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 nextCouponRate(Bond bond, Date settlementDate = null)
{
if (settlementDate == null)
{
settlementDate = bond.settlementDate();
}
return(CashFlows.nextCouponRate(bond.cashflows(), false, settlementDate));
}
public static bool isTradable(Bond bond, Date settlementDate = null)
{
if (settlementDate == null)
{
settlementDate = bond.settlementDate();
}
return(bond.notional(settlementDate).IsNotEqual(0.0));
}
public static CashFlow previousCashFlow(Bond bond, Date refDate = null)
{
if (refDate == null)
{
refDate = bond.settlementDate();
}
return(CashFlows.previousCashFlow(bond.cashflows(), false, refDate));
}
public static Date nextCashFlowDate(Bond bond, Date refDate = null)
{
if (refDate == null)
{
refDate = bond.settlementDate();
}
return(CashFlows.nextCashFlowDate(bond.cashflows(), false, refDate));
}
//! rerun every time instruments/referenceDate changes
internal virtual void init()
{
// yield conventions
DayCounter yieldDC = curve_.dayCounter();
Compounding yieldComp = Compounding.Compounded;
Frequency yieldFreq = Frequency.Annual;
int n = curve_.bondHelpers_.Count;
costFunction_ = new FittingCost(this);
costFunction_.firstCashFlow_ = new InitializedList <int>(n);
for (int i = 0; i < curve_.bondHelpers_.Count; ++i)
{
Bond bond = curve_.bondHelpers_[i].bond();
List <CashFlow> cf = bond.cashflows();
Date bondSettlement = bond.settlementDate();
for (int k = 0; k < cf.Count; ++k)
{
if (!cf[k].hasOccurred(bondSettlement, false))
{
costFunction_.firstCashFlow_[i] = k;
break;
}
}
}
if (calculateWeights_)
{
//if (weights_.empty())
weights_ = new Vector(n);
double squaredSum = 0.0;
for (int i = 0; i < curve_.bondHelpers_.Count; ++i)
{
Bond bond = curve_.bondHelpers_[i].bond();
double cleanPrice = curve_.bondHelpers_[i].quote().link.value();
Date bondSettlement = bond.settlementDate();
double ytm = BondFunctions.yield(bond, cleanPrice, yieldDC, yieldComp, yieldFreq, bondSettlement);
double dur = BondFunctions.duration(bond, ytm, yieldDC, yieldComp, yieldFreq,
Duration.Type.Modified, bondSettlement);
weights_[i] = 1.0 / dur;
squaredSum += weights_[i] * weights_[i];
}
weights_ /= Math.Sqrt(squaredSum);
}
Utils.QL_REQUIRE(weights_.size() == n, () =>
"Given weights do not cover all boostrapping helpers");
}
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 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 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 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 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 override Vector values(Vector x)
{
Date refDate = fittingMethod_.curve_.referenceDate();
DayCounter dc = fittingMethod_.curve_.dayCounter();
int n = fittingMethod_.curve_.bondHelpers_.Count;
Vector values = new Vector(n);
for (int i = 0; i < n; ++i)
{
BondHelper helper = fittingMethod_.curve_.bondHelpers_[i];
Bond bond = helper.bond();
Date bondSettlement = bond.settlementDate();
// CleanPrice_i = sum( cf_k * d(t_k) ) - accruedAmount
double modelPrice = 0.0;
List <CashFlow> cf = bond.cashflows();
for (int k = firstCashFlow_[i]; k < cf.Count; ++k)
{
double tenor = dc.yearFraction(refDate, cf[k].date());
modelPrice += cf[k].amount() * fittingMethod_.discountFunction(x, tenor);
}
if (helper.useCleanPrice())
{
modelPrice -= bond.accruedAmount(bondSettlement);
}
// adjust price (NPV) for forward settlement
if (bondSettlement != refDate)
{
double tenor = dc.yearFraction(refDate, bondSettlement);
modelPrice /= fittingMethod_.discountFunction(x, tenor);
}
double marketPrice = helper.quote().link.value();
double error = modelPrice - marketPrice;
double weightedError = fittingMethod_.weights_[i] * error;
values[i] = weightedError * weightedError;
}
return(values);
}
public AssetSwap(bool parAssetSwap,
Bond bond,
double bondCleanPrice,
double nonParRepayment,
double gearing,
IborIndex iborIndex,
double spread = 0.0,
DayCounter floatingDayCount = null,
Date dealMaturity = null,
bool payBondCoupon = false)
: base(2)
{
bond_ = bond;
bondCleanPrice_ = bondCleanPrice;
nonParRepayment_ = nonParRepayment;
spread_ = spread;
parSwap_ = parAssetSwap;
Schedule tempSch = new Schedule(bond_.settlementDate(),
bond_.maturityDate(),
iborIndex.tenor(),
iborIndex.fixingCalendar(),
iborIndex.businessDayConvention(),
iborIndex.businessDayConvention(),
DateGeneration.Rule.Backward,
false); // endOfMonth
if (dealMaturity == null)
{
dealMaturity = bond_.maturityDate();
}
Utils.QL_REQUIRE(dealMaturity <= tempSch.dates().Last(), () =>
"deal maturity " + dealMaturity +
" cannot be later than (adjusted) bond maturity " +
tempSch.dates().Last());
Utils.QL_REQUIRE(dealMaturity > tempSch.dates()[0], () =>
"deal maturity " + dealMaturity +
" must be later than swap start date " +
tempSch.dates()[0]);
// the following might become an input parameter
BusinessDayConvention paymentAdjustment = BusinessDayConvention.Following;
Date finalDate = tempSch.calendar().adjust(dealMaturity, paymentAdjustment);
Schedule schedule = tempSch.until(finalDate);
// bondCleanPrice must be the (forward) clean price
// at the floating schedule start date
upfrontDate_ = schedule.startDate();
double dirtyPrice = bondCleanPrice_ +
bond_.accruedAmount(upfrontDate_);
double notional = bond_.notional(upfrontDate_);
/* In the market asset swap, the bond is purchased in return for
* payment of the full price. The notional of the floating leg is
* then scaled by the full price. */
if (!parSwap_)
{
notional *= dirtyPrice / 100.0;
}
if (floatingDayCount == null)
{
legs_[1] = new IborLeg(schedule, iborIndex)
.withSpreads(spread)
.withGearings(gearing)
.withNotionals(notional)
.withPaymentAdjustment(paymentAdjustment);
}
else
{
legs_[1] = new IborLeg(schedule, iborIndex)
.withSpreads(spread)
.withGearings(gearing)
.withPaymentDayCounter(floatingDayCount)
.withNotionals(notional)
.withPaymentAdjustment(paymentAdjustment);
}
foreach (CashFlow c in legs_[1])
{
c.registerWith(update);
}
List <CashFlow> bondLeg = bond_.cashflows();
// skip bond redemption
int i;
for (i = 0; i < bondLeg.Count && bondLeg[i].date() <= dealMaturity; ++i)
{
// whatever might be the choice for the discounting engine
// bond flows on upfrontDate_ must be discarded
bool upfrontDateBondFlows = false;
if (!bondLeg[i].hasOccurred(upfrontDate_, upfrontDateBondFlows))
{
legs_[0].Add(bondLeg[i]);
}
}
// if the first skipped cashflow is not the redemption
// and it is a coupon then add the accrued coupon
if (i < bondLeg.Count - 1)
{
Coupon c = bondLeg[i] as Coupon;
if (c != null)
{
CashFlow accruedCoupon = new SimpleCashFlow(c.accruedAmount(dealMaturity), finalDate);
legs_[0].Add(accruedCoupon);
}
}
// add the nonParRepayment_
CashFlow nonParRepaymentFlow = new SimpleCashFlow(nonParRepayment_, finalDate);
legs_[0].Add(nonParRepaymentFlow);
Utils.QL_REQUIRE(!legs_[0].empty(), () => "empty bond leg to start with");
// special flows
if (parSwap_)
{
// upfront on the floating leg
double upfront = (dirtyPrice - 100.0) / 100.0 * notional;
CashFlow upfrontCashFlow = new SimpleCashFlow(upfront, upfrontDate_);
legs_[1].Insert(0, upfrontCashFlow);
// backpayment on the floating leg
// (accounts for non-par redemption, if any)
double backPayment = notional;
CashFlow backPaymentCashFlow = new SimpleCashFlow(backPayment, finalDate);
legs_[1].Add(backPaymentCashFlow);
}
else
{
// final notional exchange
CashFlow finalCashFlow = new SimpleCashFlow(notional, finalDate);
legs_[1].Add(finalCashFlow);
}
Utils.QL_REQUIRE(!legs_[0].empty(), () => "empty bond leg");
foreach (CashFlow c in legs_[0])
{
c.registerWith(update);
}
if (payBondCoupon)
{
payer_[0] = -1.0;
payer_[1] = +1.0;
}
else
{
payer_[0] = +1.0;
payer_[1] = -1.0;
}
}
public AssetSwap(bool payBondCoupon,
Bond bond,
double bondCleanPrice,
IborIndex iborIndex,
double spread,
Schedule floatSchedule = null,
DayCounter floatingDayCount = null,
bool parAssetSwap = true)
: base(2)
{
bond_ = bond;
bondCleanPrice_ = bondCleanPrice;
nonParRepayment_ = 100;
spread_ = spread;
parSwap_ = parAssetSwap;
Schedule schedule = floatSchedule;
if (floatSchedule == null)
{
schedule = new Schedule(bond_.settlementDate(),
bond_.maturityDate(),
iborIndex.tenor(),
iborIndex.fixingCalendar(),
iborIndex.businessDayConvention(),
iborIndex.businessDayConvention(),
DateGeneration.Rule.Backward,
false); // endOfMonth
}
// the following might become an input parameter
BusinessDayConvention paymentAdjustment = BusinessDayConvention.Following;
Date finalDate = schedule.calendar().adjust(schedule.endDate(), paymentAdjustment);
Date adjBondMaturityDate = schedule.calendar().adjust(bond_.maturityDate(), paymentAdjustment);
Utils.QL_REQUIRE(finalDate == adjBondMaturityDate, () =>
"adjusted schedule end date (" +
finalDate +
") must be equal to adjusted bond maturity date (" +
adjBondMaturityDate + ")");
// bondCleanPrice must be the (forward) clean price
// at the floating schedule start date
upfrontDate_ = schedule.startDate();
double dirtyPrice = bondCleanPrice_ +
bond_.accruedAmount(upfrontDate_);
double notional = bond_.notional(upfrontDate_);
/* In the market asset swap, the bond is purchased in return for
* payment of the full price. The notional of the floating leg is
* then scaled by the full price. */
if (!parSwap_)
{
notional *= dirtyPrice / 100.0;
}
if (floatingDayCount == null)
{
legs_[1] = new IborLeg(schedule, iborIndex)
.withSpreads(spread)
.withNotionals(notional)
.withPaymentAdjustment(paymentAdjustment);
}
else
{
legs_[1] = new IborLeg(schedule, iborIndex)
.withSpreads(spread)
.withPaymentDayCounter(floatingDayCount)
.withNotionals(notional)
.withPaymentAdjustment(paymentAdjustment);
}
foreach (CashFlow c in legs_[1])
{
c.registerWith(update);
}
List <CashFlow> bondLeg = bond_.cashflows();
foreach (CashFlow c in bondLeg)
{
// whatever might be the choice for the discounting engine
// bond flows on upfrontDate_ must be discarded
bool upfrontDateBondFlows = false;
if (!(c.hasOccurred(upfrontDate_, upfrontDateBondFlows)))
{
legs_[0].Add(c);
}
}
Utils.QL_REQUIRE(!legs_[0].empty(), () => "empty bond leg to start with");
// special flows
if (parSwap_)
{
// upfront on the floating leg
double upfront = (dirtyPrice - 100.0) / 100.0 * notional;
CashFlow upfrontCashFlow = new SimpleCashFlow(upfront, upfrontDate_);
legs_[1].Insert(0, upfrontCashFlow);
// backpayment on the floating leg
// (accounts for non-par redemption, if any)
double backPayment = notional;
CashFlow backPaymentCashFlow = new SimpleCashFlow(backPayment, finalDate);
legs_[1].Add(backPaymentCashFlow);
}
else
{
// final notional exchange
CashFlow finalCashFlow = new SimpleCashFlow(notional, finalDate);
legs_[1].Add(finalCashFlow);
}
Utils.QL_REQUIRE(!legs_[0].empty(), () => "empty bond leg");
foreach (CashFlow c in legs_[0])
{
c.registerWith(update);
}
if (payBondCoupon)
{
payer_[0] = -1.0;
payer_[1] = +1.0;
}
else
{
payer_[0] = +1.0;
payer_[1] = -1.0;
}
}