QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.20
Public Member Functions | List of all members
CallableFixedRateBond Class Reference

callable/puttable fixed rate bond More...

#include <ql/experimental/callablebonds/callablebond.hpp>

+ Inheritance diagram for CallableFixedRateBond:

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(), const Period &exCouponPeriod=Period(), const Calendar &exCouponCalendar=Calendar(), BusinessDayConvention exCouponConvention=Unadjusted, bool exCouponEndOfMonth=false)
 
void setupArguments (PricingEngine::arguments *args) const
 
- Public Member Functions inherited from CallableBond
const CallabilitySchedule & callability () const
 return the bond's put/call schedule
 
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...
 
bool isExpired () const
 returns whether the instrument might have value greater than zero.
 
void deepUpdate ()
 
Natural settlementDays () const
 
const Calendarcalendar () const
 
const std::vector< Real > & notionals () const
 
virtual Real notional (Date d=Date()) const
 
const Legcashflows () const
 
const Legredemptions () const
 
const ext::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, Real guess=0.05, Bond::Price::Type priceType=Bond::Price::Clean) 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, Real guess=0.05, Bond::Price::Type priceType=Bond::Price::Clean) const
 yield given a (clean) price and settlement date More...
 
virtual Real accruedAmount (Date d=Date()) const
 accrued amount at a given date 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
 
- 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 DatevaluationDate () const
 returns the date the net present value refers to.
 
template<typename 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 ext::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 &)
 
Observableoperator= (const Observable &)
 
void notifyObservers ()
 
- Public Member Functions inherited from Observer
 Observer (const Observer &)
 
Observeroperator= (const Observer &)
 
std::pair< iterator, bool > registerWith (const ext::shared_ptr< Observable > &)
 
void registerWithObservables (const ext::shared_ptr< Observer > &)
 
Size unregisterWith (const ext::shared_ptr< Observable > &)
 
void unregisterWithAll ()
 

Additional Inherited Members

- Public Types inherited from Observer
typedef boost::unordered_set< ext::shared_ptr< Observable > > set_type
 
typedef set_type::iterator iterator
 
- Protected Member Functions inherited from CallableBond
 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 ext::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 inherited from CallableBond
DayCounter paymentDayCounter_
 
Frequency frequency_
 
CallabilitySchedule putCallSchedule_
 
ext::shared_ptr< PricingEngineblackEngine_
 must be set by derived classes for impliedVolatility() to work
 
RelinkableHandle< QuoteblackVolQuote_
 Black fwd yield volatility quote handle to internal blackEngine_.
 
RelinkableHandle< YieldTermStructureblackDiscountCurve_
 Black fwd yield volatility quote handle to internal blackEngine_.
 
- Protected Attributes inherited from Bond
Natural settlementDays_
 
Calendar calendar_
 
std::vector< DatenotionalSchedule_
 
std::vector< Realnotionals_
 
Leg cashflows_
 
Leg redemptions_
 
Date maturityDate_
 
Date issueDate_
 
Real settlementValue_
 
- Protected Attributes inherited from Instrument
Real NPV_
 
Real errorEstimate_
 
Date valuationDate_
 
std::map< std::string, boost::any > additionalResults_
 
ext::shared_ptr< PricingEngineengine_
 
- Protected Attributes inherited from LazyObject
bool calculated_
 
bool frozen_
 
bool alwaysForward_
 

Detailed Description

callable/puttable fixed rate bond

Callable fixed rate bond class.

Member Function Documentation

◆ setupArguments()

void setupArguments ( PricingEngine::arguments *  ) const
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.