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<div class="title">Repo.cpp</div> </div>
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<p>This example values a fixed-coupon bond repurchase (repo). The repurchase agreement example is set up to use the repo rate to do all discounting (including the underlying bond income). Forward delivery price is also obtained using this repo rate. All this is done by supplying the FixedCouponBondForward constructor with a flat repo YieldTermStructure.</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">/* a Repo calculation done using the FixedRateBondForward class</span></div>
<div class="line"><span class="comment"> cf. aaBondFwd() repo example at</span></div>
<div class="line"><span class="comment"> http://www.fincad.com/support/developerFunc/mathref/BFWD.htm</span></div>
<div class="line"><span class="comment"></span> </div>
<div class="line"><span class="comment"> This repo is set up to use the repo rate to do all discounting</span></div>
<div class="line"><span class="comment"> (including the underlying bond income). Forward delivery price is</span></div>
<div class="line"><span class="comment"> also obtained using this repo rate. All this is done by supplying</span></div>
<div class="line"><span class="comment"> the FixedRateBondForward constructor with a flat repo</span></div>
<div class="line"><span class="comment"> YieldTermStructure.</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/fixedratebondforward.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/termstructures/yield/flatforward.hpp></span></div>
<div class="line"><span class="preprocessor">#include <ql/time/schedule.hpp></span></div>
<div class="line"><span class="preprocessor">#include <ql/time/calendars/nullcalendar.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>std;</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"><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"> <a name="_a0"></a><a class="code" href="class_quant_lib_1_1_date.html" title="Concrete date class.">Date</a> repoSettlementDate(14,February,2000);;</div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_date.html" title="Concrete date class.">Date</a> repoDeliveryDate(15,August,2000);</div>
<div class="line"> <a name="a1"></a><a class="code" href="group__types.html#gaede435af51236692b1107d7639581d39" title="interest rates">Rate</a> repoRate = 0.05;</div>
<div class="line"> <a name="_a2"></a><a class="code" href="class_quant_lib_1_1_day_counter.html" title="day counter class">DayCounter</a> repoDayCountConvention = <a name="_a3"></a><a class="code" href="class_quant_lib_1_1_actual360.html" title="Actual/360 day count convention.">Actual360</a>();</div>
<div class="line"> <a name="a4"></a><a class="code" href="group__types.html#gab9c87440c314438e51a899a03d2442d0" title="integer number">Integer</a> repoSettlementDays = 0;</div>
<div class="line"> <a class="code" href="namespace_quant_lib.html#a2779d04b4839fd386b5c85bbb96aaf73" title="Interest rate coumpounding rule.">Compounding</a> repoCompounding = <a class="code" href="namespace_quant_lib.html#a2779d04b4839fd386b5c85bbb96aaf73aebfbf7dc5cde0772efb1aa49712bd76b">Simple</a>;</div>
<div class="line"> <a class="code" href="group__datetime.html#ga6d41db8ba0ea90d22df35889df452ada" title="Frequency of events.">Frequency</a> repoCompoundFreq = <a name="a5"></a><a class="code" href="group__datetime.html#gga6d41db8ba0ea90d22df35889df452adaa508b18014c96e2d466c12b39d7f4e426" title="once a year">Annual</a>;</div>
<div class="line"> </div>
<div class="line"> <span class="comment">// assume a ten year bond- this is irrelevant</span></div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_date.html" title="Concrete date class.">Date</a> bondIssueDate(15,September,1995);</div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_date.html" title="Concrete date class.">Date</a> bondDatedDate(15,September,1995);</div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_date.html" title="Concrete date class.">Date</a> bondMaturityDate(15,September,2005);</div>
<div class="line"> <a name="a6"></a><a class="code" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78" title="real number">Real</a> bondCoupon = 0.08;</div>
<div class="line"> <a class="code" href="group__datetime.html#ga6d41db8ba0ea90d22df35889df452ada" title="Frequency of events.">Frequency</a> bondCouponFrequency = <a name="a7"></a><a class="code" href="group__datetime.html#gga6d41db8ba0ea90d22df35889df452adaad1a5868a1c314bb7f6ab68e2fa182b2d" title="twice a year">Semiannual</a>;</div>
<div class="line"> <span class="comment">// unknown what calendar fincad is using</span></div>
<div class="line"> <a name="_a8"></a><a class="code" href="class_quant_lib_1_1_calendar.html" title="calendar class">Calendar</a> bondCalendar = <a name="_a9"></a><a class="code" href="class_quant_lib_1_1_null_calendar.html" title="Calendar for reproducing theoretical calculations.">NullCalendar</a>();</div>
<div class="line"> <a class="code" href="class_quant_lib_1_1_day_counter.html" title="day counter class">DayCounter</a> bondDayCountConvention = <a name="_a10"></a><a class="code" href="class_quant_lib_1_1_thirty360.html" title="30/360 day count convention">Thirty360</a>(Thirty360::BondBasis);</div>
<div class="line"> <span class="comment">// unknown what fincad is using. this may affect accrued calculation</span></div>
<div class="line"> <a class="code" href="group__types.html#gab9c87440c314438e51a899a03d2442d0" title="integer number">Integer</a> bondSettlementDays = 0;</div>
<div class="line"> <a class="code" href="group__datetime.html#gaff46c5ae9385d20709bedade86edd368" title="Business Day conventions.">BusinessDayConvention</a> bondBusinessDayConvention = <a name="a11"></a><a class="code" href="group__datetime.html#ggaff46c5ae9385d20709bedade86edd368a5fb8b90b7fdf1a3a228fbbc083e64547">Unadjusted</a>;</div>
<div class="line"> <a class="code" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78" title="real number">Real</a> bondCleanPrice = 89.97693786;</div>
<div class="line"> <a class="code" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78" title="real number">Real</a> bondRedemption = 100.0;</div>
<div class="line"> <a class="code" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78" title="real number">Real</a> faceAmount = 100.0;</div>
<div class="line"> </div>
<div class="line"> </div>
<div class="line"> Settings::instance().evaluationDate() = repoSettlementDate;</div>
<div class="line"> </div>
<div class="line"> <a name="_a12"></a><a class="code" href="class_quant_lib_1_1_relinkable_handle.html" title="Relinkable handle to an observable.">RelinkableHandle<YieldTermStructure></a> bondCurve;</div>
<div class="line"> bondCurve.<a name="a13"></a>linkTo(ext::shared_ptr<YieldTermStructure>(</div>
<div class="line"> <span class="keyword">new</span> <a name="_a14"></a><a class="code" href="class_quant_lib_1_1_flat_forward.html" title="Flat interest-rate curve.">FlatForward</a>(repoSettlementDate,</div>
<div class="line"> .01, <span class="comment">// dummy rate</span></div>
<div class="line"> bondDayCountConvention,</div>
<div class="line"> Compounded,</div>
<div class="line"> bondCouponFrequency)));</div>
<div class="line"> </div>
<div class="line"> <span class="comment">/*</span></div>
<div class="line"><span class="comment"> ext::shared_ptr<FixedRateBond> bond(</span></div>
<div class="line"><span class="comment"> new FixedRateBond(faceAmount,</span></div>
<div class="line"><span class="comment"> bondIssueDate,</span></div>
<div class="line"><span class="comment"> bondDatedDate,</span></div>
<div class="line"><span class="comment"> bondMaturityDate,</span></div>
<div class="line"><span class="comment"> bondSettlementDays,</span></div>
<div class="line"><span class="comment"> std::vector<Rate>(1,bondCoupon),</span></div>
<div class="line"><span class="comment"> bondCouponFrequency,</span></div>
<div class="line"><span class="comment"> bondCalendar,</span></div>
<div class="line"><span class="comment"> bondDayCountConvention,</span></div>
<div class="line"><span class="comment"> bondBusinessDayConvention,</span></div>
<div class="line"><span class="comment"> bondBusinessDayConvention,</span></div>
<div class="line"><span class="comment"> bondRedemption,</span></div>
<div class="line"><span class="comment"> bondCurve));</span></div>
<div class="line"><span class="comment"> */</span></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> bondSchedule(bondDatedDate, bondMaturityDate,</div>
<div class="line"> <a name="_a16"></a><a class="code" href="class_quant_lib_1_1_period.html">Period</a>(bondCouponFrequency),</div>
<div class="line"> bondCalendar,bondBusinessDayConvention,</div>
<div class="line"> bondBusinessDayConvention,</div>
<div class="line"> DateGeneration::Backward,<span class="keyword">false</span>);</div>
<div class="line"> ext::shared_ptr<FixedRateBond> bond(</div>
<div class="line"> <span class="keyword">new</span> <a name="_a17"></a><a class="code" href="class_quant_lib_1_1_fixed_rate_bond.html" title="fixed-rate bond">FixedRateBond</a>(bondSettlementDays,</div>
<div class="line"> faceAmount,</div>
<div class="line"> bondSchedule,</div>
<div class="line"> std::vector<Rate>(1,bondCoupon),</div>
<div class="line"> bondDayCountConvention,</div>
<div class="line"> bondBusinessDayConvention,</div>
<div class="line"> bondRedemption,</div>
<div class="line"> bondIssueDate));</div>
<div class="line"> bond->setPricingEngine(ext::shared_ptr<PricingEngine>(</div>
<div class="line"> <span class="keyword">new</span> DiscountingBondEngine(bondCurve)));</div>
<div class="line"> </div>
<div class="line"> bondCurve.linkTo(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>(repoSettlementDate,</div>
<div class="line"> bond->yield(bondCleanPrice,</div>
<div class="line"> bondDayCountConvention,</div>
<div class="line"> Compounded,</div>
<div class="line"> bondCouponFrequency),</div>
<div class="line"> bondDayCountConvention,</div>
<div class="line"> Compounded,</div>
<div class="line"> bondCouponFrequency)));</div>
<div class="line"> </div>
<div class="line"> Position::Type fwdType = Position::Long;</div>
<div class="line"> <span class="keywordtype">double</span> dummyStrike = 91.5745;</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> repoCurve;</div>
<div class="line"> repoCurve.linkTo(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>(repoSettlementDate,</div>
<div class="line"> repoRate,</div>
<div class="line"> repoDayCountConvention,</div>
<div class="line"> repoCompounding,</div>
<div class="line"> repoCompoundFreq)));</div>
<div class="line"> </div>
<div class="line"> </div>
<div class="line"> <a name="_a18"></a><a class="code" href="class_quant_lib_1_1_fixed_rate_bond_forward.html" title="Forward contract on a fixed-rate bond">FixedRateBondForward</a> bondFwd(repoSettlementDate,</div>
<div class="line"> repoDeliveryDate,</div>
<div class="line"> fwdType,</div>
<div class="line"> dummyStrike,</div>
<div class="line"> repoSettlementDays,</div>
<div class="line"> repoDayCountConvention,</div>
<div class="line"> bondCalendar,</div>
<div class="line"> bondBusinessDayConvention,</div>
<div class="line"> bond,</div>
<div class="line"> repoCurve,</div>
<div class="line"> repoCurve);</div>
<div class="line"> </div>
<div class="line"> </div>
<div class="line"> cout << <span class="stringliteral">"Underlying bond clean price: "</span></div>
<div class="line"> << bond->cleanPrice()</div>
<div class="line"> << endl;</div>
<div class="line"> cout << <span class="stringliteral">"Underlying bond dirty price: "</span></div>
<div class="line"> << bond->dirtyPrice()</div>
<div class="line"> << endl;</div>
<div class="line"> cout << <span class="stringliteral">"Underlying bond accrued at settlement: "</span></div>
<div class="line"> << bond->accruedAmount(repoSettlementDate)</div>
<div class="line"> << endl;</div>
<div class="line"> cout << <span class="stringliteral">"Underlying bond accrued at delivery: "</span></div>
<div class="line"> << bond->accruedAmount(repoDeliveryDate)</div>
<div class="line"> << endl;</div>
<div class="line"> cout << <span class="stringliteral">"Underlying bond spot income: "</span></div>
<div class="line"> << bondFwd.spotIncome(repoCurve)</div>
<div class="line"> << endl;</div>
<div class="line"> cout << <span class="stringliteral">"Underlying bond fwd income: "</span></div>
<div class="line"> << bondFwd.spotIncome(repoCurve)/</div>
<div class="line"> repoCurve->discount(repoDeliveryDate)</div>
<div class="line"> << endl;</div>
<div class="line"> cout << <span class="stringliteral">"Repo strike: "</span></div>
<div class="line"> << dummyStrike</div>
<div class="line"> << endl;</div>
<div class="line"> cout << <span class="stringliteral">"Repo NPV: "</span></div>
<div class="line"> << bondFwd.NPV()</div>
<div class="line"> << endl;</div>
<div class="line"> cout << <span class="stringliteral">"Repo clean forward price: "</span></div>
<div class="line"> << bondFwd.cleanForwardPrice()</div>
<div class="line"> << endl;</div>
<div class="line"> cout << <span class="stringliteral">"Repo dirty forward price: "</span></div>
<div class="line"> << bondFwd.forwardPrice()</div>
<div class="line"> << endl;</div>
<div class="line"> cout << <span class="stringliteral">"Repo implied yield: "</span></div>
<div class="line"> << bondFwd.impliedYield(bond->dirtyPrice(),</div>
<div class="line"> dummyStrike,</div>
<div class="line"> repoSettlementDate,</div>
<div class="line"> repoCompounding,</div>
<div class="line"> repoDayCountConvention)</div>
<div class="line"> << endl;</div>
<div class="line"> cout << <span class="stringliteral">"Market repo rate: "</span></div>
<div class="line"> << repoCurve->zeroRate(repoDeliveryDate,</div>
<div class="line"> repoDayCountConvention,</div>
<div class="line"> repoCompounding,</div>
<div class="line"> repoCompoundFreq)</div>
<div class="line"> << endl</div>
<div class="line"> << endl;</div>
<div class="line"> </div>
<div class="line"> cout << <span class="stringliteral">"Compare with example given at \n"</span></div>
<div class="line"> << <span class="stringliteral">"http://www.fincad.com/support/developerFunc/mathref/BFWD.htm"</span></div>
<div class="line"> << endl;</div>
<div class="line"> cout << <span class="stringliteral">"Clean forward price = 88.2408"</span></div>
<div class="line"> << endl</div>
<div class="line"> << endl;</div>
<div class="line"> cout << <span class="stringliteral">"In that example, it is unknown what bond calendar they are\n"</span></div>
<div class="line"> << <span class="stringliteral">"using, as well as settlement Days. For that reason, I have\n"</span></div>
<div class="line"> << <span class="stringliteral">"made the simplest possible assumptions here: NullCalendar\n"</span></div>
<div class="line"> << <span class="stringliteral">"and 0 settlement days."</span></div>
<div class="line"> << endl;</div>
<div class="line"> </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> (exception& e) {</div>
<div class="line"> cerr << e.what() << endl;</div>
<div class="line"> <span class="keywordflow">return</span> 1;</div>
<div class="line"> } <span class="keywordflow">catch</span> (...) {</div>
<div class="line"> cerr << <span class="stringliteral">"unknown error"</span> << 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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