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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2007 Ferdinando Ametrano
Copyright (C) 2007 Chiara Fornarola
Copyright (C) 2004 Jeff Yu
Copyright (C) 2004 M-Dimension Consulting Inc.
Copyright (C) 2005, 2006, 2007 StatPro Italia srl
This file is part of QuantLib, a free-software/open-source library
for financial quantitative analysts and developers - http://quantlib.org/
QuantLib is free software: you can redistribute it and/or modify it
under the terms of the QuantLib license. You should have received a
copy of the license along with this program; if not, please email
<quantlib-dev@lists.sf.net>. The license is also available online at
<http://quantlib.org/license.shtml>.
This program is distributed in the hope that it will be useful, but WITHOUT
ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
FOR A PARTICULAR PURPOSE. See the license for more details.
*/
#include <ql/instruments/bond.hpp>
#include <ql/cashflows/cashflows.hpp>
#include <ql/cashflows/coupon.hpp>
#include <ql/math/solvers1d/brent.hpp>
#include <ql/quotes/simplequote.hpp>
#include <ql/termstructures/yield/zerospreadedtermstructure.hpp>
#include <ql/settings.hpp>
#include <ql/pricingengines/bond/discountingbondengine.hpp>
namespace QuantLib {
namespace {
Real dirtyPriceFromYield(
Real faceAmount,
const Leg& cashflows,
Rate yield,
const DayCounter& dayCounter,
Compounding compounding,
Frequency frequency,
const Date& settlement) {
if (frequency == NoFrequency || frequency == Once)
frequency = Annual;
InterestRate y(yield, dayCounter, compounding, frequency);
Real price = 0.0;
DiscountFactor discount = 1.0;
Date lastDate = Date();
for (Size i=0; i<cashflows.size()-1; ++i) {
if (cashflows[i]->hasOccurred(settlement))
continue;
Date couponDate = cashflows[i]->date();
Real amount = cashflows[i]->amount();
if (lastDate == Date()) {
// first not-expired coupon
if (i > 0) {
lastDate = cashflows[i-1]->date();
} else {
boost::shared_ptr<Coupon> coupon =
boost::dynamic_pointer_cast<Coupon>(cashflows[i]);
if (coupon)
lastDate = coupon->accrualStartDate();
else
lastDate = couponDate - 1*Years;
}
discount *= y.discountFactor(settlement,couponDate,
lastDate, couponDate);
} else {
discount *= y.discountFactor(lastDate, couponDate);
}
lastDate = couponDate;
price += amount * discount;
}
const boost::shared_ptr<CashFlow>& redemption = cashflows.back();
if (!redemption->hasOccurred(settlement)) {
Date redemptionDate = redemption->date();
Real amount = redemption->amount();
if (lastDate == Date()) {
// no coupons
lastDate = redemptionDate - 1*Years;
discount *= y.discountFactor(settlement,redemptionDate,
lastDate, redemptionDate);
} else {
discount *= y.discountFactor(lastDate, redemptionDate);
}
price += amount * discount;
}
return price/faceAmount*100.0;
}
class YieldFinder {
public:
YieldFinder(
Real faceAmount,
const Leg& cashflows,
Real dirtyPrice,
const DayCounter& dayCounter,
Compounding compounding,
Frequency frequency,
const Date& settlement)
: faceAmount_(faceAmount), cashflows_(cashflows),
dirtyPrice_(dirtyPrice),
compounding_(compounding), dayCounter_(dayCounter),
frequency_(frequency), settlement_(settlement) {}
Real operator()(Real yield) const {
return dirtyPrice_ - dirtyPriceFromYield(faceAmount_,
cashflows_,
yield,
dayCounter_,
compounding_,
frequency_,
settlement_);
}
private:
Real faceAmount_;
Leg cashflows_;
Real dirtyPrice_;
Compounding compounding_;
DayCounter dayCounter_;
Frequency frequency_;
Date settlement_;
};
Real dirtyPriceFromZSpreadFunction(
Real faceAmount,
const Leg& cashflows,
Spread zSpread,
const DayCounter& dc,
Compounding comp,
Frequency freq,
const Date& settlement,
const Handle<YieldTermStructure>& discountCurve) {
QL_REQUIRE(freq != NoFrequency && freq != Once,
"invalid frequency:" << freq);
Handle<Quote> zSpreadQuoteHandle(boost::shared_ptr<Quote>(new
SimpleQuote(zSpread)));
ZeroSpreadedTermStructure spreadedCurve(discountCurve,
zSpreadQuoteHandle,
comp, freq, dc);
Real price = 0.0;
for (Size i=0; i<cashflows.size(); ++i) {
if (cashflows[i]->hasOccurred(settlement))
continue;
Date couponDate = cashflows[i]->date();
Real amount = cashflows[i]->amount();
price += amount * spreadedCurve.discount(couponDate);
}
price /= spreadedCurve.discount(settlement);
return price/faceAmount*100.0;
}
// class ZspreadFinder {
// public:
// ZspreadFinder(
// Real faceAmount,
// const Leg& cashflows,
// Real dirtyPrice,
// Compounding compounding,
// const DayCounter& dayCounter,
// Frequency frequency,
// const Date& settlement,
// const Handle<YieldTermStructure>& discountCurve)
// : faceAmount_(faceAmount), cashflows_(cashflows),
// dirtyPrice_(dirtyPrice),
// compounding_(compounding), dayCounter_(dayCounter),
// frequency_(frequency), settlement_(settlement),discountCurve_(discountCurve) {}
// Real operator()(Spread zSpread) const {
// return dirtyPrice_ - dirtyPriceFromZSpread(faceAmount_,
// cashflows_,
// zSpread,
// compounding_,
// frequency_,
// dayCounter_,
// settlement_,
// discountCurve_);
// }
// private:
// Real faceAmount_;
// Leg cashflows_;
// Real dirtyPrice_;
// Compounding compounding_;
// DayCounter dayCounter_;
// Frequency frequency_;
// Date settlement_;
// Handle<YieldTermStructure> discountCurve_;
// };
} // anonymous namespace ends here
Bond::Bond(Natural settlementDays,
const Calendar& calendar,
Real faceAmount,
const Date& maturityDate,
const Date& issueDate,
const Leg& cashflows)
: settlementDays_(settlementDays), calendar_(calendar),
faceAmount_(faceAmount), cashflows_(cashflows),
maturityDate_(maturityDate), issueDate_(issueDate) {
registerWith(Settings::instance().evaluationDate());
}
Date Bond::settlementDate(const Date& date) const {
Date d = (date==Date() ?
Settings::instance().evaluationDate() :
date);
// usually, the settlement is at T+n...
Date settlement = calendar_.advance(d, settlementDays_, Days);
// ...but the bond won't be traded until the issue date (if given.)
if (issueDate_ == Date())
return settlement;
else
return std::max(settlement, issueDate_);
}
Real Bond::cleanPrice() const {
return dirtyPrice() - accruedAmount(settlementDate());
}
Real Bond::dirtyPrice() const {
return NPV()/faceAmount_*100.0;
}
Rate Bond::yield(const DayCounter& dc,
Compounding comp,
Frequency freq,
Real accuracy,
Size maxEvaluations) const {
Brent solver;
solver.setMaxEvaluations(maxEvaluations);
YieldFinder objective(faceAmount_, cashflows_, dirtyPrice(),
dc, comp, freq,
settlementDate());
return solver.solve(objective, accuracy, 0.02, 0.0, 1.0);
}
Real Bond::cleanPrice(Rate yield,
const DayCounter& dc,
Compounding comp,
Frequency freq,
Date settlement) const {
if (settlement == Date())
settlement = settlementDate();
return dirtyPrice(yield, dc, comp, freq, settlement)
- accruedAmount(settlement);
}
Real Bond::dirtyPrice(Rate yield,
const DayCounter& dc,
Compounding comp,
Frequency freq,
Date settlement) const {
if (settlement == Date())
settlement = settlementDate();
return dirtyPriceFromYield(faceAmount_, cashflows_, yield,
dc, comp, freq,
settlement);
}
Rate Bond::yield(Real cleanPrice,
const DayCounter& dc,
Compounding comp,
Frequency freq,
Date settlement,
Real accuracy,
Size maxEvaluations) const {
if (settlement == Date())
settlement = settlementDate();
Brent solver;
solver.setMaxEvaluations(maxEvaluations);
Real dirtyPrice = cleanPrice + accruedAmount(settlement);
YieldFinder objective(faceAmount_, cashflows_, dirtyPrice,
dc, comp, freq,
settlement);
return solver.solve(objective, accuracy, 0.02, 0.0, 1.0);
}
Real Bond::cleanPriceFromZSpread(Spread zSpread,
const DayCounter& dc,
Compounding comp,
Frequency freq,
Date settlement) const {
Real p = dirtyPriceFromZSpread(zSpread, dc, comp, freq, settlement);
return p - accruedAmount(settlement);
}
Real Bond::dirtyPriceFromZSpread(Spread zSpread,
const DayCounter& dc,
Compounding comp,
Frequency freq,
Date settlement) const {
if (settlement == Date())
settlement = settlementDate();
QL_REQUIRE(engine_, "null pricing engine");
boost::shared_ptr<DiscountingBondEngine> bondEngine =
boost::dynamic_pointer_cast<DiscountingBondEngine>(engine_);
QL_REQUIRE(bondEngine, "engine not compatible with calculation");
return dirtyPriceFromZSpreadFunction(faceAmount_, cashflows_,
zSpread, dc, comp, freq,
settlement, bondEngine->discountCurve());
}
Real Bond::accruedAmount(Date settlement) const {
if (settlement == Date())
settlement = settlementDate();
for (Size i = 0; i<cashflows_.size(); ++i) {
// the first coupon paying after d is the one we're after
if (!cashflows_[i]->hasOccurred(settlement)) {
boost::shared_ptr<Coupon> coupon =
boost::dynamic_pointer_cast<Coupon>(cashflows_[i]);
if (coupon)
// !!!
return coupon->accruedAmount(settlement)/faceAmount_*100.0;
else
return 0.0;
}
}
return 0.0;
}
bool Bond::isExpired() const {
return cashflows_.back()->hasOccurred(settlementDate());
}
Real Bond::previousCoupon(Date settlement) const {
return CashFlows::previousCouponRate(cashflows_, settlement);
}
Real Bond::currentCoupon(Date settlement) const {
return CashFlows::currentCouponRate(cashflows_, settlement);
}
void Bond::setupArguments(PricingEngine::arguments* args) const {
Bond::arguments* arguments = dynamic_cast<Bond::arguments*>(args);
QL_REQUIRE(arguments != 0, "wrong argument type");
arguments->settlementDate = settlementDate();
arguments->cashflows = cashflows_;
arguments->calendar = calendar_;
}
void Bond::arguments::validate() const {
QL_REQUIRE(settlementDate != Date(), "no settlement date provided");
for (Size i=0; i<cashflows.size(); ++i)
QL_REQUIRE(cashflows[i], "null coupon provided");
}
}
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