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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2005, 2006 Theo Boafo
Copyright (C) 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
<https://www.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/cashflows/couponpricer.hpp>
#include <ql/cashflows/fixedratecoupon.hpp>
#include <ql/cashflows/iborcoupon.hpp>
#include <ql/cashflows/simplecashflow.hpp>
#include <ql/exercise.hpp>
#include <ql/instruments/bonds/convertiblebonds.hpp>
#include <ql/utilities/null_deleter.hpp>
#include <utility>
namespace QuantLib {
ConvertibleBond::ConvertibleBond(ext::shared_ptr<Exercise> exercise,
Real conversionRatio,
const CallabilitySchedule& callability,
const Date& issueDate,
Natural settlementDays,
const Schedule& schedule,
Real redemption)
: Bond(settlementDays, schedule.calendar(), issueDate), exercise_(std::move(exercise)),
conversionRatio_(conversionRatio), callability_(callability), redemption_(redemption) {
maturityDate_ = schedule.endDate();
if (!callability.empty()) {
QL_REQUIRE(callability.back()->date() <= maturityDate_,
"last callability date (" << callability.back()->date()
<< ") later than maturity (" << maturityDate_
<< ")");
}
}
ConvertibleZeroCouponBond::ConvertibleZeroCouponBond(const ext::shared_ptr<Exercise>& exercise,
Real conversionRatio,
const CallabilitySchedule& callability,
const Date& issueDate,
Natural settlementDays,
const DayCounter& dayCounter,
const Schedule& schedule,
Real redemption)
: ConvertibleBond(exercise,
conversionRatio,
callability,
issueDate,
settlementDays,
schedule,
redemption) {
cashflows_ = Leg();
// !!! notional forcibly set to 100
setSingleRedemption(100.0, redemption, maturityDate_);
}
ConvertibleFixedCouponBond::ConvertibleFixedCouponBond(
const ext::shared_ptr<Exercise>& exercise,
Real conversionRatio,
const CallabilitySchedule& callability,
const Date& issueDate,
Natural settlementDays,
const std::vector<Rate>& coupons,
const DayCounter& dayCounter,
const Schedule& schedule,
Real redemption,
const Period& exCouponPeriod,
const Calendar& exCouponCalendar,
const BusinessDayConvention exCouponConvention,
bool exCouponEndOfMonth)
: ConvertibleBond(exercise,
conversionRatio,
callability,
issueDate,
settlementDays,
schedule,
redemption) {
// !!! notional forcibly set to 100
cashflows_ = FixedRateLeg(schedule)
.withNotionals(100.0)
.withCouponRates(coupons, dayCounter)
.withPaymentAdjustment(schedule.businessDayConvention())
.withExCouponPeriod(exCouponPeriod, exCouponCalendar, exCouponConvention,
exCouponEndOfMonth);
addRedemptionsToCashflows(std::vector<Real>(1, redemption));
QL_ENSURE(redemptions_.size() == 1, "multiple redemptions created");
}
ConvertibleFloatingRateBond::ConvertibleFloatingRateBond(
const ext::shared_ptr<Exercise>& exercise,
Real conversionRatio,
const CallabilitySchedule& callability,
const Date& issueDate,
Natural settlementDays,
const ext::shared_ptr<IborIndex>& index,
Natural fixingDays,
const std::vector<Spread>& spreads,
const DayCounter& dayCounter,
const Schedule& schedule,
Real redemption,
const Period& exCouponPeriod,
const Calendar& exCouponCalendar,
const BusinessDayConvention exCouponConvention,
bool exCouponEndOfMonth)
: ConvertibleBond(exercise,
conversionRatio,
callability,
issueDate,
settlementDays,
schedule,
redemption) {
// !!! notional forcibly set to 100
cashflows_ = IborLeg(schedule, index)
.withPaymentDayCounter(dayCounter)
.withNotionals(100.0)
.withPaymentAdjustment(schedule.businessDayConvention())
.withFixingDays(fixingDays)
.withSpreads(spreads)
.withExCouponPeriod(exCouponPeriod, exCouponCalendar, exCouponConvention,
exCouponEndOfMonth);
addRedemptionsToCashflows(std::vector<Real>(1, redemption));
QL_ENSURE(redemptions_.size() == 1, "multiple redemptions created");
registerWith(index);
}
void ConvertibleBond::setupArguments(PricingEngine::arguments* arguments) const {
auto* args = dynamic_cast<ConvertibleBond::arguments*>(arguments);
QL_REQUIRE(args != nullptr, "wrong argument type");
args->exercise = exercise_;
args->conversionRatio = conversionRatio_;
Date settlement = settlementDate();
Size n = callability_.size();
args->callabilityDates.clear();
args->callabilityTypes.clear();
args->callabilityPrices.clear();
args->callabilityTriggers.clear();
args->callabilityDates.reserve(n);
args->callabilityTypes.reserve(n);
args->callabilityPrices.reserve(n);
args->callabilityTriggers.reserve(n);
for (Size i = 0; i < n; i++) {
if (!callability_[i]->hasOccurred(settlement, false)) {
args->callabilityTypes.push_back(callability_[i]->type());
args->callabilityDates.push_back(callability_[i]->date());
args->callabilityPrices.push_back(callability_[i]->price().amount());
if (callability_[i]->price().type() == Bond::Price::Clean)
args->callabilityPrices.back() +=
accruedAmount(callability_[i]->date());
ext::shared_ptr<SoftCallability> softCall =
ext::dynamic_pointer_cast<SoftCallability>(callability_[i]);
if (softCall != nullptr)
args->callabilityTriggers.push_back(softCall->trigger());
else
args->callabilityTriggers.push_back(Null<Real>());
}
}
args->cashflows = cashflows();
args->issueDate = issueDate_;
args->settlementDate = settlement;
args->settlementDays = settlementDays_;
args->redemption = redemption_;
}
void ConvertibleBond::arguments::validate() const {
QL_REQUIRE(exercise, "no exercise given");
QL_REQUIRE(conversionRatio != Null<Real>(), "null conversion ratio");
QL_REQUIRE(conversionRatio > 0.0,
"positive conversion ratio required: " << conversionRatio << " not allowed");
QL_REQUIRE(redemption != Null<Real>(), "null redemption");
QL_REQUIRE(redemption >= 0.0,
"positive redemption required: " << redemption << " not allowed");
QL_REQUIRE(settlementDate != Date(), "null settlement date");
QL_REQUIRE(settlementDays != Null<Natural>(), "null settlement days");
QL_REQUIRE(callabilityDates.size() == callabilityTypes.size(),
"different number of callability dates and types");
QL_REQUIRE(callabilityDates.size() == callabilityPrices.size(),
"different number of callability dates and prices");
QL_REQUIRE(callabilityDates.size() == callabilityTriggers.size(),
"different number of callability dates and triggers");
QL_REQUIRE(!cashflows.empty(), "no cashflows given");
}
}
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