QuantLib::Bond

Bond Class Reference
[Financial instruments]

#include <ql/Instruments/bond.hpp>

Inheritance diagram for Bond:

Inheritance graph
[legend]
List of all members.

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
const std::vector< boost::shared_ptr<
CashFlow > > & 		cashflows () const
const boost::shared_ptr< CashFlow > & redemption () const
const Calendar & calendar () const
BusinessDayConvention businessDayConvention () const
BusinessDayConvention accrualConvention () const
BusinessDayConvention paymentConvention () 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 (const DayCounter &dayCount, const Calendar &calendar, BusinessDayConvention businessDayConvention, 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_
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  businessDayConvention,
Integer  settlementDays,
const Handle< YieldTermStructure > &  discountCurve = Handle< YieldTermStructure >()
)  [protected]
 

Deprecated:
use the other constructor

Member Function Documentation

const std::vector< boost::shared_ptr< CashFlow > > & cashflows (   )  const
 

Warning:
unlike in previous versions, the returned vector now include the redemption as the last cash flow.

BusinessDayConvention businessDayConvention (   )  const
 

Deprecated:
use either paymentConvention() or accrualConvention()

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.

Real cleanPrice (  Rate  yield,
Compounding  compounding,
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,
Compounding  compounding,
Date  settlementDate = Date()
)  const
 

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.

Real accruedAmount (  Date  d = Date()  )  const
 

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.

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