bondhelpers.hpp

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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
 Copyright (C) 2005 Toyin Akin
 Copyright (C) 2007, 2009 StatPro Italia srl
 Copyright (C) 2008 Ferdinando Ametrano
 
 This file is part of QuantLib, a free-software/open-source library
 for financial quantitative analysts and developers - http://quantlib.org/
 
 QuantLib is free software: you can redistribute it and/or modify it
 under the terms of the QuantLib license.  You should have received a
 copy of the license along with this program; if not, please email
 <quantlib-dev@lists.sf.net>. The license is also available online at
 <http://quantlib.org/license.shtml>.
 
 This program is distributed in the hope that it will be useful, but WITHOUT
 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
 FOR A PARTICULAR PURPOSE.  See the license for more details.
*/
 
/*! \file bondhelpers.hpp
    \brief bond rate helpers
*/
 
#ifndef quantlib_bond_helpers_hpp
#define quantlib_bond_helpers_hpp
 
#include <ql/termstructures/yield/ratehelpers.hpp>
#include <ql/instruments/bonds/fixedratebond.hpp>
#include <ql/instruments/bonds/cpibond.hpp>
#include <ql/cashflows/cpicoupon.hpp>
 
namespace QuantLib {
 
    //! Bond helper for curve bootstrap
    /*! \warning This class assumes that the reference date
                 does not change between calls of setTermStructure().
    */
    class BondHelper : public RateHelper {
      public:
        /*! \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.
        */
        BondHelper(const Handle<Quote>& price,
                   const ext::shared_ptr<Bond>& bond,
                   Bond::Price::Type priceType = Bond::Price::Clean);
 
        //! \name RateHelper interface
        //@{
        Real impliedQuote() const override;
        void setTermStructure(YieldTermStructure*) override;
        //@}
        //! \name Additional inspectors
        //@{
        ext::shared_ptr<Bond> bond() const;
 
        Bond::Price::Type priceType() const;
        //@}
        //! \name Visitability
        //@{
        void accept(AcyclicVisitor&) override;
        //@}
      protected:
        ext::shared_ptr<Bond> bond_;
        RelinkableHandle<YieldTermStructure> termStructureHandle_;
        Bond::Price::Type priceType_;
    };
 
 
    //! Fixed-coupon bond helper for curve bootstrap
    class FixedRateBondHelper : public BondHelper {
      public:
        FixedRateBondHelper(const Handle<Quote>& price,
                            Natural settlementDays,
                            Real faceAmount,
                            Schedule schedule,
                            const std::vector<Rate>& coupons,
                            const DayCounter& dayCounter,
                            BusinessDayConvention paymentConv = Following,
                            Real redemption = 100.0,
                            const Date& issueDate = Date(),
                            const Calendar& paymentCalendar = Calendar(),
                            const Period& exCouponPeriod = Period(),
                            const Calendar& exCouponCalendar = Calendar(),
                            BusinessDayConvention exCouponConvention = Unadjusted,
                            bool exCouponEndOfMonth = false,
                            Bond::Price::Type priceType = Bond::Price::Clean);
 
        //! \name Visitability
        //@{
        void accept(AcyclicVisitor&) override;
        //@}
    };
 
 
    //! CPI bond helper for curve bootstrap
    class CPIBondHelper : public BondHelper {
      public:
        CPIBondHelper(const Handle<Quote>& price,
                      Natural settlementDays,
                      Real faceAmount,
                      bool growthOnly,
                      Real baseCPI,
                      const Period& observationLag,
                      const ext::shared_ptr<ZeroInflationIndex>& cpiIndex,
                      CPI::InterpolationType observationInterpolation,
                      Schedule schedule,
                      const std::vector<Rate>& fixedRate,
                      const DayCounter& accrualDayCounter,
                      BusinessDayConvention paymentConvention = Following,
                      const Date& issueDate = Date(),
                      const Calendar& paymentCalendar = Calendar(),
                      const Period& exCouponPeriod = Period(),
                      const Calendar& exCouponCalendar = Calendar(),
                      BusinessDayConvention exCouponConvention = Unadjusted,
                      bool exCouponEndOfMonth = false,
                      Bond::Price::Type priceType = Bond::Price::Clean);
 
        //! \name Visitability
        //@{
        void accept(AcyclicVisitor&) override;
        //@}
    };
 
 
    // inline
 
    inline ext::shared_ptr<Bond> BondHelper::bond() const {
        return bond_;
    }
 
    inline Bond::Price::Type BondHelper::priceType() const {
        return priceType_;
    }
 
 
}
 
#endif