Bond Class Reference
[Financial instruments]
#include <ql/instruments/bond.hpp>
Inheritance diagram for Bond:

Detailed Description
Base bond class.Derived classes must fill the unitialized data members.
- Warning:
- Most methods assume that the cashflows are stored sorted by date, the redemption being the last one.
- Tests:
- price/yield calculations are cross-checked for consistency.
- price/yield calculations are checked against known good values.
Public Member Functions | |
Inspectors | |
Date | settlementDate (const Date &d=Date()) const |
Date | issueDate () const |
Date | maturityDate () const |
Date | interestAccrualDate () const |
const Leg & | cashflows () const |
const boost::shared_ptr< CashFlow > & | redemption () const |
const Calendar & | calendar () const |
BusinessDayConvention | paymentConvention () const |
Real | faceAmount () const |
const DayCounter & | dayCounter () const |
Frequency | frequency () const |
Handle< YieldTermStructure > | discountCurve () const |
Calculations | |
Real | cleanPrice () const |
theoretical clean price | |
Real | dirtyPrice () const |
theoretical dirty price | |
Rate | yield (Compounding compounding, Real accuracy=1.0e-8, Size maxEvaluations=100) const |
theoretical bond yield | |
Real | cleanPrice (Rate yield, Compounding compounding, Date settlementDate=Date()) const |
clean price given a yield and settlement date | |
Real | dirtyPrice (Rate yield, Compounding compounding, Date settlementDate=Date()) const |
dirty price given a yield and settlement date | |
Rate | yield (Real cleanPrice, Compounding compounding, 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 | |
bool | isExpired () const |
returns whether the instrument is still tradable. | |
Protected Member Functions | |
Bond (Natural settlementDays, Real faceAmount, const Calendar &calendar, const DayCounter &paymentDayCounter, BusinessDayConvention paymentConvention, const Handle< YieldTermStructure > &discountCurve=Handle< YieldTermStructure >()) | |
void | performCalculations () const |
void | setupArguments (PricingEngine::arguments *) const |
Protected Attributes | |
Natural | settlementDays_ |
Real | faceAmount_ |
Calendar | calendar_ |
DayCounter | paymentDayCounter_ |
BusinessDayConvention | paymentConvention_ |
Handle< YieldTermStructure > | discountCurve_ |
Date | issueDate_ |
Date | datedDate_ |
Date | maturityDate_ |
Frequency | frequency_ |
Leg | cashflows_ |
Member Function Documentation
const Leg & cashflows | ( | ) | const |
- Warning:
- the returned vector includes the redemption as the last cash flow.
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.
Rate yield | ( | Compounding | compounding, | |
Real | accuracy = 1.0e-8 , |
|||
Size | maxEvaluations = 100 | |||
) | const |
theoretical bond yield
The default bond settlement and theoretical price are used for calculation.
clean price given a yield and settlement date
The default bond settlement is used if no date is given.
dirty price given a yield and settlement date
The default bond settlement is used if no date is given.
Rate yield | ( | Real | cleanPrice, | |
Compounding | compounding, | |||
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.
accrued amount at a given date
The default bond settlement is used if no date is given.
void performCalculations | ( | ) | const [protected, virtual] |
In case a pricing engine is not used, this method must be overridden to perform the actual calculations and set any needed results. In case a pricing engine is used, the default implementation can be used.
Reimplemented from Instrument.
Reimplemented in ConvertibleBond.