QuantLib::CallableFixedRateBond Class Reference
#include <callablebond.hpp>
Inheritance diagram for QuantLib::CallableFixedRateBond:
Detailed Description
callable/puttable fixed rate bondCallable fixed rate bond class.
Example: CallableBonds.cpp
Definition at line 153 of file callablebond.hpp.
Public Member Functions | |
| CallableFixedRateBond (Natural settlementDays, Real faceAmount, const Schedule &schedule, const std::vector< Rate > &coupons, const DayCounter &accrualDayCounter, BusinessDayConvention paymentConvention=Following, Real redemption=100.0, const Date &issueDate=Date(), const CallabilitySchedule &putCallSchedule=CallabilitySchedule()) | |
| virtual Rate | nextCoupon (Date d=Date()) const |
| void | notifyObservers () |
| Rate | previousCoupon (Date d=Date()) const |
| Previous coupon already paid at a given date. | |
| void | registerWith (const boost::shared_ptr< Observable > &) |
| virtual void | setupArguments (PricingEngine::arguments *args) const |
| void | unregisterWith (const boost::shared_ptr< Observable > &) |
Calculations | |
| virtual Real | accruedAmount (Date d=Date()) const |
| accrued amount at a given date | |
| Real | cleanPrice (Rate yield, const DayCounter &dc, Compounding comp, Frequency freq, Date settlementDate=Date()) const |
| clean price given a yield and settlement date | |
| Real | cleanPrice () const |
| theoretical clean price | |
| Real | cleanPriceFromZSpread (Spread zSpread, const DayCounter &dc, Compounding comp, Frequency freq, Date settlementDate=Date()) const |
| clean price given Z-spread | |
| Real | dirtyPrice (Rate yield, const DayCounter &dc, Compounding comp, Frequency freq, Date settlementDate=Date()) const |
| dirty price given a yield and settlement date | |
| Real | dirtyPrice () const |
| theoretical dirty price | |
| Real | dirtyPriceFromZSpread (Spread zSpread, const DayCounter &dc, Compounding comp, Frequency freq, Date settlementDate=Date()) const |
| dirty price given Z-spread | |
| bool | isExpired () const |
| returns whether the instrument is still tradable. | |
| Real | settlementValue (Real cleanPrice) const |
| settlement value as a function of the clean price | |
| Real | settlementValue () const |
| theoretical settlement value | |
| 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 | |
| Rate | yield (const DayCounter &dc, Compounding comp, Frequency freq, Real accuracy=1.0e-8, Size maxEvaluations=100) const |
| theoretical bond yield | |
Inspectors | |
|
const std::map< std::string, boost::any > & | additionalResults () const |
| returns all additional result returned by the pricing engine. | |
| Real | errorEstimate () const |
| returns the error estimate on the NPV when available. | |
| Real | NPV () const |
| returns the net present value of the instrument. | |
| template<typename T> | |
| T | result (const std::string &tag) const |
| returns any additional result returned by the pricing engine. | |
Inspectors | |
| const Calendar & | calendar () const |
| const Leg & | cashflows () const |
| Real | faceAmount () const |
| Date | issueDate () const |
| Date | maturityDate () const |
| virtual Real | notional (Date d=Date()) const |
| const std::vector< Real > & | notionals () const |
| const boost::shared_ptr < CashFlow > & | redemption () const |
| const Leg & | redemptions () const |
| Date | settlementDate (const Date &d=Date()) const |
| Natural | settlementDays () const |
Inspectors | |
| const CallabilitySchedule & | callability () const |
| return the bond's put/call schedule | |
Calculations | |
These methods do not modify the structure of the object and are therefore declared as const. Data members which will be calculated on demand need to be declared as mutable. | |
| void | freeze () |
| void | recalculate () |
| void | unfreeze () |
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 | |
Modifiers | |
| void | setPricingEngine (const boost::shared_ptr< PricingEngine > &) |
| set the pricing engine to be used. | |
Observer interface | |
| void | update () |
Protected Member Functions | |
| void | addRedemptionsToCashflows (const std::vector< Real > &redemptions=std::vector< Real >()) |
| void | calculateNotionalsFromCashflows () |
| void | fetchResults (const PricingEngine::results *) const |
| void | setSingleRedemption (Real notional, Real redemption, const Date &date) |
| void | setupExpired () const |
Calculations | |
| void | calculate () const |
| virtual void | performCalculations () const |
Protected Attributes | |
|
RelinkableHandle < YieldTermStructure > | blackDiscountCurve_ |
| Black fwd yield volatility quote handle to internal blackEngine_. | |
| 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_. | |
| bool | calculated_ |
| Calendar | calendar_ |
| Leg | cashflows_ |
| boost::shared_ptr< PricingEngine > | engine_ |
| Frequency | frequency_ |
| bool | frozen_ |
| Date | issueDate_ |
| Date | maturityDate_ |
| std::vector< Real > | notionals_ |
| std::vector< Date > | notionalSchedule_ |
| DayCounter | paymentDayCounter_ |
| CallabilitySchedule | putCallSchedule_ |
| Leg | redemptions_ |
| Natural | settlementDays_ |
| Real | settlementValue_ |
Results | |
The value of this attribute and any other that derived classes might declare must be set during calculation. | |
| std::map< std::string, boost::any > | additionalResults_ |
| Real | errorEstimate_ |
| Real | NPV_ |
Private Member Functions | |
| Real | accrued (Date settlement) const |
| accrued interest used internally, where includeToday = false | |
Friends | |
| class | ImpliedVolHelper |
The documentation for this class was generated from the following files:
- QuantLib-0.9.7/ql/experimental/callablebonds/callablebond.hpp
- QuantLib-0.9.7/ql/experimental/callablebonds/callablebond.cpp