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<div class="title">ConvertibleBonds.cpp</div> </div>
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<p>For a given set of option parameters, this example computes the value of a convertible bond with an embedded put option for two different equity options types (with european and american exercise features) using the Tsiveriotis-Fernandes method with different implied tree algorithms. The tree types are Jarrow-Rudd, Cox-Ross-Rubinstein, Additive equiprobabilities, Trigeorgis, Tian and Leisen-Reimer.</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="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/experimental/convertiblebonds/convertiblebond.hpp></span></div>
<div class="line"><span class="preprocessor">#include <ql/experimental/convertiblebonds/binomialconvertibleengine.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/daycounters/thirty360.hpp></span></div>
<div class="line"><span class="preprocessor">#include <ql/utilities/dataformatters.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="preprocessor">#define LENGTH(a) (sizeof(a)/sizeof(a[0]))</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"> Option::Type type(Option::Put);</div>
<div class="line"> <a name="a0"></a><a class="code" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78" title="real number">Real</a> underlying = 36.0;</div>
<div class="line"> <a class="code" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78" title="real number">Real</a> spreadRate = 0.005;</div>
<div class="line"> </div>
<div class="line"> <a name="a1"></a><a class="code" href="group__types.html#gae7427f4743503002b0c6eeeefae91a3d" title="spreads on interest rates">Spread</a> dividendYield = 0.02;</div>
<div class="line"> <a name="a2"></a><a class="code" href="group__types.html#gaede435af51236692b1107d7639581d39" title="interest rates">Rate</a> riskFreeRate = 0.06;</div>
<div class="line"> <a name="a3"></a><a class="code" href="group__types.html#gaaa95ab7fe66935e3f7535413fad2a7d3" title="volatility">Volatility</a> <a name="a4"></a><a class="code" href="group__manips.html#gac402ef7c87f63f7c603ee87210b5750c" title="output volatilities as percentages">volatility</a> = 0.20;</div>
<div class="line"> </div>
<div class="line"> <a name="a5"></a><a class="code" href="group__types.html#gab9c87440c314438e51a899a03d2442d0" title="integer number">Integer</a> settlementDays = 3;</div>
<div class="line"> <a class="code" href="group__types.html#gab9c87440c314438e51a899a03d2442d0" title="integer number">Integer</a> length = 5;</div>
<div class="line"> <a class="code" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78" title="real number">Real</a> redemption = 100.0;</div>
<div class="line"> <a class="code" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78" title="real number">Real</a> conversionRatio = redemption/underlying; <span class="comment">// at the money</span></div>
<div class="line"> </div>
<div class="line"> <span class="comment">// set up dates/schedules</span></div>
<div class="line"> <a name="_a6"></a><a class="code" href="class_quant_lib_1_1_calendar.html" title="calendar class">Calendar</a> calendar = <a name="_a7"></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"> <a name="_a8"></a><a class="code" href="class_quant_lib_1_1_date.html" title="Concrete date class.">Date</a> today = calendar.<a name="a9"></a><a class="code" href="class_quant_lib_1_1_calendar.html#a712629806d9ef9a39f8144f368c81e4b">adjust</a>(<a name="a10"></a><a class="code" href="class_quant_lib_1_1_date.html#aa3b3414c408337e640d21c0936602c66" title="today's date.">Date::todaysDate</a>());</div>
<div class="line"> </div>
<div class="line"> <a name="a11"></a><a class="code" href="class_quant_lib_1_1_singleton.html#ab7455b7e1235d292c444095842349291" title="access to the unique instance">Settings::instance</a>().evaluationDate() = today;</div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_date.html" title="Concrete date class.">Date</a> settlementDate = calendar.<a name="a12"></a><a class="code" href="class_quant_lib_1_1_calendar.html#ab3fc4d2c4ba5243c3f5d51dcb3077ceb">advance</a>(today, settlementDays, Days);</div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_date.html" title="Concrete date class.">Date</a> exerciseDate = calendar.<a class="code" href="class_quant_lib_1_1_calendar.html#ab3fc4d2c4ba5243c3f5d51dcb3077ceb">advance</a>(settlementDate, length, Years);</div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_date.html" title="Concrete date class.">Date</a> issueDate = calendar.<a class="code" href="class_quant_lib_1_1_calendar.html#ab3fc4d2c4ba5243c3f5d51dcb3077ceb">advance</a>(exerciseDate, -length, Years);</div>
<div class="line"> </div>
<div class="line"> <a class="code" href="group__datetime.html#gaff46c5ae9385d20709bedade86edd368" title="Business Day conventions.">BusinessDayConvention</a> convention = <a name="a13"></a><a class="code" href="group__datetime.html#ggaff46c5ae9385d20709bedade86edd368a013e092c359f6031cc0563fd413ce707">ModifiedFollowing</a>;</div>
<div class="line"> </div>
<div class="line"> <a class="code" href="group__datetime.html#ga6d41db8ba0ea90d22df35889df452ada" title="Frequency of events.">Frequency</a> frequency = <a name="a14"></a><a class="code" href="group__datetime.html#gga6d41db8ba0ea90d22df35889df452adaa508b18014c96e2d466c12b39d7f4e426" title="once a year">Annual</a>;</div>
<div class="line"> </div>
<div class="line"> <a name="_a15"></a><a class="code" href="class_quant_lib_1_1_schedule.html" title="Payment schedule.">Schedule</a> schedule(issueDate, exerciseDate,</div>
<div class="line"> <a name="_a16"></a><a class="code" href="class_quant_lib_1_1_period.html">Period</a>(frequency), calendar,</div>
<div class="line"> convention, convention,</div>
<div class="line"> <a name="a17"></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"> DividendSchedule dividends;</div>
<div class="line"> CallabilitySchedule callability;</div>
<div class="line"> </div>
<div class="line"> std::vector<Real> coupons(1, 0.05);</div>
<div class="line"> </div>
<div class="line"> <a name="_a18"></a><a class="code" href="class_quant_lib_1_1_day_counter.html" title="day counter class">DayCounter</a> bondDayCount = <a name="_a19"></a><a class="code" href="class_quant_lib_1_1_thirty360.html" title="30/360 day count convention">Thirty360</a>();</div>
<div class="line"> </div>
<div class="line"> <a class="code" href="group__types.html#gab9c87440c314438e51a899a03d2442d0" title="integer number">Integer</a> callLength[] = { 2, 4 }; <span class="comment">// Call dates, years 2, 4.</span></div>
<div class="line"> <a class="code" href="group__types.html#gab9c87440c314438e51a899a03d2442d0" title="integer number">Integer</a> putLength[] = { 3 }; <span class="comment">// Put dates year 3</span></div>
<div class="line"> </div>
<div class="line"> <a class="code" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78" title="real number">Real</a> callPrices[] = { 101.5, 100.85 };</div>
<div class="line"> <a class="code" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78" title="real number">Real</a> putPrices[]= { 105.0 };</div>
<div class="line"> </div>
<div class="line"> <span class="comment">// Load call schedules</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<LENGTH(callLength); i++) {</div>
<div class="line"> callability.push_back(</div>
<div class="line"> ext::make_shared<SoftCallability>(<a name="_a20"></a><a class="code" href="class_quant_lib_1_1_bond_1_1_price.html" title="Bond price information.">Bond::Price</a>(callPrices[i],</div>
<div class="line"> Bond::Price::Clean),</div>
<div class="line"> schedule.date(callLength[i]),</div>
<div class="line"> 1.20));</div>
<div class="line"> }</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> j=0; j<LENGTH(putLength); j++) {</div>
<div class="line"> callability.push_back(</div>
<div class="line"> ext::make_shared<Callability>(<a class="code" href="class_quant_lib_1_1_bond_1_1_price.html" title="Bond price information.">Bond::Price</a>(putPrices[j],</div>
<div class="line"> Bond::Price::Clean),</div>
<div class="line"> Callability::Put,</div>
<div class="line"> schedule.date(putLength[j])));</div>
<div class="line"> }</div>
<div class="line"> </div>
<div class="line"> <span class="comment">// Assume dividends are paid every 6 months.</span></div>
<div class="line"> <span class="keywordflow">for</span> (<a class="code" href="class_quant_lib_1_1_date.html" title="Concrete date class.">Date</a> d = today + 6*Months; d < exerciseDate; d += 6*Months) {</div>
<div class="line"> dividends.push_back(</div>
<div class="line"> ext::shared_ptr<Dividend>(<span class="keyword">new</span> <a name="_a21"></a><a class="code" href="class_quant_lib_1_1_fixed_dividend.html" title="Predetermined cash flow.">FixedDividend</a>(1.0, d)));</div>
<div class="line"> }</div>
<div class="line"> </div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_day_counter.html" title="day counter class">DayCounter</a> dayCounter = <a name="_a22"></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"> <a name="a23"></a><a class="code" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7" title="continuous quantity with 1-year units">Time</a> maturity = dayCounter.<a name="a24"></a><a class="code" href="class_quant_lib_1_1_day_counter.html#a28170faaec75755611ff6fc220c1fab8" title="Returns the period between two dates as a fraction of year.">yearFraction</a>(settlementDate,</div>
<div class="line"> exerciseDate);</div>
<div class="line"> </div>
<div class="line"> std::cout << <span class="stringliteral">"option type = "</span> << type << std::endl;</div>
<div class="line"> std::cout << <span class="stringliteral">"Time to maturity = "</span> << maturity</div>
<div class="line"> << std::endl;</div>
<div class="line"> std::cout << <span class="stringliteral">"Underlying price = "</span> << underlying</div>
<div class="line"> << std::endl;</div>
<div class="line"> std::cout << <span class="stringliteral">"Risk-free interest rate = "</span> << <a name="a25"></a><a class="code" href="group__manips.html#gac63ea3dad10259db3764c7d15a61cde5" title="output rates and spreads as percentages">io::rate</a>(riskFreeRate)</div>
<div class="line"> << std::endl;</div>
<div class="line"> std::cout << <span class="stringliteral">"Dividend yield = "</span> << <a class="code" href="group__manips.html#gac63ea3dad10259db3764c7d15a61cde5" title="output rates and spreads as percentages">io::rate</a>(dividendYield)</div>
<div class="line"> << std::endl;</div>
<div class="line"> std::cout << <span class="stringliteral">"Volatility = "</span> << <a class="code" href="group__manips.html#gac402ef7c87f63f7c603ee87210b5750c" title="output volatilities as percentages">io::volatility</a>(<a class="code" href="group__manips.html#gac402ef7c87f63f7c603ee87210b5750c" title="output volatilities as percentages">volatility</a>)</div>
<div class="line"> << std::endl;</div>
<div class="line"> std::cout << std::endl;</div>
<div class="line"> </div>
<div class="line"> std::string method;</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[] = { 35, 14, 14 };</div>
<div class="line"> <a class="code" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77" title="size of a container">Size</a> totalWidth = widths[0] + widths[1] + widths[2];</div>
<div class="line"> std::string rule(totalWidth, <span class="charliteral">'-'</span>), dblrule(totalWidth, <span class="charliteral">'='</span>);</div>
<div class="line"> </div>
<div class="line"> std::cout << dblrule << std::endl;</div>
<div class="line"> std::cout << <span class="stringliteral">"Tsiveriotis-Fernandes method"</span> << std::endl;</div>
<div class="line"> std::cout << dblrule << std::endl;</div>
<div class="line"> std::cout << std::setw(widths[0]) << std::left << <span class="stringliteral">"Tree type"</span></div>
<div class="line"> << std::setw(widths[1]) << std::left << <span class="stringliteral">"European"</span></div>
<div class="line"> << std::setw(widths[1]) << std::left << <span class="stringliteral">"American"</span></div>
<div class="line"> << std::endl;</div>
<div class="line"> std::cout << rule << std::endl;</div>
<div class="line"> </div>
<div class="line"> ext::shared_ptr<Exercise> exercise(</div>
<div class="line"> <span class="keyword">new</span> <a name="_a26"></a><a class="code" href="class_quant_lib_1_1_european_exercise.html" title="European exercise.">EuropeanExercise</a>(exerciseDate));</div>
<div class="line"> ext::shared_ptr<Exercise> amExercise(</div>
<div class="line"> <span class="keyword">new</span> <a name="_a27"></a><a class="code" href="class_quant_lib_1_1_american_exercise.html" title="American exercise.">AmericanExercise</a>(settlementDate,</div>
<div class="line"> exerciseDate));</div>
<div class="line"> </div>
<div class="line"> <a name="_a28"></a><a class="code" href="class_quant_lib_1_1_handle.html" title="Shared handle to an observable.">Handle<Quote></a> underlyingH(</div>
<div class="line"> ext::shared_ptr<Quote>(<span class="keyword">new</span> <a name="_a29"></a><a class="code" href="class_quant_lib_1_1_simple_quote.html" title="market element returning a stored value">SimpleQuote</a>(underlying)));</div>
<div class="line"> </div>
<div class="line"> <a name="_a30"></a><a class="code" href="class_quant_lib_1_1_handle.html">Handle<YieldTermStructure></a> flatTermStructure(</div>
<div class="line"> ext::shared_ptr<YieldTermStructure>(</div>
<div class="line"> <span class="keyword">new</span> <a name="_a31"></a><a class="code" href="class_quant_lib_1_1_flat_forward.html" title="Flat interest-rate curve.">FlatForward</a>(settlementDate, riskFreeRate, dayCounter)));</div>
<div class="line"> </div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_handle.html">Handle<YieldTermStructure></a> flatDividendTS(</div>
<div class="line"> ext::shared_ptr<YieldTermStructure>(</div>
<div class="line"> <span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_flat_forward.html" title="Flat interest-rate curve.">FlatForward</a>(settlementDate, dividendYield, dayCounter)));</div>
<div class="line"> </div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_handle.html" title="Shared handle to an observable.">Handle<BlackVolTermStructure></a> flatVolTS(</div>
<div class="line"> ext::shared_ptr<BlackVolTermStructure>(</div>
<div class="line"> <span class="keyword">new</span> <a name="_a32"></a><a class="code" href="class_quant_lib_1_1_black_constant_vol.html" title="Constant Black volatility, no time-strike dependence.">BlackConstantVol</a>(settlementDate, calendar,</div>
<div class="line"> <a class="code" href="group__manips.html#gac402ef7c87f63f7c603ee87210b5750c" title="output volatilities as percentages">volatility</a>, dayCounter)));</div>
<div class="line"> </div>
<div class="line"> </div>
<div class="line"> ext::shared_ptr<BlackScholesMertonProcess> stochasticProcess(</div>
<div class="line"> <span class="keyword">new</span> <a name="_a33"></a><a class="code" href="class_quant_lib_1_1_black_scholes_merton_process.html" title="Merton (1973) extension to the Black-Scholes stochastic process.">BlackScholesMertonProcess</a>(underlyingH,</div>
<div class="line"> flatDividendTS,</div>
<div class="line"> flatTermStructure,</div>
<div class="line"> flatVolTS));</div>
<div class="line"> </div>
<div class="line"> <a class="code" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77" title="size of a container">Size</a> timeSteps = 801;</div>
<div class="line"> </div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_handle.html" title="Shared handle to an observable.">Handle<Quote></a> creditSpread(</div>
<div class="line"> ext::shared_ptr<Quote>(<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>(spreadRate)));</div>
<div class="line"> </div>
<div class="line"> ext::shared_ptr<Quote> <a class="code" href="group__manips.html#gac63ea3dad10259db3764c7d15a61cde5" title="output rates and spreads as percentages">rate</a>(<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>(riskFreeRate));</div>
<div class="line"> </div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_handle.html">Handle<YieldTermStructure></a> discountCurve(</div>
<div class="line"> ext::shared_ptr<YieldTermStructure>(</div>
<div class="line"> <span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_flat_forward.html" title="Flat interest-rate curve.">FlatForward</a>(today, <a class="code" href="class_quant_lib_1_1_handle.html" title="Shared handle to an observable.">Handle<Quote></a>(<a class="code" href="group__manips.html#gac63ea3dad10259db3764c7d15a61cde5" title="output rates and spreads as percentages">rate</a>), dayCounter)));</div>
<div class="line"> </div>
<div class="line"> ext::shared_ptr<PricingEngine> engine(</div>
<div class="line"> <span class="keyword">new</span> <a name="_a34"></a><a class="code" href="class_quant_lib_1_1_binomial_convertible_engine.html" title="Binomial Tsiveriotis-Fernandes engine for convertible bonds.">BinomialConvertibleEngine<JarrowRudd></a>(stochasticProcess,</div>
<div class="line"> timeSteps));</div>
<div class="line"> </div>
<div class="line"> <a name="_a35"></a><a class="code" href="class_quant_lib_1_1_convertible_fixed_coupon_bond.html" title="convertible fixed-coupon bond">ConvertibleFixedCouponBond</a> europeanBond(</div>
<div class="line"> exercise, conversionRatio, dividends, callability,</div>
<div class="line"> creditSpread, issueDate, settlementDays,</div>
<div class="line"> coupons, bondDayCount, schedule, redemption);</div>
<div class="line"> europeanBond.setPricingEngine(engine);</div>
<div class="line"> </div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_convertible_fixed_coupon_bond.html" title="convertible fixed-coupon bond">ConvertibleFixedCouponBond</a> americanBond(</div>
<div class="line"> amExercise, conversionRatio, dividends, callability,</div>
<div class="line"> creditSpread, issueDate, settlementDays,</div>
<div class="line"> coupons, bondDayCount, schedule, redemption);</div>
<div class="line"> americanBond.setPricingEngine(engine);</div>
<div class="line"> </div>
<div class="line"> method = <span class="stringliteral">"Jarrow-Rudd"</span>;</div>
<div class="line"> europeanBond.setPricingEngine(ext::shared_ptr<PricingEngine>(</div>
<div class="line"> <span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_binomial_convertible_engine.html" title="Binomial Tsiveriotis-Fernandes engine for convertible bonds.">BinomialConvertibleEngine<JarrowRudd></a>(stochasticProcess,</div>
<div class="line"> timeSteps)));</div>
<div class="line"> americanBond.setPricingEngine(ext::shared_ptr<PricingEngine>(</div>
<div class="line"> <span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_binomial_convertible_engine.html" title="Binomial Tsiveriotis-Fernandes engine for convertible bonds.">BinomialConvertibleEngine<JarrowRudd></a>(stochasticProcess,</div>
<div class="line"> timeSteps)));</div>
<div class="line"> std::cout << std::setw(widths[0]) << std::left << method</div>
<div class="line"> << std::fixed</div>
<div class="line"> << std::setw(widths[1]) << std::left << europeanBond.NPV()</div>
<div class="line"> << std::setw(widths[2]) << std::left << americanBond.NPV()</div>
<div class="line"> << std::endl;</div>
<div class="line"> </div>
<div class="line"> method = <span class="stringliteral">"Cox-Ross-Rubinstein"</span>;</div>
<div class="line"> europeanBond.setPricingEngine(ext::shared_ptr<PricingEngine>(</div>
<div class="line"> <span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_binomial_convertible_engine.html" title="Binomial Tsiveriotis-Fernandes engine for convertible bonds.">BinomialConvertibleEngine<CoxRossRubinstein></a>(stochasticProcess,</div>
<div class="line"> timeSteps)));</div>
<div class="line"> americanBond.setPricingEngine(ext::shared_ptr<PricingEngine>(</div>
<div class="line"> <span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_binomial_convertible_engine.html" title="Binomial Tsiveriotis-Fernandes engine for convertible bonds.">BinomialConvertibleEngine<CoxRossRubinstein></a>(stochasticProcess,</div>
<div class="line"> timeSteps)));</div>
<div class="line"> std::cout << std::setw(widths[0]) << std::left << method</div>
<div class="line"> << std::fixed</div>
<div class="line"> << std::setw(widths[1]) << std::left << europeanBond.NPV()</div>
<div class="line"> << std::setw(widths[2]) << std::left << americanBond.NPV()</div>
<div class="line"> << std::endl;</div>
<div class="line"> </div>
<div class="line"> method = <span class="stringliteral">"Additive equiprobabilities"</span>;</div>
<div class="line"> europeanBond.setPricingEngine(ext::shared_ptr<PricingEngine>(</div>
<div class="line"> <span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_binomial_convertible_engine.html" title="Binomial Tsiveriotis-Fernandes engine for convertible bonds.">BinomialConvertibleEngine<AdditiveEQPBinomialTree></a>(</div>
<div class="line"> stochasticProcess,</div>
<div class="line"> timeSteps)));</div>
<div class="line"> americanBond.setPricingEngine(ext::shared_ptr<PricingEngine>(</div>
<div class="line"> <span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_binomial_convertible_engine.html" title="Binomial Tsiveriotis-Fernandes engine for convertible bonds.">BinomialConvertibleEngine<AdditiveEQPBinomialTree></a>(</div>
<div class="line"> stochasticProcess,</div>
<div class="line"> timeSteps)));</div>
<div class="line"> std::cout << std::setw(widths[0]) << std::left << method</div>
<div class="line"> << std::fixed</div>
<div class="line"> << std::setw(widths[1]) << std::left << europeanBond.NPV()</div>
<div class="line"> << std::setw(widths[2]) << std::left << americanBond.NPV()</div>
<div class="line"> << std::endl;</div>
<div class="line"> </div>
<div class="line"> method = <span class="stringliteral">"Trigeorgis"</span>;</div>
<div class="line"> europeanBond.setPricingEngine(ext::shared_ptr<PricingEngine>(</div>
<div class="line"> <span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_binomial_convertible_engine.html" title="Binomial Tsiveriotis-Fernandes engine for convertible bonds.">BinomialConvertibleEngine<Trigeorgis></a>(stochasticProcess,</div>
<div class="line"> timeSteps)));</div>
<div class="line"> americanBond.setPricingEngine(ext::shared_ptr<PricingEngine>(</div>
<div class="line"> <span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_binomial_convertible_engine.html" title="Binomial Tsiveriotis-Fernandes engine for convertible bonds.">BinomialConvertibleEngine<Trigeorgis></a>(stochasticProcess,</div>
<div class="line"> timeSteps)));</div>
<div class="line"> std::cout << std::setw(widths[0]) << std::left << method</div>
<div class="line"> << std::fixed</div>
<div class="line"> << std::setw(widths[1]) << std::left << europeanBond.NPV()</div>
<div class="line"> << std::setw(widths[2]) << std::left << americanBond.NPV()</div>
<div class="line"> << std::endl;</div>
<div class="line"> </div>
<div class="line"> method = <span class="stringliteral">"Tian"</span>;</div>
<div class="line"> europeanBond.setPricingEngine(ext::shared_ptr<PricingEngine>(</div>
<div class="line"> <span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_binomial_convertible_engine.html" title="Binomial Tsiveriotis-Fernandes engine for convertible bonds.">BinomialConvertibleEngine<Tian></a>(stochasticProcess,</div>
<div class="line"> timeSteps)));</div>
<div class="line"> americanBond.setPricingEngine(ext::shared_ptr<PricingEngine>(</div>
<div class="line"> <span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_binomial_convertible_engine.html" title="Binomial Tsiveriotis-Fernandes engine for convertible bonds.">BinomialConvertibleEngine<Tian></a>(stochasticProcess,</div>
<div class="line"> timeSteps)));</div>
<div class="line"> std::cout << std::setw(widths[0]) << std::left << method</div>
<div class="line"> << std::fixed</div>
<div class="line"> << std::setw(widths[1]) << std::left << europeanBond.NPV()</div>
<div class="line"> << std::setw(widths[2]) << std::left << americanBond.NPV()</div>
<div class="line"> << std::endl;</div>
<div class="line"> </div>
<div class="line"> method = <span class="stringliteral">"Leisen-Reimer"</span>;</div>
<div class="line"> europeanBond.setPricingEngine(ext::shared_ptr<PricingEngine>(</div>
<div class="line"> <span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_binomial_convertible_engine.html" title="Binomial Tsiveriotis-Fernandes engine for convertible bonds.">BinomialConvertibleEngine<LeisenReimer></a>(stochasticProcess,</div>
<div class="line"> timeSteps)));</div>
<div class="line"> americanBond.setPricingEngine(ext::shared_ptr<PricingEngine>(</div>
<div class="line"> <span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_binomial_convertible_engine.html" title="Binomial Tsiveriotis-Fernandes engine for convertible bonds.">BinomialConvertibleEngine<LeisenReimer></a>(stochasticProcess,</div>
<div class="line"> timeSteps)));</div>
<div class="line"> std::cout << std::setw(widths[0]) << std::left << method</div>
<div class="line"> << std::fixed</div>
<div class="line"> << std::setw(widths[1]) << std::left << europeanBond.NPV()</div>
<div class="line"> << std::setw(widths[2]) << std::left << americanBond.NPV()</div>
<div class="line"> << std::endl;</div>
<div class="line"> </div>
<div class="line"> method = <span class="stringliteral">"Joshi"</span>;</div>
<div class="line"> europeanBond.setPricingEngine(ext::shared_ptr<PricingEngine>(</div>
<div class="line"> <span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_binomial_convertible_engine.html" title="Binomial Tsiveriotis-Fernandes engine for convertible bonds.">BinomialConvertibleEngine<Joshi4></a>(stochasticProcess,</div>
<div class="line"> timeSteps)));</div>
<div class="line"> americanBond.setPricingEngine(ext::shared_ptr<PricingEngine>(</div>
<div class="line"> <span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_binomial_convertible_engine.html" title="Binomial Tsiveriotis-Fernandes engine for convertible bonds.">BinomialConvertibleEngine<Joshi4></a>(stochasticProcess,</div>
<div class="line"> timeSteps)));</div>
<div class="line"> std::cout << std::setw(widths[0]) << std::left << method</div>
<div class="line"> << std::fixed</div>
<div class="line"> << std::setw(widths[1]) << std::left << europeanBond.NPV()</div>
<div class="line"> << std::setw(widths[2]) << std::left << americanBond.NPV()</div>
<div class="line"> << std::endl;</div>
<div class="line"> </div>
<div class="line"> std::cout << dblrule << std::endl;</div>
<div class="line"> </div>
<div class="line"> <span class="keywordflow">return</span> 0;</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>
<div class="line"> </div>
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