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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
<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/termstructures/yield/bondhelpers.hpp>
#include <ql/pricingengines/bond/discountingbondengine.hpp>
#include <ql/time/schedule.hpp>
#include <ql/settings.hpp>
#include <ql/utilities/null_deleter.hpp>
namespace QuantLib {
BondHelper::BondHelper(const Handle<Quote>& price,
const ext::shared_ptr<Bond>& bond,
const Bond::Price::Type priceType)
: RateHelper(price), bond_(ext::make_shared<Bond>(*bond)), priceType_(priceType) {
// 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();
bond_->setPricingEngine(
ext::make_shared<DiscountingBondEngine>(termStructureHandle_));
}
void BondHelper::setTermStructure(YieldTermStructure* t) {
// do not set the relinkable handle as an observer -
// force recalculation when needed
termStructureHandle_.linkTo(
ext::shared_ptr<YieldTermStructure>(t, null_deleter()), false);
BootstrapHelper<YieldTermStructure>::setTermStructure(t);
}
Real BondHelper::impliedQuote() const {
QL_REQUIRE(termStructure_ != nullptr, "term structure not set");
// we didn't register as observers - force calculation
bond_->recalculate();
switch (priceType_) {
case Bond::Price::Clean:
return bond_->cleanPrice();
break;
case Bond::Price::Dirty:
return bond_->dirtyPrice();
break;
default:
QL_FAIL("This price type isn't implemented.");
}
}
void BondHelper::accept(AcyclicVisitor& v) {
auto* v1 = dynamic_cast<Visitor<BondHelper>*>(&v);
if (v1 != nullptr)
v1->visit(*this);
else
BootstrapHelper<YieldTermStructure>::accept(v);
}
FixedRateBondHelper::FixedRateBondHelper(
const Handle<Quote>& price,
Natural settlementDays,
Real faceAmount,
Schedule schedule,
const std::vector<Rate>& coupons,
const DayCounter& dayCounter,
BusinessDayConvention paymentConvention,
Real redemption,
const Date& issueDate,
const Calendar& paymentCalendar,
const Period& exCouponPeriod,
const Calendar& exCouponCalendar,
const BusinessDayConvention exCouponConvention,
bool exCouponEndOfMonth,
const Bond::Price::Type priceType)
: BondHelper(price,
ext::make_shared<FixedRateBond>(settlementDays, faceAmount, std::move(schedule),
coupons, dayCounter, paymentConvention,
redemption, issueDate, paymentCalendar,
exCouponPeriod, exCouponCalendar,
exCouponConvention, exCouponEndOfMonth),
priceType) {}
void FixedRateBondHelper::accept(AcyclicVisitor& v) {
auto* v1 = dynamic_cast<Visitor<FixedRateBondHelper>*>(&v);
if (v1 != nullptr)
v1->visit(*this);
else
BondHelper::accept(v);
}
QL_DEPRECATED_DISABLE_WARNING
CPIBondHelper::CPIBondHelper(
const Handle<Quote>& price,
Natural settlementDays,
Real faceAmount,
Real baseCPI,
const Period& observationLag,
const ext::shared_ptr<ZeroInflationIndex>& cpiIndex,
CPI::InterpolationType observationInterpolation,
Schedule schedule,
const std::vector<Rate>& fixedRate,
const DayCounter& accrualDayCounter,
BusinessDayConvention paymentConvention,
const Date& issueDate,
const Calendar& paymentCalendar,
const Period& exCouponPeriod,
const Calendar& exCouponCalendar,
const BusinessDayConvention exCouponConvention,
bool exCouponEndOfMonth,
const Bond::Price::Type priceType)
: CPIBondHelper(price, settlementDays, faceAmount, false, baseCPI, observationLag,
cpiIndex, observationInterpolation, std::move(schedule), fixedRate,
accrualDayCounter, paymentConvention, issueDate, paymentCalendar,
exCouponPeriod, exCouponCalendar, exCouponConvention, exCouponEndOfMonth,
priceType) {}
CPIBondHelper::CPIBondHelper(
const Handle<Quote>& price,
Natural settlementDays,
Real faceAmount,
const bool growthOnly,
Real baseCPI,
const Period& observationLag,
const ext::shared_ptr<ZeroInflationIndex>& cpiIndex,
CPI::InterpolationType observationInterpolation,
Schedule schedule,
const std::vector<Rate>& fixedRate,
const DayCounter& accrualDayCounter,
BusinessDayConvention paymentConvention,
const Date& issueDate,
const Calendar& paymentCalendar,
const Period& exCouponPeriod,
const Calendar& exCouponCalendar,
const BusinessDayConvention exCouponConvention,
bool exCouponEndOfMonth,
const Bond::Price::Type priceType)
: BondHelper(price,
// make_shared and deprecation interfere; restore later
ext::shared_ptr<Bond>(new CPIBond(settlementDays, faceAmount, growthOnly, baseCPI,
observationLag, cpiIndex, observationInterpolation,
std::move(schedule), fixedRate, accrualDayCounter, paymentConvention,
issueDate, paymentCalendar, exCouponPeriod, exCouponCalendar,
exCouponConvention, exCouponEndOfMonth)),
priceType) {}
QL_DEPRECATED_ENABLE_WARNING
void CPIBondHelper::accept(AcyclicVisitor& v) {
auto* v1 = dynamic_cast<Visitor<CPIBondHelper>*>(&v);
if (v1 != nullptr)
v1->visit(*this);
else
BondHelper::accept(v);
}
}
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