QuantLib 0.3.11
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Reference manual
Bond Class Reference
[Financial instruments]
#include <ql/Instruments/bond.hpp>
Inheritance diagram for Bond:
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
- 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 |
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const std::vector< boost::shared_ptr< CashFlow > > & | cashflows () const |
| const boost::shared_ptr< CashFlow > & | redemption () const |
| const Calendar & | calendar () const |
| BusinessDayConvention | businessDayConvention () 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 >()) | |
| void | performCalculations () const |
Protected Attributes | |
| Integer | settlementDays_ |
| Calendar | calendar_ |
| BusinessDayConvention | businessDayConvention_ |
| DayCounter | dayCount_ |
| Date | issueDate_ |
| Date | datedDate_ |
| Date | maturityDate_ |
| Frequency | frequency_ |
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std::vector< boost::shared_ptr< CashFlow > > | cashFlows_ |
| boost::shared_ptr< CashFlow > | redemption_ |
| Handle< YieldTermStructure > | discountCurve_ |
Member Function Documentation
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theoretical clean price The default bond settlement is used for calculation. |
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theoretical dirty price The default bond settlement is used for calculation. |
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theoretical bond yield The default bond settlement and theoretical price are used for calculation. |
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clean price given a yield and settlement date The default bond settlement is used if no date is given. |
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dirty price given a yield and settlement date The default bond settlement is used if no date is given. |
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yield given a (clean) price and settlement date The default bond settlement is used if no date is given. |
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accrued amount at a given date The default bond settlement is used if no date is given. |
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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. |
