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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.
*/
/*! \file convertiblebonds.hpp
\brief convertible bond class
*/
#ifndef quantlib_convertible_bonds_hpp
#define quantlib_convertible_bonds_hpp
#include <ql/instruments/bond.hpp>
#include <ql/instruments/callabilityschedule.hpp>
#include <ql/instruments/dividendschedule.hpp>
#include <ql/instruments/oneassetoption.hpp>
#include <ql/quote.hpp>
#include <ql/time/daycounter.hpp>
#include <ql/time/schedule.hpp>
namespace QuantLib {
class IborIndex;
class PricingEngine;
//! %callability leaving to the holder the possibility to convert
class SoftCallability : public Callability {
public:
SoftCallability(const Bond::Price& price, const Date& date, Real trigger)
: Callability(price, Callability::Call, date), trigger_(trigger) {}
Real trigger() const { return trigger_; }
private:
Real trigger_;
};
//! base class for convertible bonds
class ConvertibleBond : public Bond {
public:
class arguments;
class engine;
Real conversionRatio() const { return conversionRatio_; }
const CallabilitySchedule& callability() const { return callability_; }
protected:
ConvertibleBond(ext::shared_ptr<Exercise> exercise,
Real conversionRatio,
const CallabilitySchedule& callability,
const Date& issueDate,
Natural settlementDays,
const Schedule& schedule,
Real redemption);
void setupArguments(PricingEngine::arguments*) const override;
private:
ext::shared_ptr<Exercise> exercise_;
Real conversionRatio_;
CallabilitySchedule callability_;
Real redemption_;
};
//! convertible zero-coupon bond
/*! \warning Most methods inherited from Bond (such as yield or
the yield-based dirtyPrice and cleanPrice) refer to
the underlying plain-vanilla bond and do not take
convertibility and callability into account.
*/
class ConvertibleZeroCouponBond : public ConvertibleBond {
public:
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 = 100);
};
//! convertible fixed-coupon bond
/*! \warning Most methods inherited from Bond (such as yield or
the yield-based dirtyPrice and cleanPrice) refer to
the underlying plain-vanilla bond and do not take
convertibility and callability into account.
*/
class ConvertibleFixedCouponBond : public ConvertibleBond {
public:
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 = 100,
const Period& exCouponPeriod = Period(),
const Calendar& exCouponCalendar = Calendar(),
BusinessDayConvention exCouponConvention = Unadjusted,
bool exCouponEndOfMonth = false);
};
//! convertible floating-rate bond
/*! \warning Most methods inherited from Bond (such as yield or
the yield-based dirtyPrice and cleanPrice) refer to
the underlying plain-vanilla bond and do not take
convertibility and callability into account.
*/
class ConvertibleFloatingRateBond : public ConvertibleBond {
public:
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 = 100,
const Period& exCouponPeriod = Period(),
const Calendar& exCouponCalendar = Calendar(),
BusinessDayConvention exCouponConvention = Unadjusted,
bool exCouponEndOfMonth = false);
};
class ConvertibleBond::arguments : public PricingEngine::arguments {
public:
arguments()
: conversionRatio(Null<Real>()), settlementDays(Null<Natural>()), redemption(Null<Real>()) {}
ext::shared_ptr<Exercise> exercise;
Real conversionRatio;
std::vector<Date> callabilityDates;
std::vector<Callability::Type> callabilityTypes;
std::vector<Real> callabilityPrices;
std::vector<Real> callabilityTriggers;
Leg cashflows;
Date issueDate;
Date settlementDate;
Natural settlementDays;
Real redemption;
void validate() const override;
};
class ConvertibleBond::engine
: public GenericEngine<ConvertibleBond::arguments, ConvertibleBond::results> {};
}
#endif
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