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 | maturityDate () const |
| Date | firstCouponDate () const |
| const std::vector< boost::shared_ptr< CashFlow > > & | cashflows () const |
| const boost::shared_ptr< CashFlow > & | redemption () const |
| const Calendar & | calendar () const |
| BusinessDayConvention | accrualConvention () const |
| BusinessDayConvention | paymentConvention () const |
| Real | faceAmount () const |
| const DayCounter & | dayCounter () const |
| Frequency | frequency () const |
| boost::shared_ptr< 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 | |
| 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 (Real faceAmount, const DayCounter &dayCount, const Calendar &calendar, BusinessDayConvention accrualConvention, BusinessDayConvention paymentConvention, Integer settlementDays, const Handle< YieldTermStructure > &discountCurve=Handle< YieldTermStructure >()) | |
| Bond (const DayCounter &dayCount, const Calendar &calendar, BusinessDayConvention accrualConvention, BusinessDayConvention paymentConvention, Integer settlementDays, const Handle< YieldTermStructure > &discountCurve=Handle< YieldTermStructure >()) | |
| void | performCalculations () const |
Protected Attributes | |
| Integer | settlementDays_ |
| Calendar | calendar_ |
| BusinessDayConvention | accrualConvention_ |
| BusinessDayConvention | paymentConvention_ |
| Real | faceAmount_ |
| DayCounter | dayCount_ |
| Date | issueDate_ |
| Date | datedDate_ |
| Date | maturityDate_ |
| Frequency | frequency_ |
|
std::vector< boost::shared_ptr< CashFlow > > | cashflows_ |
| Handle< YieldTermStructure > | discountCurve_ |
Constructor & Destructor Documentation
| Bond | ( | const DayCounter & | dayCount, | |
| const Calendar & | calendar, | |||
| BusinessDayConvention | accrualConvention, | |||
| BusinessDayConvention | paymentConvention, | |||
| Integer | settlementDays, | |||
| const Handle< YieldTermStructure > & | discountCurve = Handle< YieldTermStructure >() | |||
| ) | [protected] |
- Deprecated:
- use constructor with face amount instead
Member Function Documentation
| const std::vector< boost::shared_ptr< CashFlow > > & 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.