BondHelper Class Reference

Bond helper for curve bootstrap. More...

#include <bondhelpers.hpp>

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Public Member Functions
	BondHelper (const Handle< Quote > &price, const ext::shared_ptr< Bond > &bond, Bond::Price::Type priceType=Bond::Price::Clean)
RateHelper interface
Real	impliedQuote () const override
void	setTermStructure (YieldTermStructure *) override
Additional inspectors
ext::shared_ptr< Bond >	bond () const
Bond::Price::Type	priceType () const
Public Member Functions inherited from BootstrapHelper< TS >
	BootstrapHelper (const std::variant< Spread, Handle< Quote > > &quote)
	~BootstrapHelper () override=default
const Handle< Quote > &	quote () const
Real	quoteError () const
virtual void	setTermStructure (TS *)
	sets the term structure to be used for pricing More...
virtual Date	earliestDate () const
	earliest relevant date More...
virtual Date	maturityDate () const
	instrument's maturity date More...
virtual Date	latestRelevantDate () const
	latest relevant date More...
virtual Date	pillarDate () const
	pillar date More...
virtual Date	latestDate () const
	latest date More...
void	update () override
Public Member Functions inherited from Observer
	Observer ()=default
	Observer (const Observer &)
Observer &	operator= (const Observer &)
virtual	~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 ()
virtual void	update ()=0
virtual void	deepUpdate ()
Public Member Functions inherited from Observable
	Observable ()=default
	Observable (const Observable &)
Observable &	operator= (const Observable &)
	Observable (Observable &&)=delete
Observable &	operator= (Observable &&)=delete
virtual	~Observable ()=default
void	notifyObservers ()

Visitability
ext::shared_ptr< Bond >	bond_
RelinkableHandle< YieldTermStructure >	termStructureHandle_
Bond::Price::Type	priceType_
void	accept (AcyclicVisitor &) override

Additional Inherited Members
Public Types inherited from Observer
typedef set_type::iterator	iterator
Protected Attributes inherited from BootstrapHelper< TS >
Handle< Quote >	quote_
TS *	termStructure_
Date	earliestDate_
Date	latestDate_
Date	maturityDate_
Date	latestRelevantDate_
Date	pillarDate_

Detailed Description

Bond helper for curve bootstrap.

Warning:

This class assumes that the reference date does not change between calls of setTermStructure().

Definition at line 40 of file bondhelpers.hpp.

Constructor & Destructor Documentation

BondHelper()

BondHelper	(	const Handle< Quote > &	price,
		const ext::shared_ptr< Bond > &	bond,
		Bond::Price::Type	priceType = Bond::Price::Clean
	)

Warning:

Setting a pricing engine to the passed bond from external code will cause the bootstrap to fail or to give wrong results. It is advised to discard the bond after creating the helper, so that the helper has sole ownership of it.

Definition at line 30 of file bondhelpers.cpp.

Member Function Documentation

impliedQuote()

Real impliedQuote ( ) const

overridevirtual

Implements BootstrapHelper< TS >.

Definition at line 53 of file bondhelpers.cpp.

setTermStructure()

void setTermStructure ( YieldTermStructure *  t )

override

Definition at line 44 of file bondhelpers.cpp.

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bond()

ext::shared_ptr< Bond > bond

(

)

const

Definition at line 132 of file bondhelpers.hpp.

priceType()

Bond::Price::Type priceType

(

)

const

Definition at line 136 of file bondhelpers.hpp.

accept()

void accept ( AcyclicVisitor &  v )

overridevirtual

Reimplemented from BootstrapHelper< TS >.

Reimplemented in FixedRateBondHelper, and CPIBondHelper.

Definition at line 72 of file bondhelpers.cpp.

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Member Data Documentation

bond_

ext::shared_ptr<Bond> bond_

protected

Definition at line 68 of file bondhelpers.hpp.

termStructureHandle_

RelinkableHandle<YieldTermStructure> termStructureHandle_

protected

Definition at line 69 of file bondhelpers.hpp.

priceType_

Bond::Price::Type priceType_

protected

Definition at line 70 of file bondhelpers.hpp.