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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2008, 2009 Ferdinando Ametrano
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/pricingengines/bond/discountingbondengine.hpp>
#include <ql/time/schedule.hpp>
#include <ql/settings.hpp>
namespace QuantLib {
namespace {
void no_deletion(YieldTermStructure*) {}
}
BondHelper::BondHelper(const Handle<Quote>& cleanPrice,
const boost::shared_ptr<Bond>& bond)
: RateHelper(cleanPrice), bond_(new Bond(*bond)) {
// the bond's last cashflow date, which can be later than
// bond's maturity date because of adjustment
latestDate_ = bond_->cashflows().back()->date();
earliestDate_ = bond_->nextCashFlowDate();
boost::shared_ptr<PricingEngine> bondEngine(new
DiscountingBondEngine(termStructureHandle_));
bond_->setPricingEngine(bondEngine);
}
void BondHelper::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);
}
Real BondHelper::impliedQuote() const {
QL_REQUIRE(termStructure_ != 0, "term structure not set");
// we didn't register as observers - force calculation
bond_->recalculate();
return bond_->cleanPrice();
}
void BondHelper::accept(AcyclicVisitor& v) {
Visitor<BondHelper>* v1 =
dynamic_cast<Visitor<BondHelper>*>(&v);
if (v1 != 0)
v1->visit(*this);
else
BootstrapHelper<YieldTermStructure>::accept(v);
}
FixedRateBondHelper::FixedRateBondHelper(
const Handle<Quote>& cleanPrice,
Natural settlementDays,
Real faceAmount,
const Schedule& schedule,
const std::vector<Rate>& coupons,
const DayCounter& dayCounter,
BusinessDayConvention paymentConvention,
Real redemption,
const Date& issueDate)
: BondHelper(cleanPrice, boost::shared_ptr<Bond>(new
FixedRateBond(settlementDays, faceAmount, schedule,
coupons, dayCounter, paymentConvention,
redemption, issueDate))) {
fixedRateBond_ = boost::shared_ptr<FixedRateBond>(new
FixedRateBond(settlementDays, faceAmount, schedule,
coupons, dayCounter, paymentConvention,
redemption, issueDate));
}
void FixedRateBondHelper::accept(AcyclicVisitor& v) {
Visitor<FixedRateBondHelper>* v1 =
dynamic_cast<Visitor<FixedRateBondHelper>*>(&v);
if (v1 != 0)
v1->visit(*this);
else
BootstrapHelper<YieldTermStructure>::accept(v);
}
}
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