public static double zSpread(Bond bond, double cleanPrice, YieldTermStructure discount, DayCounter dayCounter, Compounding compounding,
Frequency frequency, Date settlementDate = null, double accuracy = 1.0e-10, int maxIterations = 100,
double guess = 0.0)
{
if (settlementDate == null)
{
settlementDate = bond.settlementDate();
}
Utils.QL_REQUIRE(BondFunctions.isTradable(bond, settlementDate), () =>
"non tradable at " + settlementDate +
" (maturity being " + bond.maturityDate() + ")",
QLNetExceptionEnum.NotTradableException);
double dirtyPrice = cleanPrice + bond.accruedAmount(settlementDate);
dirtyPrice /= 100.0 / bond.notional(settlementDate);
return(CashFlows.zSpread(bond.cashflows(),
discount,
dirtyPrice,
dayCounter, compounding, frequency,
false, settlementDate, settlementDate,
accuracy, maxIterations, guess));
}
protected override void performCalculations()
{
Utils.QL_REQUIRE(!bondHelpers_.empty(), () => "no bondHelpers given");
maxDate_ = Date.minDate();
Date refDate = referenceDate();
// double check bond quotes still valid and/or instruments not expired
for (int i = 0; i < bondHelpers_.Count; ++i)
{
Bond bond = bondHelpers_[i].bond();
Utils.QL_REQUIRE(bondHelpers_[i].quote().link.isValid(), () =>
(i + 1) + " bond (maturity: " +
bond.maturityDate() + ") has an invalid price quote");
Date bondSettlement = bond.settlementDate();
Utils.QL_REQUIRE(bondSettlement >= refDate, () =>
(i + 1) + " bond settlemente date (" +
bondSettlement + ") before curve reference date (" +
refDate + ")");
Utils.QL_REQUIRE(BondFunctions.isTradable(bond, bondSettlement), () =>
(i + 1) + " bond non tradable at " +
bondSettlement + " settlement date (maturity" +
" being " + bond.maturityDate() + ")",
QLNetExceptionEnum.NotTradableException);
maxDate_ = Date.Max(maxDate_, bondHelpers_[i].pillarDate());
bondHelpers_[i].setTermStructure(this);
}
fittingMethod_.init();
fittingMethod_.calculate();
}
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 int accrualDays(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.accrualDays(bond.cashflows(), false, settlementDate));
}
public static double accruedDays(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() + ")",
QLNetExceptionEnum.NotTradableException);
return(CashFlows.accruedDays(bond.cashflows(), false, settlementDate));
}
public static double duration(Bond bond, InterestRate yield, Duration.Type type = Duration.Type.Modified,
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.duration(bond.cashflows(), yield, type, false, settlementDate));
}
public static double yieldValueBasisPoint(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() + ")",
QLNetExceptionEnum.NotTradableException);
return(CashFlows.yieldValueBasisPoint(bond.cashflows(), yield,
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 bool isTradable(Date d = null)
{
return(BondFunctions.isTradable(this, d));
}
