Callable bond base class. More...
#include <ql/experimental/callablebonds/callablebond.hpp>
Inheritance diagram for CallableBond:Classes | |
| class | engine |
| base class for callable fixed rate bond engine More... | |
| class | results |
| results for a callable bond calculation More... | |
Public Member Functions | |
| virtual void | setupArguments (PricingEngine::arguments *) const |
Inspectors | |
| const CallabilitySchedule & | callability () const |
| return the bond's put/call schedule | |
Calculations | |
| Volatility | impliedVolatility (Real targetValue, const Handle< YieldTermStructure > &discountCurve, Real accuracy, Size maxEvaluations, Volatility minVol, Volatility maxVol) const |
| returns the Black implied forward yield volatility More... | |
| Spread | OAS (Real cleanPrice, const Handle< YieldTermStructure > &engineTS, const DayCounter &dayCounter, Compounding compounding, Frequency frequency, Date settlementDate=Date(), Real accuracy=1.0e-10, Size maxIterations=100, Rate guess=0.0) |
| Calculate the Option Adjusted Spread (OAS) More... | |
| Real | cleanPriceOAS (Real oas, const Handle< YieldTermStructure > &engineTS, const DayCounter &dayCounter, Compounding compounding, Frequency frequency, Date settlementDate=Date()) |
| Real | effectiveDuration (Real oas, const Handle< YieldTermStructure > &engineTS, const DayCounter &dayCounter, Compounding compounding, Frequency frequency, Real bump=2e-4) |
| Real | effectiveConvexity (Real oas, const Handle< YieldTermStructure > &engineTS, const DayCounter &dayCounter, Compounding compounding, Frequency frequency, Real bump=2e-4) |
Public Member Functions inherited from Bond | |
| Bond (Natural settlementDays, const Calendar &calendar, const Date &issueDate=Date(), const Leg &coupons=Leg()) | |
| constructor for amortizing or non-amortizing bonds. More... | |
| 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. More... | |
| virtual Rate | nextCouponRate (Date d=Date()) const |
| Rate | previousCouponRate (Date d=Date()) const |
| Previous coupon already paid at a given date. More... | |
| Date | nextCashFlowDate (Date d=Date()) const |
| Date | previousCashFlowDate (Date d=Date()) const |
| bool | isExpired () const |
| returns whether the instrument might have value greater than zero. | |
| Natural | settlementDays () const |
| const Calendar & | calendar () 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 | startDate () const |
| Date | maturityDate () const |
| Date | issueDate () const |
| bool | isTradable (Date d=Date()) const |
| Date | settlementDate (Date d=Date()) const |
| Real | cleanPrice () const |
| theoretical clean price More... | |
| Real | dirtyPrice () const |
| theoretical dirty price More... | |
| Real | settlementValue () const |
| theoretical settlement value More... | |
| Rate | yield (const DayCounter &dc, Compounding comp, Frequency freq, Real accuracy=1.0e-8, Size maxEvaluations=100) const |
| theoretical bond yield More... | |
| Real | cleanPrice (Rate yield, const DayCounter &dc, Compounding comp, Frequency freq, Date settlementDate=Date()) const |
| clean price given a yield and settlement date More... | |
| Real | dirtyPrice (Rate yield, const DayCounter &dc, Compounding comp, Frequency freq, Date settlementDate=Date()) const |
| dirty price given a yield and settlement date More... | |
| Real | settlementValue (Real cleanPrice) const |
| settlement value as a function of the clean price More... | |
| 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 More... | |
| virtual Real | accruedAmount (Date d=Date()) const |
| accrued amount at a given date More... | |
Public Member Functions inherited from Instrument | |
| Real | NPV () const |
| returns the net present value of the instrument. | |
| Real | errorEstimate () const |
| returns the error estimate on the NPV when available. | |
| const Date & | valuationDate () const |
| returns the date the net present value refers to. | |
| template<typename T > | |
| T | result (const std::string &tag) const |
| returns any additional result returned by the pricing engine. | |
| const std::map< std::string, boost::any > & | additionalResults () const |
| returns all additional result returned by the pricing engine. | |
| void | setPricingEngine (const boost::shared_ptr< PricingEngine > &) |
| set the pricing engine to be used. More... | |
Public Member Functions inherited from LazyObject | |
| void | update () |
| void | recalculate () |
| void | freeze () |
| void | unfreeze () |
| void | alwaysForwardNotifications () |
Public Member Functions inherited from Observable | |
| Observable (const Observable &) | |
| Observable & | operator= (const Observable &) |
| void | notifyObservers () |
Public Member Functions inherited from Observer | |
| Observer (const Observer &) | |
| Observer & | operator= (const Observer &) |
| std::pair< iterator, bool > | registerWith (const boost::shared_ptr< Observable > &) |
| void | registerWithObservables (const boost::shared_ptr< Observer > &) |
| Size | unregisterWith (const boost::shared_ptr< Observable > &) |
| void | unregisterWithAll () |
| virtual void | deepUpdate () |
Protected Member Functions | |
| CallableBond (Natural settlementDays, const Schedule &schedule, const DayCounter &paymentDayCounter, const Date &issueDate=Date(), const CallabilitySchedule &putCallSchedule=CallabilitySchedule()) | |
Protected Member Functions inherited from Bond | |
| 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 Member Functions inherited from Instrument | |
| void | calculate () const |
| virtual void | performCalculations () const |
Protected Member Functions inherited from LazyObject | |
Protected Attributes | |
| DayCounter | paymentDayCounter_ |
| Frequency | frequency_ |
| CallabilitySchedule | putCallSchedule_ |
| boost::shared_ptr< PricingEngine > | blackEngine_ |
| must be set by derived classes for impliedVolatility() to work | |
| RelinkableHandle< Quote > | blackVolQuote_ |
| Black fwd yield volatility quote handle to internal blackEngine_. | |
| RelinkableHandle< YieldTermStructure > | blackDiscountCurve_ |
| Black fwd yield volatility quote handle to internal blackEngine_. | |
Protected Attributes inherited from Bond | |
| Natural | settlementDays_ |
| Calendar | calendar_ |
| std::vector< Date > | notionalSchedule_ |
| std::vector< Real > | notionals_ |
| Leg | cashflows_ |
| Leg | redemptions_ |
| Date | maturityDate_ |
| Date | issueDate_ |
| Real | settlementValue_ |
Protected Attributes inherited from Instrument | |
| boost::shared_ptr< PricingEngine > | engine_ |
| Real | NPV_ |
| Real | errorEstimate_ |
| Date | valuationDate_ |
| std::map< std::string, boost::any > | additionalResults_ |
Protected Attributes inherited from LazyObject | |
| bool | calculated_ |
| bool | frozen_ |
| bool | alwaysForward_ |
Friends | |
| class | ImpliedVolHelper |
| class | NPVSpreadHelper |
Additional Inherited Members | |
Public Types inherited from Observer | |
| typedef std::set< boost::shared_ptr< Observable > > | set_type |
| typedef set_type::iterator | iterator |
Callable bond base class.
Base callable bond class for fixed and zero coupon bonds. Defines commonalities between fixed and zero coupon callable bonds. At present, only European and Bermudan put/call schedules supported (no American optionality), as defined by the Callability class.
| Volatility impliedVolatility | ( | Real | targetValue, |
| const Handle< YieldTermStructure > & | discountCurve, | ||
| Real | accuracy, | ||
| Size | maxEvaluations, | ||
| Volatility | minVol, | ||
| Volatility | maxVol | ||
| ) | const |
returns the Black implied forward yield volatility
the forward yield volatility, see Hull, Fourth Edition, Chapter 20, pg 536). Relevant only to European put/call schedules
| Spread OAS | ( | Real | cleanPrice, |
| const Handle< YieldTermStructure > & | engineTS, | ||
| const DayCounter & | dayCounter, | ||
| Compounding | compounding, | ||
| Frequency | frequency, | ||
| Date | settlementDate = Date(), |
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| Real | accuracy = 1.0e-10, |
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| Size | maxIterations = 100, |
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| Rate | guess = 0.0 |
||
| ) |
Calculate the Option Adjusted Spread (OAS)
Calculates the spread that needs to be added to the the reference curve so that the theoretical model value matches the marketPrice.
| Real cleanPriceOAS | ( | Real | oas, |
| const Handle< YieldTermStructure > & | engineTS, | ||
| const DayCounter & | dayCounter, | ||
| Compounding | compounding, | ||
| Frequency | frequency, | ||
| Date | settlementDate = Date() |
||
| ) |
Calculate the clean price based on the given option-adjust-spread (oas) over the given yield term structure (engineTS)
| Real effectiveDuration | ( | Real | oas, |
| const Handle< YieldTermStructure > & | engineTS, | ||
| const DayCounter & | dayCounter, | ||
| Compounding | compounding, | ||
| Frequency | frequency, | ||
| Real | bump = 2e-4 |
||
| ) |
Calculate the effective duration, i.e., the first differential of the dirty price w.r.t. a parallel shift of the yield term structure divided by current dirty price
| Real effectiveConvexity | ( | Real | oas, |
| const Handle< YieldTermStructure > & | engineTS, | ||
| const DayCounter & | dayCounter, | ||
| Compounding | compounding, | ||
| Frequency | frequency, | ||
| Real | bump = 2e-4 |
||
| ) |
Calculate the effective convexity, i.e., the second differential of the dirty price w.r.t. a parallel shift of the yield term structure divided by current dirty price
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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 CallableFixedRateBond.