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));
}
public static double bps(Bond bond, YieldTermStructure discountCurve, 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.bps(bond.cashflows(), discountCurve, false, settlementDate) * 100.0 / bond.notional(settlementDate));
}
public static double accruedAmount(Bond bond, 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.accruedAmount(bond.cashflows(), false, settlementDate) * 100.0 / bond.notional(settlementDate));
}
public static Date referencePeriodEnd(Bond bond, 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.referencePeriodEnd(bond.cashflows(), false, settlementDate));
}
public static double dirtyPrice(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() + ")");
double dirtyPrice = CashFlows.npv(bond.cashflows(), yield, false, settlementDate) *
100.0 / bond.notional(settlementDate);
return(dirtyPrice);
}
public static double cleanPrice(Bond bond, YieldTermStructure discount, double zSpread, DayCounter dayCounter, Compounding compounding,
Frequency frequency, Date settlementDate = null)
{
if (settlementDate == null)
{
settlementDate = bond.settlementDate();
}
Utils.QL_REQUIRE(BondFunctions.isTradable(bond, settlementDate), () =>
"non tradable at " + settlementDate +
" (maturity being " + bond.maturityDate() + ")");
double dirtyPrice = CashFlows.npv(bond.cashflows(), discount, zSpread, dayCounter, compounding, frequency, false, settlementDate) *
100.0 / bond.notional(settlementDate);
return(dirtyPrice - bond.accruedAmount(settlementDate));
}
public static double atmRate(Bond bond, YieldTermStructure discountCurve, Date settlementDate = null, double?cleanPrice = null)
{
if (settlementDate == null)
{
settlementDate = bond.settlementDate();
}
Utils.QL_REQUIRE(BondFunctions.isTradable(bond, settlementDate), () =>
"non tradable at " + settlementDate +
" (maturity being " + bond.maturityDate() + ")");
double?dirtyPrice = cleanPrice == null ? null : cleanPrice + bond.accruedAmount(settlementDate);
double currentNotional = bond.notional(settlementDate);
double?npv = dirtyPrice / 100.0 * currentNotional;
return(CashFlows.atmRate(bond.cashflows(), discountCurve, false, settlementDate, settlementDate, npv));
}
public static double cleanPrice(Bond bond, YieldTermStructure discountCurve, Date settlementDate = null)
{
if (settlementDate == null)
{
settlementDate = bond.settlementDate();
}
Utils.QL_REQUIRE(BondFunctions.isTradable(bond, settlementDate), () =>
"non tradable at " + settlementDate +
" settlementDate date (maturity being " +
bond.maturityDate() + ")");
double dirtyPrice = CashFlows.npv(bond.cashflows(), discountCurve, false, settlementDate) *
100.0 / bond.notional(settlementDate);
return(dirtyPrice - bond.accruedAmount(settlementDate));
}
public static double yield(Bond bond, double cleanPrice, DayCounter dayCounter, Compounding compounding, Frequency frequency,
Date settlementDate = null, double accuracy = 1.0e-10, int maxIterations = 100, double guess = 0.05)
{
if (settlementDate == null)
{
settlementDate = bond.settlementDate();
}
Utils.QL_REQUIRE(BondFunctions.isTradable(bond, settlementDate), () =>
"non tradable at " + settlementDate +
" (maturity being " + bond.maturityDate() + ")");
double dirtyPrice = cleanPrice + bond.accruedAmount(settlementDate);
dirtyPrice /= 100.0 / bond.notional(settlementDate);
return(CashFlows.yield(bond.cashflows(), dirtyPrice,
dayCounter, compounding, frequency,
false, settlementDate, settlementDate,
accuracy, maxIterations, guess));
}