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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2005 Toyin Akin
Copyright (C) 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/termstructures/yield/bondhelpers.hpp>
#include <ql/termstructures/yieldtermstructure.hpp>
#include <ql/pricingengines/bond/discountingbondengine.hpp>
#include <ql/settings.hpp>
namespace QuantLib {
namespace {
void no_deletion(YieldTermStructure*) {}
}
FixedRateBondHelper::FixedRateBondHelper(
const Handle<Quote>& cleanPrice,
Natural settlementDays,
const Schedule& schedule,
const std::vector<Rate>& coupons,
const DayCounter& paymentDayCounter,
BusinessDayConvention paymentConvention,
Real redemption,
const Date& issueDate)
: BootstrapHelper<YieldTermStructure>(cleanPrice),
settlementDays_(settlementDays),
schedule_(schedule), coupons_(coupons),
paymentDayCounter_(paymentDayCounter),
paymentConvention_(paymentConvention),
redemption_(redemption), issueDate_(issueDate) {
latestDate_ = schedule.endDate();
registerWith(Settings::instance().evaluationDate());
}
void FixedRateBondHelper::setTermStructure(YieldTermStructure* t) {
// do not set the relinkable handle as an observer -
// force recalculation when needed
termStructureHandle_.linkTo(
boost::shared_ptr<YieldTermStructure>(t,no_deletion), false);
BootstrapHelper<YieldTermStructure>::setTermStructure(t);
bond_ = boost::shared_ptr<FixedRateBond>(new
FixedRateBond(settlementDays_, 100.0, schedule_,
coupons_, paymentDayCounter_, paymentConvention_,
redemption_, issueDate_));
boost::shared_ptr<PricingEngine> bondEngine(
new DiscountingBondEngine(termStructureHandle_));
bond_->setPricingEngine(bondEngine);
}
boost::shared_ptr<FixedRateBond> FixedRateBondHelper::bond() const {
return bond_;
}
const DayCounter& FixedRateBondHelper::dayCounter() const {
return paymentDayCounter_;
}
Frequency FixedRateBondHelper::frequency() const {
return schedule_.tenor().frequency();
}
Real FixedRateBondHelper::impliedQuote() const {
QL_REQUIRE(termStructure_ != 0, "term structure not set");
// we didn't register as observers - force calculation
bond_->recalculate();
return bond_->cleanPrice();
}
}
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