//! Basis-point value
/*! Obtained by setting dy = 0.0001 in the 2nd-order Taylor
* series expansion.
*/
public static double basisPointValue(Leg leg, InterestRate yield, bool includeSettlementDateFlows,
Date settlementDate = null, Date npvDate = null)
{
if (leg.empty())
{
return(0.0);
}
if (settlementDate == null)
{
settlementDate = Settings.evaluationDate();
}
if (npvDate == null)
{
npvDate = settlementDate;
}
double npv = CashFlows.npv(leg, yield, includeSettlementDateFlows, settlementDate, npvDate);
double modifiedDuration = CashFlows.duration(leg, yield, Duration.Type.Modified, includeSettlementDateFlows,
settlementDate, npvDate);
double convexity = CashFlows.convexity(leg, yield, includeSettlementDateFlows, settlementDate, npvDate);
double delta = -modifiedDuration * npv;
double gamma = (convexity / 100.0) * npv;
double shift = 0.0001;
delta *= shift;
gamma *= shift * shift;
return(delta + 0.5 * gamma);
}
public static double convexity(Bond bond, InterestRate yield, Date settlementDate = null)
{
if (settlementDate == null)
{
settlementDate = bond.settlementDate();
}
Utils.QL_REQUIRE(BondFunctions.isTradable(bond, settlementDate), () =>
"non tradable at " + settlementDate +
" (maturity being " + bond.maturityDate() + ")");
return(CashFlows.convexity(bond.cashflows(), yield, false, settlementDate));
}
//! Basis-point value
/*! Obtained by setting dy = 0.0001 in the 2nd-order Taylor
* series expansion.
*/
public static double basisPointValue(List <CashFlow> leg, InterestRate y, Date settlementDate)
{
if (leg.Count == 0)
{
return(0.0);
}
double shift = 0.0001;
double dirtyPrice = CashFlows.npv(leg, y, settlementDate);
double modifiedDuration = CashFlows.duration(leg, y, Duration.Type.Modified, settlementDate);
double convexity = CashFlows.convexity(leg, y, settlementDate);
double delta = -modifiedDuration * dirtyPrice;
double gamma = (convexity / 100.0) * dirtyPrice;
delta *= shift;
gamma *= shift * shift;
return(delta + 0.5 * gamma);
}
