Bond Class Reference
[Financial instruments]

Base bond class. More...

#include <ql/instruments/bond.hpp>

Inheritance diagram for Bond:

List of all members.

Public Member Functions

 Bond (Natural settlementDays, const Calendar &calendar, const Date &issueDate=Date(), const Leg &coupons=Leg())
 constructor for amortizing or non-amortizing bonds.
 Bond (Natural settlementDays, const Calendar &calendar, Real faceAmount, const Date &maturityDate, const Date &issueDate=Date(), const Leg &cashflows=Leg())
 old constructor for non amortizing bonds.
virtual Rate nextCouponRate (Date d=Date()) const
Rate previousCouponRate (Date d=Date()) const
 Previous coupon already paid at a given date.
Date nextCashFlowDate (Date d=Date()) const
Date previousCashFlowDate (Date d=Date()) const
Instrument interface
bool isExpired () const
 returns whether the instrument might have value greater than zero.
Inspectors
Natural settlementDays () const
const Calendarcalendar () const
const std::vector< Real > & notionals () const
virtual Real notional (Date d=Date()) const
const Leg & cashflows () const
const Leg & redemptions () const
const boost::shared_ptr
< CashFlow > & 
redemption () const
Date maturityDate () const
Date issueDate () const
bool isTradable (Date d=Date()) const
Date settlementDate (Date d=Date()) const
Calculations
Real cleanPrice () const
 theoretical clean price
Real dirtyPrice () const
 theoretical dirty price
Real settlementValue () const
 theoretical settlement value
Rate yield (const DayCounter &dc, Compounding comp, Frequency freq, Real accuracy=1.0e-8, Size maxEvaluations=100) const
 theoretical bond yield
Real cleanPrice (Rate yield, const DayCounter &dc, Compounding comp, Frequency freq, Date settlementDate=Date()) const
 clean price given a yield and settlement date
Real dirtyPrice (Rate yield, const DayCounter &dc, Compounding comp, Frequency freq, Date settlementDate=Date()) const
 dirty price given a yield and settlement date
Real settlementValue (Real cleanPrice) const
 settlement value as a function of the clean price
Rate yield (Real cleanPrice, const DayCounter &dc, Compounding comp, Frequency freq, Date settlementDate=Date(), Real accuracy=1.0e-8, Size maxEvaluations=100) const
 yield given a (clean) price and settlement date
virtual Real accruedAmount (Date d=Date()) const
 accrued amount at a given date

Protected Member Functions

void setupExpired () const
void setupArguments (PricingEngine::arguments *) const
void fetchResults (const PricingEngine::results *) const
void addRedemptionsToCashflows (const std::vector< Real > &redemptions=std::vector< Real >())
void setSingleRedemption (Real notional, Real redemption, const Date &date)
void setSingleRedemption (Real notional, const boost::shared_ptr< CashFlow > &redemption)
void calculateNotionalsFromCashflows ()

Protected Attributes

Natural settlementDays_
Calendar calendar_
std::vector< DatenotionalSchedule_
std::vector< Real > notionals_
Leg cashflows_
Leg redemptions_
Date maturityDate_
Date issueDate_
Real settlementValue_


Detailed Description

Base bond class.

Derived classes must fill the uninitialized data members.

Warning:
Most methods assume that the cash flows are stored sorted by date, the redemption(s) being after any cash flow at the same date. In particular, if there's one single redemption, it must be the last cash flow,

Tests:
  • price/yield calculations are cross-checked for consistency.
  • price/yield calculations are checked against known good values.
Examples:

FittedBondCurve.cpp.


Constructor & Destructor Documentation

Bond ( Natural  settlementDays,
const Calendar calendar,
const Date issueDate = Date(),
const Leg &  coupons = Leg() 
)

constructor for amortizing or non-amortizing bonds.

Redemptions and maturity are calculated from the coupon data, if available. Therefore, redemptions must not be included in the passed cash flows.

Bond ( Natural  settlementDays,
const Calendar calendar,
Real  faceAmount,
const Date maturityDate,
const Date issueDate = Date(),
const Leg &  cashflows = Leg() 
)

old constructor for non amortizing bonds.

Warning:
The last passed cash flow must be the bond redemption. No other cash flow can have a date later than the redemption date.


Member Function Documentation

const Leg & cashflows (  )  const

Note:
returns all the cashflows, including the redemptions.

const Leg & redemptions (  )  const

returns just the redemption flows (not interest payments)

const boost::shared_ptr<CashFlow>& redemption (  )  const

returns the redemption, if only one is defined

Real cleanPrice (  )  const

theoretical clean price

The default bond settlement is used for calculation.

Warning:
the theoretical price calculated from a flat term structure might differ slightly from the price calculated from the corresponding yield by means of the other overload of this function. If the price from a constant yield is desired, it is advisable to use such other overload.

Real dirtyPrice (  )  const

theoretical dirty price

The default bond settlement is used for calculation.

Warning:
the theoretical price calculated from a flat term structure might differ slightly from the price calculated from the corresponding yield by means of the other overload of this function. If the price from a constant yield is desired, it is advisable to use such other overload.

Real settlementValue (  )  const

theoretical settlement value

The default bond settlement date is used for calculation.

Rate yield ( const DayCounter dc,
Compounding  comp,
Frequency  freq,
Real  accuracy = 1.0e-8,
Size  maxEvaluations = 100 
) const

theoretical bond yield

The default bond settlement and theoretical price are used for calculation.

Real cleanPrice ( Rate  yield,
const DayCounter dc,
Compounding  comp,
Frequency  freq,
Date  settlementDate = Date() 
) const

clean price given a yield and settlement date

The default bond settlement is used if no date is given.

Real dirtyPrice ( Rate  yield,
const DayCounter dc,
Compounding  comp,
Frequency  freq,
Date  settlementDate = Date() 
) const

dirty price given a yield and settlement date

The default bond settlement is used if no date is given.

Real settlementValue ( Real  cleanPrice  )  const

settlement value as a function of the clean price

The default bond settlement date is used for calculation.

Rate yield ( Real  cleanPrice,
const DayCounter dc,
Compounding  comp,
Frequency  freq,
Date  settlementDate = Date(),
Real  accuracy = 1.0e-8,
Size  maxEvaluations = 100 
) const

yield given a (clean) price and settlement date

The default bond settlement is used if no date is given.

virtual Real accruedAmount ( Date  d = Date()  )  const [virtual]

accrued amount at a given date

The default bond settlement is used if no date is given.

virtual Rate nextCouponRate ( Date  d = Date()  )  const [virtual]

Expected next coupon: depending on (the bond and) the given date the coupon can be historic, deterministic or expected in a stochastic sense. When the bond settlement date is used the coupon is the already-fixed not-yet-paid one.

The current bond settlement is used if no date is given.

Rate previousCouponRate ( Date  d = Date()  )  const

Previous coupon already paid at a given date.

Expected previous coupon: depending on (the bond and) the given date the coupon can be historic, deterministic or expected in a stochastic sense. When the bond settlement date is used the coupon is the last paid one.

The current bond settlement is used if no date is given.

void setupExpired (  )  const [protected, virtual]

This method must leave the instrument in a consistent state when the expiration condition is met.

Reimplemented from Instrument.

void setupArguments ( PricingEngine::arguments *   )  const [protected, virtual]

When a derived argument structure is defined for an instrument, this method should be overridden to fill it. This is mandatory in case a pricing engine is used.

Reimplemented from Instrument.

Reimplemented in CallableBond, and CallableFixedRateBond.

void fetchResults ( const PricingEngine::results *  r  )  const [protected, virtual]

When a derived result structure is defined for an instrument, this method should be overridden to read from it. This is mandatory in case a pricing engine is used.

Reimplemented from Instrument.

void addRedemptionsToCashflows ( const std::vector< Real > &  redemptions = std::vector< Real >()  )  [protected]

This method can be called by derived classes in order to build redemption payments from the existing cash flows. It must be called after setting up the cashflows_ vector and will fill the notionalSchedule_, notionals_, and redemptions_ data members.

If given, the elements of the redemptions vector will multiply the amount of the redemption cash flow. The elements will be taken in base 100, i.e., a redemption equal to 100 does not modify the amount.

Precondition:
The cashflows_ vector must contain at least one coupon and must be sorted by date.

void setSingleRedemption ( Real  notional,
Real  redemption,
const Date date 
) [protected]

This method can be called by derived classes in order to build a bond with a single redemption payment. It will fill the notionalSchedule_, notionals_, and redemptions_ data members.

void setSingleRedemption ( Real  notional,
const boost::shared_ptr< CashFlow > &  redemption 
) [protected]

This method can be called by derived classes in order to build a bond with a single redemption payment. It will fill the notionalSchedule_, notionals_, and redemptions_ data members.

void calculateNotionalsFromCashflows (  )  [protected]

used internally to collect notional information from the coupons. It should not be called by derived classes.