This example shows how to set up a term structure and then price some simple bonds. The last part is dedicated to peripherical computations such as yield-to-price or price-to-yield.
#include <ql/qldefines.hpp>
#ifdef BOOST_MSVC
# include <ql/auto_link.hpp>
#endif
#include <ql/instruments/bonds/zerocouponbond.hpp>
#include <ql/instruments/bonds/floatingratebond.hpp>
#include <ql/pricingengines/bond/discountingbondengine.hpp>
#include <ql/cashflows/couponpricer.hpp>
#include <ql/termstructures/yield/piecewiseyieldcurve.hpp>
#include <ql/termstructures/yield/bondhelpers.hpp>
#include <ql/termstructures/volatility/optionlet/constantoptionletvol.hpp>
#include <ql/indexes/ibor/euribor.hpp>
#include <ql/indexes/ibor/usdlibor.hpp>
#include <ql/time/calendars/target.hpp>
#include <ql/time/calendars/unitedstates.hpp>
#include <ql/time/daycounters/actualactual.hpp>
#include <ql/time/daycounters/actual360.hpp>
#include <ql/time/daycounters/thirty360.hpp>
#include <iostream>
#include <iomanip>
#if defined(QL_ENABLE_SESSIONS)
ThreadKey sessionId() { return 0; }
}
#endif
int main(int, char* []) {
try {
std::cout << std::endl;
Calendar calendar = TARGET();
Date settlementDate(18, September, 2008);
settlementDate = calendar.adjust(settlementDate);
Date todaysDate = calendar.advance(settlementDate, -fixingDays, Days);
std::cout << "Today: " << todaysDate.weekday()
<< ", " << todaysDate << std::endl;
std::cout << "Settlement date: " << settlementDate.weekday()
<< ", " << settlementDate << std::endl;
ext::shared_ptr<Quote> zc3mRate(new SimpleQuote(zc3mQuote));
ext::shared_ptr<Quote> zc6mRate(new SimpleQuote(zc6mQuote));
ext::shared_ptr<Quote> zc1yRate(new SimpleQuote(zc1yQuote));
DayCounter zcBondsDayCounter = Actual365Fixed();
ext::shared_ptr<RateHelper> zc3m(new DepositRateHelper(
Handle<Quote>(zc3mRate),
3*Months, fixingDays,
true, zcBondsDayCounter));
ext::shared_ptr<RateHelper> zc6m(new DepositRateHelper(
Handle<Quote>(zc6mRate),
6*Months, fixingDays,
true, zcBondsDayCounter));
ext::shared_ptr<RateHelper> zc1y(new DepositRateHelper(
Handle<Quote>(zc1yRate),
1*Years, fixingDays,
true, zcBondsDayCounter));
const Size numberOfBonds = 5;
Date issueDates[] = {
Date (15, March, 2005),
Date (15, June, 2005),
Date (30, June, 2006),
Date (15, November, 2002),
Date (15, May, 1987)
};
Date maturities[] = {
Date (31, August, 2010),
Date (31, August, 2011),
Date (31, August, 2013),
Date (15, August, 2018),
Date (15, May, 2038)
};
0.02375,
0.04625,
0.03125,
0.04000,
0.04500
};
100.390625,
106.21875,
100.59375,
101.6875,
102.140625
};
std::vector< ext::shared_ptr<SimpleQuote> > quote;
for (
Size i=0; i<numberOfBonds; i++) {
ext::shared_ptr<SimpleQuote> cp(new SimpleQuote(marketQuotes[i]));
quote.push_back(cp);
}
RelinkableHandle<Quote> quoteHandle[numberOfBonds];
for (
Size i=0; i<numberOfBonds; i++) {
quoteHandle[i].linkTo(quote[i]);
}
std::vector<ext::shared_ptr<BondHelper> > bondsHelpers;
for (
Size i=0; i<numberOfBonds; i++) {
ext::shared_ptr<FixedRateBondHelper> bondHelper(new FixedRateBondHelper(
quoteHandle[i],
settlementDays,
100.0,
schedule,
std::vector<Rate>(1,couponRates[i]),
ActualActual(ActualActual::Bond),
redemption,
issueDates[i]));
bondsHelpers.push_back(bondHelper);
}
DayCounter termStructureDayCounter =
ActualActual(ActualActual::ISDA);
std::vector<ext::shared_ptr<RateHelper> > bondInstruments;
bondInstruments.push_back(zc3m);
bondInstruments.push_back(zc6m);
bondInstruments.push_back(zc1y);
for (
Size i=0; i<numberOfBonds; i++) {
bondInstruments.push_back(bondsHelpers[i]);
}
ext::shared_ptr<YieldTermStructure> bondDiscountingTermStructure(
new PiecewiseYieldCurve<Discount,LogLinear>(
settlementDate, bondInstruments,
termStructureDayCounter));
ext::shared_ptr<Quote> d1wRate(new SimpleQuote(d1wQuote));
ext::shared_ptr<Quote> d1mRate(new SimpleQuote(d1mQuote));
ext::shared_ptr<Quote> d3mRate(new SimpleQuote(d3mQuote));
ext::shared_ptr<Quote> d6mRate(new SimpleQuote(d6mQuote));
ext::shared_ptr<Quote> d9mRate(new SimpleQuote(d9mQuote));
ext::shared_ptr<Quote> d1yRate(new SimpleQuote(d1yQuote));
ext::shared_ptr<Quote> s2yRate(new SimpleQuote(s2yQuote));
ext::shared_ptr<Quote> s3yRate(new SimpleQuote(s3yQuote));
ext::shared_ptr<Quote> s5yRate(new SimpleQuote(s5yQuote));
ext::shared_ptr<Quote> s10yRate(new SimpleQuote(s10yQuote));
ext::shared_ptr<Quote> s15yRate(new SimpleQuote(s15yQuote));
DayCounter depositDayCounter = Actual360();
ext::shared_ptr<RateHelper> d1w(new DepositRateHelper(
Handle<Quote>(d1wRate),
1*Weeks, fixingDays,
true, depositDayCounter));
ext::shared_ptr<RateHelper> d1m(new DepositRateHelper(
Handle<Quote>(d1mRate),
1*Months, fixingDays,
true, depositDayCounter));
ext::shared_ptr<RateHelper> d3m(new DepositRateHelper(
Handle<Quote>(d3mRate),
3*Months, fixingDays,
true, depositDayCounter));
ext::shared_ptr<RateHelper> d6m(new DepositRateHelper(
Handle<Quote>(d6mRate),
6*Months, fixingDays,
true, depositDayCounter));
ext::shared_ptr<RateHelper> d9m(new DepositRateHelper(
Handle<Quote>(d9mRate),
9*Months, fixingDays,
true, depositDayCounter));
ext::shared_ptr<RateHelper> d1y(new DepositRateHelper(
Handle<Quote>(d1yRate),
1*Years, fixingDays,
true, depositDayCounter));
DayCounter swFixedLegDayCounter = Thirty360(Thirty360::European);
ext::shared_ptr<IborIndex> swFloatingLegIndex(new Euribor6M);
const Period forwardStart(1*Days);
ext::shared_ptr<RateHelper> s2y(new SwapRateHelper(
Handle<Quote>(s2yRate), 2*Years,
calendar, swFixedLegFrequency,
swFixedLegConvention, swFixedLegDayCounter,
swFloatingLegIndex, Handle<Quote>(),forwardStart));
ext::shared_ptr<RateHelper> s3y(new SwapRateHelper(
Handle<Quote>(s3yRate), 3*Years,
calendar, swFixedLegFrequency,
swFixedLegConvention, swFixedLegDayCounter,
swFloatingLegIndex, Handle<Quote>(),forwardStart));
ext::shared_ptr<RateHelper> s5y(new SwapRateHelper(
Handle<Quote>(s5yRate), 5*Years,
calendar, swFixedLegFrequency,
swFixedLegConvention, swFixedLegDayCounter,
swFloatingLegIndex, Handle<Quote>(),forwardStart));
ext::shared_ptr<RateHelper> s10y(new SwapRateHelper(
Handle<Quote>(s10yRate), 10*Years,
calendar, swFixedLegFrequency,
swFixedLegConvention, swFixedLegDayCounter,
swFloatingLegIndex, Handle<Quote>(),forwardStart));
ext::shared_ptr<RateHelper> s15y(new SwapRateHelper(
Handle<Quote>(s15yRate), 15*Years,
calendar, swFixedLegFrequency,
swFixedLegConvention, swFixedLegDayCounter,
swFloatingLegIndex, Handle<Quote>(),forwardStart));
std::vector<ext::shared_ptr<RateHelper> > depoSwapInstruments;
depoSwapInstruments.push_back(d1w);
depoSwapInstruments.push_back(d1m);
depoSwapInstruments.push_back(d3m);
depoSwapInstruments.push_back(d6m);
depoSwapInstruments.push_back(d9m);
depoSwapInstruments.push_back(d1y);
depoSwapInstruments.push_back(s2y);
depoSwapInstruments.push_back(s3y);
depoSwapInstruments.push_back(s5y);
depoSwapInstruments.push_back(s10y);
depoSwapInstruments.push_back(s15y);
ext::shared_ptr<YieldTermStructure> depoSwapTermStructure(
new PiecewiseYieldCurve<Discount,LogLinear>(
settlementDate, depoSwapInstruments,
termStructureDayCounter));
RelinkableHandle<YieldTermStructure> discountingTermStructure;
RelinkableHandle<YieldTermStructure> forecastingTermStructure;
ext::shared_ptr<PricingEngine> bondEngine(
new DiscountingBondEngine(discountingTermStructure));
ZeroCouponBond zeroCouponBond(
settlementDays,
faceAmount,
Date(15,August,2013),
Date(15,August,2003));
zeroCouponBond.setPricingEngine(bondEngine);
Schedule fixedBondSchedule(Date(15, May, 2007),
FixedRateBond fixedRateBond(
settlementDays,
faceAmount,
fixedBondSchedule,
std::vector<Rate>(1, 0.045),
ActualActual(ActualActual::Bond),
100.0, Date(15, May, 2007));
fixedRateBond.setPricingEngine(bondEngine);
RelinkableHandle<YieldTermStructure> liborTermStructure;
const ext::shared_ptr<IborIndex> libor3m(
new USDLibor(Period(3,Months),liborTermStructure));
libor3m->addFixing(Date(17, July, 2008),0.0278625);
Schedule floatingBondSchedule(Date(21, October, 2005),
FloatingRateBond floatingRateBond(
settlementDays,
faceAmount,
floatingBondSchedule,
libor3m,
Actual360(),
std::vector<Real>(1, 1.0),
std::vector<Rate>(1, 0.001),
std::vector<Rate>(),
std::vector<Rate>(),
true,
Date(21, October, 2005));
floatingRateBond.setPricingEngine(bondEngine);
ext::shared_ptr<IborCouponPricer> pricer(new BlackIborCouponPricer);
Handle<OptionletVolatilityStructure> vol;
vol = Handle<OptionletVolatilityStructure>(
ext::shared_ptr<OptionletVolatilityStructure>(new
ConstantOptionletVolatility(
settlementDays,
calendar,
Actual365Fixed())));
pricer->setCapletVolatility(vol);
setCouponPricer(floatingRateBond.cashflows(),pricer);
forecastingTermStructure.linkTo(depoSwapTermStructure);
discountingTermStructure.linkTo(bondDiscountingTermStructure);
liborTermStructure.linkTo(depoSwapTermStructure);
std::cout << std::endl;
Size widths[] = { 18, 10, 10, 10 };
std::cout << std::setw(widths[0]) << " "
<< std::setw(widths[1]) << "ZC"
<< std::setw(widths[2]) << "Fixed"
<< std::setw(widths[3]) << "Floating"
<< std::endl;
Size width = widths[0] + widths[1] + widths[2] + widths[3];
std::string rule(width, '-');
std::cout << rule << std::endl;
std::cout << std::fixed;
std::cout << std::setprecision(2);
std::cout << std::setw(widths[0]) << "Net present value"
<< std::setw(widths[1]) << zeroCouponBond.NPV()
<< std::setw(widths[2]) << fixedRateBond.NPV()
<< std::setw(widths[3]) << floatingRateBond.NPV()
<< std::endl;
std::cout << std::setw(widths[0]) << "Clean price"
<< std::setw(widths[1]) << zeroCouponBond.cleanPrice()
<< std::setw(widths[2]) << fixedRateBond.cleanPrice()
<< std::setw(widths[3]) << floatingRateBond.cleanPrice()
<< std::endl;
std::cout << std::setw(widths[0]) << "Dirty price"
<< std::setw(widths[1]) << zeroCouponBond.dirtyPrice()
<< std::setw(widths[2]) << fixedRateBond.dirtyPrice()
<< std::setw(widths[3]) << floatingRateBond.dirtyPrice()
<< std::endl;
std::cout << std::setw(widths[0]) << "Accrued coupon"
<< std::setw(widths[1]) << zeroCouponBond.accruedAmount()
<< std::setw(widths[2]) << fixedRateBond.accruedAmount()
<< std::setw(widths[3]) << floatingRateBond.accruedAmount()
<< std::endl;
std::cout << std::setw(widths[0]) << "Previous coupon"
<< std::setw(widths[1]) << "N/A"
<< std::setw(widths[2]) <<
io::rate(fixedRateBond.previousCouponRate())
<< std::setw(widths[3]) <<
io::rate(floatingRateBond.previousCouponRate())
<< std::endl;
std::cout << std::setw(widths[0]) << "Next coupon"
<< std::setw(widths[1]) << "N/A"
<< std::setw(widths[2]) <<
io::rate(fixedRateBond.nextCouponRate())
<< std::setw(widths[3]) <<
io::rate(floatingRateBond.nextCouponRate())
<< std::endl;
std::cout << std::setw(widths[0]) << "Yield"
<< std::setw(widths[1])
<< std::setw(widths[2])
<< std::setw(widths[3])
<< std::endl;
std::cout << std::endl;
std::cout << "Sample indirect computations (for the floating rate bond): " << std::endl;
std::cout << rule << std::endl;
std::cout << "Yield to Clean Price: "
std::cout << "Clean Price to Yield: "
<<
io::rate(floatingRateBond.yield(floatingRateBond.cleanPrice(),Actual360(),
Compounded,
Annual,settlementDate)) << std::endl;
return 0;
} catch (std::exception& e) {
std::cerr << e.what() << std::endl;
return 1;
} catch (...) {
std::cerr << "unknown error" << std::endl;
return 1;
}
}