QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.8
Classes | Public Member Functions | Protected Member Functions | Protected Attributes | Friends | List of all members
CallableBond Class Reference

Callable bond base class. More...

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

+ Inheritance diagram for CallableBond:

Classes

class  engine
 base class for callable fixed rate bond engine More...
 
class  results
 results for a callable bond calculation More...
 

Public Member Functions

virtual void setupArguments (PricingEngine::arguments *) const
 
Inspectors
const CallabilitySchedule & callability () const
 return the bond's put/call schedule
 
Calculations
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...
 
- 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...
 
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
 
bool isExpired () const
 returns whether the instrument might have value greater than zero.
 
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 boost::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) 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) const
 yield given a (clean) price and settlement date More...
 
virtual Real accruedAmount (Date d=Date()) const
 accrued amount at a given date More...
 
- 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 boost::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 ()
 
- 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 boost::shared_ptr< Observable > &)
 
void registerWithObservables (const boost::shared_ptr< Observer > &)
 
Size unregisterWith (const boost::shared_ptr< Observable > &)
 
void unregisterWithAll ()
 

Protected Member Functions

 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 boost::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

DayCounter paymentDayCounter_
 
Frequency frequency_
 
CallabilitySchedule putCallSchedule_
 
boost::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
boost::shared_ptr< PricingEngineengine_
 
Real NPV_
 
Real errorEstimate_
 
Date valuationDate_
 
std::map< std::string, boost::any > additionalResults_
 
- Protected Attributes inherited from LazyObject
bool calculated_
 
bool frozen_
 

Friends

class ImpliedVolHelper
 

Additional Inherited Members

- Public Types inherited from Observer
typedef std::set< boost::shared_ptr< Observable > > set_type
 
typedef set_type::iterator iterator
 

Detailed Description

Callable bond base class.

Base callable bond class for fixed and zero coupon bonds. Defines commonalities between fixed and zero coupon callable bonds. At present, only European and Bermudan put/call schedules supported (no American optionality), as defined by the Callability class.

Member Function Documentation

Volatility impliedVolatility ( Real  targetValue,
const Handle< YieldTermStructure > &  discountCurve,
Real  accuracy,
Size  maxEvaluations,
Volatility  minVol,
Volatility  maxVol 
) const

returns the Black implied forward yield volatility

the forward yield volatility, see Hull, Fourth Edition, Chapter 20, pg 536). Relevant only to European put/call schedules

virtual 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.

Reimplemented in CallableFixedRateBond.