BTP Class Reference

Italian BTP (Buono Poliennali del Tesoro) fixed rate bond. More...

#include <ql/instruments/bonds/btp.hpp>

Inheritance diagram for BTP:

List of all members.

Public Member Functions

 BTP (const Date &maturityDate, Rate fixedRate, const Date &startDate=Date(), const Date &issueDate=Date())
 BTP (const Date &maturityDate, Rate fixedRate, Real redemption, const Date &startDate=Date(), const Date &issueDate=Date())
Rate yield (Real cleanPrice, Date settlementDate=Date(), Real accuracy=1.0e-8, Size maxEvaluations=100) const
 BTP yield given a (clean) price and settlement date.

Detailed Description

Italian BTP (Buono Poliennali del Tesoro) fixed rate bond.


Constructor & Destructor Documentation

BTP ( const Date maturityDate,
Rate  fixedRate,
Real  redemption,
const Date startDate = Date(),
const Date issueDate = Date() 
)

constructor needed for legacy non-par redemption BTPs. As of today the only remaining one is IT123456789012 that will redeem 99.999 on xx-may-2037


Member Function Documentation

Rate yield ( Real  cleanPrice,
Date  settlementDate = Date(),
Real  accuracy = 1.0e-8,
Size  maxEvaluations = 100 
) const

BTP yield given a (clean) price and settlement date.

The default BTP conventions are used: Actual/Actual (ISMA), Compounded, Annual. The default bond settlement is used if no date is given.