QuantLib: BondFunctions Struct Reference

Bond adapters of CashFlows functions. More...

#include <bondfunctions.hpp>

Collaboration diagram for BondFunctions:

Static Public Member Functions
Date inspectors
static Date	startDate (const Bond &bond)

static Date	maturityDate (const Bond &bond)

static bool	isTradable (const Bond &bond, Date settlementDate=Date())

CashFlow inspectors
static Leg::const_reverse_iterator	previousCashFlow (const Bond &bond, Date refDate=Date())

static Leg::const_iterator	nextCashFlow (const Bond &bond, Date refDate=Date())

static Date	previousCashFlowDate (const Bond &bond, Date refDate=Date())

static Date	nextCashFlowDate (const Bond &bond, Date refDate=Date())

static Real	previousCashFlowAmount (const Bond &bond, Date refDate=Date())

static Real	nextCashFlowAmount (const Bond &bond, Date refDate=Date())

Coupon inspectors
static Rate	previousCouponRate (const Bond &bond, Date settlementDate=Date())

static Rate	nextCouponRate (const Bond &bond, Date settlementDate=Date())

static Date	accrualStartDate (const Bond &bond, Date settlementDate=Date())

static Date	accrualEndDate (const Bond &bond, Date settlementDate=Date())

static Date	referencePeriodStart (const Bond &bond, Date settlementDate=Date())

static Date	referencePeriodEnd (const Bond &bond, Date settlementDate=Date())

static Time	accrualPeriod (const Bond &bond, Date settlementDate=Date())

static Date::serial_type	accrualDays (const Bond &bond, Date settlementDate=Date())

static Time	accruedPeriod (const Bond &bond, Date settlementDate=Date())

static Date::serial_type	accruedDays (const Bond &bond, Date settlementDate=Date())

static Real	accruedAmount (const Bond &bond, Date settlementDate=Date())

YieldTermStructure functions
static Real	cleanPrice (const Bond &bond, const YieldTermStructure &discountCurve, Date settlementDate=Date())

static Real	dirtyPrice (const Bond &bond, const YieldTermStructure &discountCurve, Date settlementDate=Date())

static Real	bps (const Bond &bond, const YieldTermStructure &discountCurve, Date settlementDate=Date())

static Rate	atmRate (const Bond &bond, const YieldTermStructure &discountCurve, Date settlementDate=Date(), Bond::Price price={})

Yield (a.k.a. Internal Rate of Return, i.e. IRR) functions
static Real	cleanPrice (const Bond &bond, const InterestRate &yield, Date settlementDate=Date())

static Real	cleanPrice (const Bond &bond, Rate yield, const DayCounter &dayCounter, Compounding compounding, Frequency frequency, Date settlementDate=Date())

static Real	dirtyPrice (const Bond &bond, const InterestRate &yield, Date settlementDate=Date())

static Real	dirtyPrice (const Bond &bond, Rate yield, const DayCounter &dayCounter, Compounding compounding, Frequency frequency, Date settlementDate=Date())

static Real	bps (const Bond &bond, const InterestRate &yield, Date settlementDate=Date())

static Real	bps (const Bond &bond, Rate yield, const DayCounter &dayCounter, Compounding compounding, Frequency frequency, Date settlementDate=Date())

static Rate	yield (const Bond &bond, Bond::Price price, const DayCounter &dayCounter, Compounding compounding, Frequency frequency, Date settlementDate=Date(), Real accuracy=1.0e-10, Size maxIterations=100, Rate guess=0.05)

template<typename Solver >
static Rate	yield (const Solver &solver, const Bond &bond, Bond::Price price, const DayCounter &dayCounter, Compounding compounding, Frequency frequency, Date settlementDate=Date(), Real accuracy=1.0e-10, Rate guess=0.05)

static Time	duration (const Bond &bond, const InterestRate &yield, Duration::Type type=Duration::Modified, Date settlementDate=Date())

static Time	duration (const Bond &bond, Rate yield, const DayCounter &dayCounter, Compounding compounding, Frequency frequency, Duration::Type type=Duration::Modified, Date settlementDate=Date())

static Real	convexity (const Bond &bond, const InterestRate &yield, Date settlementDate=Date())

static Real	convexity (const Bond &bond, Rate yield, const DayCounter &dayCounter, Compounding compounding, Frequency frequency, Date settlementDate=Date())

static Real	basisPointValue (const Bond &bond, const InterestRate &yield, Date settlementDate=Date())

static Real	basisPointValue (const Bond &bond, Rate yield, const DayCounter &dayCounter, Compounding compounding, Frequency frequency, Date settlementDate=Date())

static Real	yieldValueBasisPoint (const Bond &bond, const InterestRate &yield, Date settlementDate=Date())

static Real	yieldValueBasisPoint (const Bond &bond, Rate yield, const DayCounter &dayCounter, Compounding compounding, Frequency frequency, Date settlementDate=Date())

Z-spread functions
static Real	cleanPrice (const Bond &bond, const ext::shared_ptr< YieldTermStructure > &discount, Spread zSpread, const DayCounter &dayCounter, Compounding compounding, Frequency frequency, Date settlementDate=Date())

static Real	dirtyPrice (const Bond &bond, const ext::shared_ptr< YieldTermStructure > &discount, Spread zSpread, const DayCounter &dayCounter, Compounding compounding, Frequency frequency, Date settlementDate=Date())

static Spread	zSpread (const Bond &bond, Bond::Price price, const ext::shared_ptr< YieldTermStructure > &, const DayCounter &dayCounter, Compounding compounding, Frequency frequency, Date settlementDate=Date(), Real accuracy=1.0e-10, Size maxIterations=100, Rate guess=0.0)

Detailed Description

Bond adapters of CashFlows functions.

See CashFlows for functions' documentation.

These adapters calls into CashFlows functions passing as input the Bond cashflows, the dirty price (i.e. npv) calculated from clean price, the bond settlement date (unless another date is given), zero ex-dividend days, and excluding any cashflow on the settlement date.

Prices are always clean, as per market convention.

Definition at line 54 of file bondfunctions.hpp.

Member Function Documentation

◆ startDate()

Date startDate ( const Bond & bond )

static

Definition at line 31 of file bondfunctions.cpp.

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◆ maturityDate()

Date maturityDate ( const Bond & bond )

static

Definition at line 35 of file bondfunctions.cpp.

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◆ isTradable()

bool isTradable	(	const Bond &	bond,
		Date	settlementDate = `Date()`
	)

static

Definition at line 39 of file bondfunctions.cpp.

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◆ previousCashFlow()

Leg::const_reverse_iterator previousCashFlow	(	const Bond &	bond,
		Date	refDate = `Date()`
	)

static

Definition at line 48 of file bondfunctions.cpp.

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◆ nextCashFlow()

Leg::const_iterator nextCashFlow	(	const Bond &	bond,
		Date	refDate = `Date()`
	)

static

Definition at line 57 of file bondfunctions.cpp.

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◆ previousCashFlowDate()

Date previousCashFlowDate	(	const Bond &	bond,
		Date	refDate = `Date()`
	)

static

Definition at line 66 of file bondfunctions.cpp.

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◆ nextCashFlowDate()

Date nextCashFlowDate	(	const Bond &	bond,
		Date	refDate = `Date()`
	)

static

Definition at line 75 of file bondfunctions.cpp.

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◆ previousCashFlowAmount()

Real previousCashFlowAmount	(	const Bond &	bond,
		Date	refDate = `Date()`
	)

static

Definition at line 84 of file bondfunctions.cpp.

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◆ nextCashFlowAmount()

Real nextCashFlowAmount	(	const Bond &	bond,
		Date	refDate = `Date()`
	)

static

Definition at line 93 of file bondfunctions.cpp.

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◆ previousCouponRate()

Rate previousCouponRate	(	const Bond &	bond,
		Date	settlementDate = `Date()`
	)

static

Definition at line 102 of file bondfunctions.cpp.

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◆ nextCouponRate()

Rate nextCouponRate	(	const Bond &	bond,
		Date	settlementDate = `Date()`
	)

static

Definition at line 111 of file bondfunctions.cpp.

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◆ accrualStartDate()

Date accrualStartDate	(	const Bond &	bond,
		Date	settlementDate = `Date()`
	)

static

Definition at line 120 of file bondfunctions.cpp.

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◆ accrualEndDate()

Date accrualEndDate	(	const Bond &	bond,
		Date	settlementDate = `Date()`
	)

static

Definition at line 133 of file bondfunctions.cpp.

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◆ referencePeriodStart()

Date referencePeriodStart	(	const Bond &	bond,
		Date	settlementDate = `Date()`
	)

static

Definition at line 146 of file bondfunctions.cpp.

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◆ referencePeriodEnd()

Date referencePeriodEnd	(	const Bond &	bond,
		Date	settlementDate = `Date()`
	)

static

Definition at line 159 of file bondfunctions.cpp.

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◆ accrualPeriod()

Time accrualPeriod	(	const Bond &	bond,
		Date	settlementDate = `Date()`
	)

static

Definition at line 172 of file bondfunctions.cpp.

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◆ accrualDays()

Date::serial_type accrualDays	(	const Bond &	bond,
		Date	settlementDate = `Date()`
	)

static

Definition at line 185 of file bondfunctions.cpp.

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◆ accruedPeriod()

Time accruedPeriod	(	const Bond &	bond,
		Date	settlementDate = `Date()`
	)

static

Definition at line 198 of file bondfunctions.cpp.

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◆ accruedDays()

Date::serial_type accruedDays	(	const Bond &	bond,
		Date	settlementDate = `Date()`
	)

static

Definition at line 211 of file bondfunctions.cpp.

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◆ accruedAmount()

Real accruedAmount	(	const Bond &	bond,
		Date	settlementDate = `Date()`
	)

static

Definition at line 224 of file bondfunctions.cpp.

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◆ cleanPrice() [1/4]

Real cleanPrice	(	const Bond &	bond,
		const YieldTermStructure &	discountCurve,
		Date	settlementDate = `Date()`
	)

static

Definition at line 239 of file bondfunctions.cpp.

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◆ dirtyPrice() [1/4]

Real dirtyPrice	(	const Bond &	bond,
		const YieldTermStructure &	discountCurve,
		Date	settlementDate = `Date()`
	)

static

Definition at line 248 of file bondfunctions.cpp.

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◆ bps() [1/3]

Real bps	(	const Bond &	bond,
		const YieldTermStructure &	discountCurve,
		Date	settlementDate = `Date()`
	)

static

Definition at line 265 of file bondfunctions.cpp.

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◆ atmRate()

Rate atmRate	(	const Bond &	bond,
		const YieldTermStructure &	discountCurve,
		Date	settlementDate = `Date()`,
		Bond::Price	price = `{}`
	)

static

Definition at line 280 of file bondfunctions.cpp.

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◆ cleanPrice() [2/4]

Real cleanPrice	(	const Bond &	bond,
		const InterestRate &	yield,
		Date	settlementDate = `Date()`
	)

static

Definition at line 306 of file bondfunctions.cpp.

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◆ cleanPrice() [3/4]

Real cleanPrice	(	const Bond &	bond,
		Rate	yield,
		const DayCounter &	dayCounter,
		Compounding	compounding,
		Frequency	frequency,
		Date	settlementDate = `Date()`
	)

static

Definition at line 312 of file bondfunctions.cpp.

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◆ dirtyPrice() [2/4]

Real dirtyPrice	(	const Bond &	bond,
		const InterestRate &	yield,
		Date	settlementDate = `Date()`
	)

static

Definition at line 322 of file bondfunctions.cpp.

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◆ dirtyPrice() [3/4]

Real dirtyPrice	(	const Bond &	bond,
		Rate	yield,
		const DayCounter &	dayCounter,
		Compounding	compounding,
		Frequency	frequency,
		Date	settlementDate = `Date()`
	)

static

Definition at line 338 of file bondfunctions.cpp.

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◆ bps() [2/3]

Real bps	(	const Bond &	bond,
		const InterestRate &	yield,
		Date	settlementDate = `Date()`
	)

static

Definition at line 348 of file bondfunctions.cpp.

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◆ bps() [3/3]

Real bps	(	const Bond &	bond,
		Rate	yield,
		const DayCounter &	dayCounter,
		Compounding	compounding,
		Frequency	frequency,
		Date	settlementDate = `Date()`
	)

static

Definition at line 363 of file bondfunctions.cpp.

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◆ yield() [1/2]

Rate yield	(	const Bond &	bond,
		Bond::Price	price,
		const DayCounter &	dayCounter,
		Compounding	compounding,
		Frequency	frequency,
		Date	settlementDate = `Date()`,
		Real	accuracy = `1.0e-10`,
		Size	maxIterations = `100`,
		Rate	guess = `0.05`
	)

static

Definition at line 373 of file bondfunctions.cpp.

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◆ yield() [2/2]

static Rate yield	(	const Solver &	solver,
		const Bond &	bond,
		Bond::Price	price,
		const DayCounter &	dayCounter,
		Compounding	compounding,
		Frequency	frequency,
		Date	settlementDate = `Date()`,
		Real	accuracy = `1.0e-10`,
		Rate	guess = `0.05`
	)

static

Definition at line 163 of file bondfunctions.hpp.

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◆ duration() [1/2]

Time duration	(	const Bond &	bond,
		const InterestRate &	yield,
		Duration::Type	type = `Duration::Modified`,
		Date	settlementDate = `Date()`
	)

static

Definition at line 389 of file bondfunctions.cpp.

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◆ duration() [2/2]

Time duration	(	const Bond &	bond,
		Rate	yield,
		const DayCounter &	dayCounter,
		Compounding	compounding,
		Frequency	frequency,
		Duration::Type	type = `Duration::Modified`,
		Date	settlementDate = `Date()`
	)

static

Definition at line 405 of file bondfunctions.cpp.

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◆ convexity() [1/2]

Real convexity	(	const Bond &	bond,
		const InterestRate &	yield,
		Date	settlementDate = `Date()`
	)

static

Definition at line 416 of file bondfunctions.cpp.

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◆ convexity() [2/2]

Real convexity	(	const Bond &	bond,
		Rate	yield,
		const DayCounter &	dayCounter,
		Compounding	compounding,
		Frequency	frequency,
		Date	settlementDate = `Date()`
	)

static

Definition at line 430 of file bondfunctions.cpp.

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◆ basisPointValue() [1/2]

Real basisPointValue	(	const Bond &	bond,
		const InterestRate &	yield,
		Date	settlementDate = `Date()`
	)

static

Definition at line 440 of file bondfunctions.cpp.

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◆ basisPointValue() [2/2]

Real basisPointValue	(	const Bond &	bond,
		Rate	yield,
		const DayCounter &	dayCounter,
		Compounding	compounding,
		Frequency	frequency,
		Date	settlementDate = `Date()`
	)

static

Definition at line 454 of file bondfunctions.cpp.

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◆ yieldValueBasisPoint() [1/2]

Real yieldValueBasisPoint	(	const Bond &	bond,
		const InterestRate &	yield,
		Date	settlementDate = `Date()`
	)

static

Definition at line 464 of file bondfunctions.cpp.

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◆ yieldValueBasisPoint() [2/2]

Real yieldValueBasisPoint	(	const Bond &	bond,
		Rate	yield,
		const DayCounter &	dayCounter,
		Compounding	compounding,
		Frequency	frequency,
		Date	settlementDate = `Date()`
	)

static

Definition at line 478 of file bondfunctions.cpp.

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◆ cleanPrice() [4/4]

Real cleanPrice	(	const Bond &	bond,
		const ext::shared_ptr< YieldTermStructure > &	discount,
		Spread	zSpread,
		const DayCounter &	dayCounter,
		Compounding	compounding,
		Frequency	frequency,
		Date	settlementDate = `Date()`
	)

static

Definition at line 488 of file bondfunctions.cpp.

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◆ dirtyPrice() [4/4]

Real dirtyPrice	(	const Bond &	bond,
		const ext::shared_ptr< YieldTermStructure > &	discount,
		Spread	zSpread,
		const DayCounter &	dayCounter,
		Compounding	compounding,
		Frequency	frequency,
		Date	settlementDate = `Date()`
	)

static

Definition at line 501 of file bondfunctions.cpp.

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◆ zSpread()

Spread zSpread	(	const Bond &	bond,
		Bond::Price	price,
		const ext::shared_ptr< YieldTermStructure > &	d,
		const DayCounter &	dayCounter,
		Compounding	compounding,
		Frequency	frequency,
		Date	settlementDate = `Date()`,
		Real	accuracy = `1.0e-10`,
		Size	maxIterations = `100`,
		Rate	guess = `0.0`
	)

static

Definition at line 522 of file bondfunctions.cpp.

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Static Public Member Functions

Detailed Description

Member Function Documentation

◆ startDate()

◆ maturityDate()

◆ isTradable()

◆ previousCashFlow()

◆ nextCashFlow()

◆ previousCashFlowDate()

◆ nextCashFlowDate()

◆ previousCashFlowAmount()

◆ nextCashFlowAmount()

◆ previousCouponRate()

◆ nextCouponRate()

◆ accrualStartDate()

◆ accrualEndDate()

◆ referencePeriodStart()

◆ referencePeriodEnd()

◆ accrualPeriod()

◆ accrualDays()

◆ accruedPeriod()

◆ accruedDays()

◆ accruedAmount()

◆ cleanPrice() [1/4]

◆ dirtyPrice() [1/4]

◆ bps() [1/3]

◆ atmRate()

◆ cleanPrice() [2/4]

◆ cleanPrice() [3/4]

◆ dirtyPrice() [2/4]

◆ dirtyPrice() [3/4]

◆ bps() [2/3]

◆ bps() [3/3]

◆ yield() [1/2]

◆ yield() [2/2]

◆ duration() [1/2]

◆ duration() [2/2]

◆ convexity() [1/2]

◆ convexity() [2/2]

◆ basisPointValue() [1/2]

◆ basisPointValue() [2/2]

◆ yieldValueBasisPoint() [1/2]

◆ yieldValueBasisPoint() [2/2]

◆ cleanPrice() [4/4]

◆ dirtyPrice() [4/4]

◆ zSpread()