Thirty360::European);</div>
<div class="line"> ext::shared_ptr<IborIndex> swFloatingLegIndex(<span class="keyword">new</span> <a name="_a31"></a><a class="code" href="class_quant_lib_1_1_euribor6_m.html" title="6-months Euribor index">Euribor6M</a>);</div>
<div class="line"> </div>
<div class="line"> <span class="keyword">const</span> <a class="code" href="class_quant_lib_1_1_period.html">Period</a> forwardStart(1*Days);</div>
<div class="line"> </div>
<div class="line"> ext::shared_ptr<RateHelper> s2y(<span class="keyword">new</span> <a name="_a32"></a><a class="code" href="class_quant_lib_1_1_swap_rate_helper.html" title="Rate helper for bootstrapping over swap rates.">SwapRateHelper</a>(</div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_handle.html" title="Shared handle to an observable.">Handle<Quote></a>(s2yRate), 2*Years,</div>
<div class="line"> calendar, swFixedLegFrequency,</div>
<div class="line"> swFixedLegConvention, swFixedLegDayCounter,</div>
<div class="line"> swFloatingLegIndex, <a class="code" href="class_quant_lib_1_1_handle.html" title="Shared handle to an observable.">Handle<Quote></a>(),forwardStart));</div>
<div class="line"> ext::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>(</div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_handle.html" title="Shared handle to an observable.">Handle<Quote></a>(s3yRate), 3*Years,</div>
<div class="line"> calendar, swFixedLegFrequency,</div>
<div class="line"> swFixedLegConvention, swFixedLegDayCounter,</div>
<div class="line"> swFloatingLegIndex, <a class="code" href="class_quant_lib_1_1_handle.html" title="Shared handle to an observable.">Handle<Quote></a>(),forwardStart));</div>
<div class="line"> ext::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>(</div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_handle.html" title="Shared handle to an observable.">Handle<Quote></a>(s5yRate), 5*Years,</div>
<div class="line"> calendar, swFixedLegFrequency,</div>
<div class="line"> swFixedLegConvention, swFixedLegDayCounter,</div>
<div class="line"> swFloatingLegIndex, <a class="code" href="class_quant_lib_1_1_handle.html" title="Shared handle to an observable.">Handle<Quote></a>(),forwardStart));</div>
<div class="line"> ext::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>(</div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_handle.html" title="Shared handle to an observable.">Handle<Quote></a>(s10yRate), 10*Years,</div>
<div class="line"> calendar, swFixedLegFrequency,</div>
<div class="line"> swFixedLegConvention, swFixedLegDayCounter,</div>
<div class="line"> swFloatingLegIndex, <a class="code" href="class_quant_lib_1_1_handle.html" title="Shared handle to an observable.">Handle<Quote></a>(),forwardStart));</div>
<div class="line"> ext::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>(</div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_handle.html" title="Shared handle to an observable.">Handle<Quote></a>(s15yRate), 15*Years,</div>
<div class="line"> calendar, swFixedLegFrequency,</div>
<div class="line"> swFixedLegConvention, swFixedLegDayCounter,</div>
<div class="line"> swFloatingLegIndex, <a class="code" href="class_quant_lib_1_1_handle.html" title="Shared handle to an observable.">Handle<Quote></a>(),forwardStart));</div>
<div class="line"> </div>
<div class="line"> </div>
<div class="line"><span class="comment"> /*********************</span></div>
<div class="line"><span class="comment"> ** CURVE BUILDING **</span></div>
<div class="line"><span class="comment"> *********************/</span></div>
<div class="line"> </div>
<div class="line"> <span class="comment">// Any DayCounter would be fine.</span></div>
<div class="line"> <span class="comment">// ActualActual::ISDA ensures that 30 years is 30.0</span></div>
<div class="line"> </div>
<div class="line"> <span class="comment">// A depo-swap curve</span></div>
<div class="line"> std::vector<ext::shared_ptr<RateHelper> > depoSwapInstruments;</div>
<div class="line"> depoSwapInstruments.push_back(d1w);</div>
<div class="line"> depoSwapInstruments.push_back(d1m);</div>
<div class="line"> depoSwapInstruments.push_back(d3m);</div>
<div class="line"> depoSwapInstruments.push_back(d6m);</div>
<div class="line"> depoSwapInstruments.push_back(d9m);</div>
<div class="line"> depoSwapInstruments.push_back(d1y);</div>
<div class="line"> depoSwapInstruments.push_back(s2y);</div>
<div class="line"> depoSwapInstruments.push_back(s3y);</div>
<div class="line"> depoSwapInstruments.push_back(s5y);</div>
<div class="line"> depoSwapInstruments.push_back(s10y);</div>
<div class="line"> depoSwapInstruments.push_back(s15y);</div>
<div class="line"> ext::shared_ptr<YieldTermStructure> depoSwapTermStructure(</div>
<div class="line"> <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>(</div>
<div class="line"> settlementDate, depoSwapInstruments,</div>
<div class="line"> termStructureDayCounter));</div>
<div class="line"> </div>
<div class="line"> <span class="comment">// Term structures that will be used for pricing:</span></div>
<div class="line"> <span class="comment">// the one used for discounting cash flows</span></div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_relinkable_handle.html" title="Relinkable handle to an observable.">RelinkableHandle<YieldTermStructure></a> discountingTermStructure;</div>
<div class="line"> <span class="comment">// the one used for forward rate forecasting</span></div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_relinkable_handle.html" title="Relinkable handle to an observable.">RelinkableHandle<YieldTermStructure></a> forecastingTermStructure;</div>
<div class="line"> </div>
<div class="line"><span class="comment"> /*********************</span></div>
<div class="line"><span class="comment"> * BONDS TO BE PRICED *</span></div>
<div class="line"><span class="comment"> **********************/</span></div>
<div class="line"> </div>
<div class="line"> <span class="comment">// Common data</span></div>
<div class="line"> <a class="code" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78" title="real number">Real</a> faceAmount = 100;</div>
<div class="line"> </div>
<div class="line"> <span class="comment">// Pricing engine</span></div>
<div class="line"> ext::shared_ptr<PricingEngine> bondEngine(</div>
<div class="line"> <span class="keyword">new</span> DiscountingBondEngine(discountingTermStructure));</div>
<div class="line"> </div>
<div class="line"> <span class="comment">// Zero coupon bond</span></div>
<div class="line"> <a name="_a33"></a><a class="code" href="class_quant_lib_1_1_zero_coupon_bond.html" title="zero-coupon bond">ZeroCouponBond</a> zeroCouponBond(</div>
<div class="line"> settlementDays,</div>
<div class="line"> <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>),</div>
<div class="line"> faceAmount,</div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_date.html" title="Concrete date class.">Date</a>(15,August,2013),</div>
<div class="line"> <a name="a34"></a><a class="code" href="group__datetime.html#ggaff46c5ae9385d20709bedade86edd368ab6a37af780aa2b97f8bbdc4d149dae18">Following</a>,</div>
<div class="line"> <a class="code" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78" title="real number">Real</a>(116.92),</div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_date.html" title="Concrete date class.">Date</a>(15,August,2003));</div>
<div class="line"> </div>
<div class="line"> zeroCouponBond.setPricingEngine(bondEngine);</div>
<div class="line"> </div>
<div class="line"> <span class="comment">// Fixed 4.5% US Treasury Note</span></div>
<div class="line"> <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),</div>
<div class="line"> <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>),</div>
<div class="line"> <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>),</div>
<div class="line"> <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>);</div>
<div class="line"> </div>
<div class="line"> <a name="_a35"></a><a class="code" href="class_quant_lib_1_1_fixed_rate_bond.html" title="fixed-rate bond">FixedRateBond</a> fixedRateBond(</div>
<div class="line"> settlementDays,</div>
<div class="line"> faceAmount,</div>
<div class="line"> fixedBondSchedule,</div>
<div class="line"> std::vector<Rate>(1, 0.045),</div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_actual_actual.html" title="Actual/Actual day count.">ActualActual</a>(ActualActual::Bond),</div>
<div class="line"> <a class="code" href="group__datetime.html#ggaff46c5ae9385d20709bedade86edd368a013e092c359f6031cc0563fd413ce707">ModifiedFollowing</a>,</div>
<div class="line"> 100.0, <a class="code" href="class_quant_lib_1_1_date.html" title="Concrete date class.">Date</a>(15, May, 2007));</div>
<div class="line"> </div>
<div class="line"> fixedRateBond.setPricingEngine(bondEngine);</div>
<div class="line"> </div>
<div class="line"> <span class="comment">// Floating rate bond (3M USD Libor + 0.1%)</span></div>
<div class="line"> <span class="comment">// Should and will be priced on another curve later...</span></div>
<div class="line"> </div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_relinkable_handle.html" title="Relinkable handle to an observable.">RelinkableHandle<YieldTermStructure></a> liborTermStructure;</div>
<div class="line"> <span class="keyword">const</span> ext::shared_ptr<IborIndex> libor3m(</div>
<div class="line"> <span class="keyword">new</span> <a name="_a36"></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));</div>
<div class="line"> libor3m->addFixing(<a class="code" href="class_quant_lib_1_1_date.html" title="Concrete date class.">Date</a>(17, July, 2008),0.0278625);</div>
<div class="line"> </div>
<div class="line"> <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),</div>
<div class="line"> <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="a37"></a><a class="code" href="group__datetime.html#gga6d41db8ba0ea90d22df35889df452adaab4fce358383d1822f7596659e00b07f7" title="every third month">Quarterly</a>),</div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_united_states.html" title="United States calendars.">UnitedStates</a>(<a name="a38"></a><a class="code" href="class_quant_lib_1_1_united_states.html#abe41cfffd960e29a5d8b07be00aeda42a3f2821f9809075eb575505bcc2525103" title="New York stock exchange calendar.">UnitedStates::NYSE</a>),</div>
<div class="line"> <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>);</div>
<div class="line"> </div>
<div class="line"> <a name="_a39"></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(</div>
<div class="line"> settlementDays,</div>
<div class="line"> faceAmount,</div>
<div class="line"> floatingBondSchedule,</div>
<div class="line"> libor3m,</div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_actual360.html" title="Actual/360 day count convention.">Actual360</a>(),</div>
<div class="line"> <a class="code" href="group__datetime.html#ggaff46c5ae9385d20709bedade86edd368a013e092c359f6031cc0563fd413ce707">ModifiedFollowing</a>,</div>
<div class="line"> <a name="a40"></a><a class="code" href="group__types.html#ga7e529c39c477ba1f5a22264d93e8457a" title="positive integer">Natural</a>(2),</div>
<div class="line"> <span class="comment">// Gearings</span></div>
<div class="line"> std::vector<Real>(1, 1.0),</div>
<div class="line"> <span class="comment">// Spreads</span></div>
<div class="line"> std::vector<Rate>(1, 0.001),</div>
<div class="line"> <span class="comment">// Caps</span></div>
<div class="line"> std::vector<Rate>(),</div>
<div class="line"> <span class="comment">// Floors</span></div>
<div class="line"> std::vector<Rate>(),</div>
<div class="line"> <span class="comment">// Fixing in arrears</span></div>
<div class="line"> <span class="keyword">true</span>,</div>
<div class="line"> <a class="code" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78" title="real number">Real</a>(100.0),</div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_date.html" title="Concrete date class.">Date</a>(21, October, 2005));</div>
<div class="line"> </div>
<div class="line"> floatingRateBond.setPricingEngine(bondEngine);</div>
<div class="line"> </div>
<div class="line"> <span class="comment">// Coupon pricers</span></div>
<div class="line"> ext::shared_ptr<IborCouponPricer> pricer(<span class="keyword">new</span> <a name="_a41"></a><a class="code" href="class_quant_lib_1_1_black_ibor_coupon_pricer.html">BlackIborCouponPricer</a>);</div>
<div class="line"> </div>
<div class="line"> <span class="comment">// optionLet volatilities</span></div>
<div class="line"> <a name="a42"></a><a class="code" href="group__types.html#gaaa95ab7fe66935e3f7535413fad2a7d3" title="volatility">Volatility</a> <a name="a43"></a><a class="code" href="group__manips.html#gac402ef7c87f63f7c603ee87210b5750c" title="output volatilities as percentages">volatility</a> = 0.0;</div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_handle.html" title="Shared handle to an observable.">Handle<OptionletVolatilityStructure></a> vol;</div>
<div class="line"> vol = <a class="code" href="class_quant_lib_1_1_handle.html" title="Shared handle to an observable.">Handle<OptionletVolatilityStructure></a>(</div>
<div class="line"> ext::shared_ptr<OptionletVolatilityStructure>(<span class="keyword">new</span></div>
<div class="line"> <a name="_a44"></a><a class="code" href="class_quant_lib_1_1_constant_optionlet_volatility.html" title="Constant caplet volatility, no time-strike dependence.">ConstantOptionletVolatility</a>(</div>
<div class="line"> settlementDays,</div>
<div class="line"> calendar,</div>
<div class="line"> <a class="code" href="group__datetime.html#ggaff46c5ae9385d20709bedade86edd368a013e092c359f6031cc0563fd413ce707">ModifiedFollowing</a>,</div>
<div class="line"> <a class="code" href="group__manips.html#gac402ef7c87f63f7c603ee87210b5750c" title="output volatilities as percentages">volatility</a>,</div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_actual365_fixed.html" title="Actual/365 (Fixed) day count convention.">Actual365Fixed</a>())));</div>
<div class="line"> </div>
<div class="line"> pricer->setCapletVolatility(vol);</div>
<div class="line"> setCouponPricer(floatingRateBond.cashflows(),pricer);</div>
<div class="line"> </div>
<div class="line"> <span class="comment">// Yield curve bootstrapping</span></div>
<div class="line"> forecastingTermStructure.<a name="a45"></a>linkTo(depoSwapTermStructure);</div>
<div class="line"> discountingTermStructure.linkTo(bondDiscountingTermStructure);</div>
<div class="line"> </div>
<div class="line"> <span class="comment">// We are using the depo & swap curve to estimate the future Libor rates</span></div>
<div class="line"> liborTermStructure.linkTo(depoSwapTermStructure);</div>
<div class="line"> </div>
<div class="line"><span class="comment"> /***************</span></div>
<div class="line"><span class="comment"> * BOND PRICING *</span></div>
<div class="line"><span class="comment"> ****************/</span></div>
<div class="line"> </div>
<div class="line"> std::cout << std::endl;</div>
<div class="line"> </div>
<div class="line"> <span class="comment">// write column headings</span></div>
<div class="line"> <a class="code" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77" title="size of a container">Size</a> widths[] = { 18, 10, 10, 10 };</div>
<div class="line"> </div>
<div class="line"> std::cout << std::setw(widths[0]) << <span class="stringliteral">" "</span></div>
<div class="line"> << std::setw(widths[1]) << <span class="stringliteral">"ZC"</span></div>
<div class="line"> << std::setw(widths[2]) << <span class="stringliteral">"Fixed"</span></div>
<div class="line"> << std::setw(widths[3]) << <span class="stringliteral">"Floating"</span></div>
<div class="line"> << std::endl;</div>
<div class="line"> </div>
<div class="line"> <a class="code" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77" title="size of a container">Size</a> width = widths[0] + widths[1] + widths[2] + widths[3];</div>
<div class="line"> std::string rule(width, <span class="charliteral">'-'</span>);</div>
<div class="line"> </div>
<div class="line"> std::cout << rule << std::endl;</div>
<div class="line"> </div>
<div class="line"> std::cout << std::fixed;</div>
<div class="line"> std::cout << std::setprecision(2);</div>
<div class="line"> </div>
<div class="line"> std::cout << std::setw(widths[0]) << <span class="stringliteral">"Net present value"</span></div>
<div class="line"> << std::setw(widths[1]) << zeroCouponBond.NPV()</div>
<div class="line"> << std::setw(widths[2]) << fixedRateBond.NPV()</div>
<div class="line"> << std::setw(widths[3]) << floatingRateBond.NPV()</div>
<div class="line"> << std::endl;</div>
<div class="line"> </div>
<div class="line"> std::cout << std::setw(widths[0]) << <span class="stringliteral">"Clean price"</span></div>
<div class="line"> << std::setw(widths[1]) << zeroCouponBond.cleanPrice()</div>
<div class="line"> << std::setw(widths[2]) << fixedRateBond.cleanPrice()</div>
<div class="line"> << std::setw(widths[3]) << floatingRateBond.cleanPrice()</div>
<div class="line"> << std::endl;</div>
<div class="line"> </div>
<div class="line"> std::cout << std::setw(widths[0]) << <span class="stringliteral">"Dirty price"</span></div>
<div class="line"> << std::setw(widths[1]) << zeroCouponBond.dirtyPrice()</div>
<div class="line"> << std::setw(widths[2]) << fixedRateBond.dirtyPrice()</div>
<div class="line"> << std::setw(widths[3]) << floatingRateBond.dirtyPrice()</div>
<div class="line"> << std::endl;</div>
<div class="line"> </div>
<div class="line"> std::cout << std::setw(widths[0]) << <span class="stringliteral">"Accrued coupon"</span></div>
<div class="line"> << std::setw(widths[1]) << zeroCouponBond.accruedAmount()</div>
<div class="line"> << std::setw(widths[2]) << fixedRateBond.accruedAmount()</div>
<div class="line"> << std::setw(widths[3]) << floatingRateBond.accruedAmount()</div>
<div class="line"> << std::endl;</div>
<div class="line"> </div>
<div class="line"> std::cout << std::setw(widths[0]) << <span class="stringliteral">"Previous coupon"</span></div>
<div class="line"> << std::setw(widths[1]) << <span class="stringliteral">"N/A"</span> <span class="comment">// zeroCouponBond</span></div>
<div class="line"> << std::setw(widths[2]) << <a name="a46"></a><a class="code" href="group__manips.html#gac63ea3dad10259db3764c7d15a61cde5" title="output rates and spreads as percentages">io::rate</a>(fixedRateBond.previousCouponRate())</div>
<div class="line"> << std::setw(widths[3]) << <a class="code" href="group__manips.html#gac63ea3dad10259db3764c7d15a61cde5" title="output rates and spreads as percentages">io::rate</a>(floatingRateBond.previousCouponRate())</div>
<div class="line"> << std::endl;</div>
<div class="line"> </div>
<div class="line"> std::cout << std::setw(widths[0]) << <span class="stringliteral">"Next coupon"</span></div>
<div class="line"> << std::setw(widths[1]) << <span class="stringliteral">"N/A"</span> <span class="comment">// zeroCouponBond</span></div>
<div class="line"> << std::setw(widths[2]) << <a class="code" href="group__manips.html#gac63ea3dad10259db3764c7d15a61cde5" title="output rates and spreads as percentages">io::rate</a>(fixedRateBond.nextCouponRate())</div>
<div class="line"> << std::setw(widths[3]) << <a class="code" href="group__manips.html#gac63ea3dad10259db3764c7d15a61cde5" title="output rates and spreads as percentages">io::rate</a>(floatingRateBond.nextCouponRate())</div>
<div class="line"> << std::endl;</div>
<div class="line"> </div>
<div class="line"> std::cout << std::setw(widths[0]) << <span class="stringliteral">"Yield"</span></div>
<div class="line"> << std::setw(widths[1])</div>
<div class="line"> << <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>(),<a name="a47"></a><a class="code" href="namespace_quant_lib.html#a2779d04b4839fd386b5c85bbb96aaf73a7f3e11143ca01a7d20f92e11ad445e0c">Compounded</a>,<a class="code" href="group__datetime.html#gga6d41db8ba0ea90d22df35889df452adaa508b18014c96e2d466c12b39d7f4e426" title="once a year">Annual</a>))</div>
<div class="line"> << std::setw(widths[2])</div>
<div class="line"> << <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>(),<a class="code" href="namespace_quant_lib.html#a2779d04b4839fd386b5c85bbb96aaf73a7f3e11143ca01a7d20f92e11ad445e0c">Compounded</a>,<a class="code" href="group__datetime.html#gga6d41db8ba0ea90d22df35889df452adaa508b18014c96e2d466c12b39d7f4e426" title="once a year">Annual</a>))</div>
<div class="line"> << std::setw(widths[3])</div>
<div class="line"> << <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>(),<a class="code" href="namespace_quant_lib.html#a2779d04b4839fd386b5c85bbb96aaf73a7f3e11143ca01a7d20f92e11ad445e0c">Compounded</a>,<a class="code" href="group__datetime.html#gga6d41db8ba0ea90d22df35889df452adaa508b18014c96e2d466c12b39d7f4e426" title="once a year">Annual</a>))</div>
<div class="line"> << std::endl;</div>
<div class="line"> </div>
<div class="line"> std::cout << std::endl;</div>
<div class="line"> </div>
<div class="line"> <span class="comment">// Other computations</span></div>
<div class="line"> std::cout << <span class="stringliteral">"Sample indirect computations (for the floating rate bond): "</span> << std::endl;</div>
<div class="line"> std::cout << rule << std::endl;</div>
<div class="line"> </div>
<div class="line"> std::cout << <span class="stringliteral">"Yield to Clean Price: "</span></div>
<div class="line"> << floatingRateBond.cleanPrice(floatingRateBond.yield(<a class="code" href="class_quant_lib_1_1_actual360.html" title="Actual/360 day count convention.">Actual360</a>(),<a class="code" href="namespace_quant_lib.html#a2779d04b4839fd386b5c85bbb96aaf73a7f3e11143ca01a7d20f92e11ad445e0c">Compounded</a>,<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>(),<a class="code" href="namespace_quant_lib.html#a2779d04b4839fd386b5c85bbb96aaf73a7f3e11143ca01a7d20f92e11ad445e0c">Compounded</a>,<a class="code" href="group__datetime.html#gga6d41db8ba0ea90d22df35889df452adaa508b18014c96e2d466c12b39d7f4e426" title="once a year">Annual</a>,settlementDate) << std::endl;</div>
<div class="line"> </div>
<div class="line"> std::cout << <span class="stringliteral">"Clean Price to Yield: "</span></div>
<div class="line"> << <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>(),<a class="code" href="namespace_quant_lib.html#a2779d04b4839fd386b5c85bbb96aaf73a7f3e11143ca01a7d20f92e11ad445e0c">Compounded</a>,<a class="code" href="group__datetime.html#gga6d41db8ba0ea90d22df35889df452adaa508b18014c96e2d466c12b39d7f4e426" title="once a year">Annual</a>,settlementDate)) << std::endl;</div>
<div class="line"> </div>
<div class="line"> <span class="comment">/* "Yield to Price"</span></div>
<div class="line"><span class="comment"> "Price to Yield" */</span></div>
<div class="line"> </div>
<div class="line"> <span class="keywordflow">return</span> 0;</div>
<div class="line"> </div>
<div class="line"> } <span class="keywordflow">catch</span> (std::exception& e) {</div>
<div class="line"> std::cerr << e.what() << std::endl;</div>
<div class="line"> <span class="keywordflow">return</span> 1;</div>
<div class="line"> } <span class="keywordflow">catch</span> (...) {</div>
<div class="line"> std::cerr << <span class="stringliteral">"unknown error"</span> << std::endl;</div>
<div class="line"> <span class="keywordflow">return</span> 1;</div>
<div class="line"> }</div>
<div class="line">}</div>
<div class="line"> </div>
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