convertible zero-coupon bond More...
#include <ql/experimental/convertiblebonds/convertiblebond.hpp>
Public Member Functions | |
ConvertibleZeroCouponBond (const boost::shared_ptr< Exercise > &exercise, Real conversionRatio, const DividendSchedule ÷nds, const CallabilitySchedule &callability, const Handle< Quote > &creditSpread, const Date &issueDate, Natural settlementDays, const DayCounter &dayCounter, const Schedule &schedule, Real redemption=100) | |
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Real | conversionRatio () const |
const DividendSchedule & | dividends () const |
const CallabilitySchedule & | callability () const |
const Handle< Quote > & | creditSpread () const |
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Bond (Natural settlementDays, const Calendar &calendar, const Date &issueDate=Date(), const Leg &coupons=Leg()) | |
constructor for amortizing or non-amortizing bonds. | |
Bond (Natural settlementDays, const Calendar &calendar, Real faceAmount, const Date &maturityDate, const Date &issueDate=Date(), const Leg &cashflows=Leg()) | |
old constructor for non amortizing bonds. | |
virtual Rate | nextCouponRate (Date d=Date()) const |
Rate | previousCouponRate (Date d=Date()) const |
Previous coupon already paid at a given date. | |
Date | nextCashFlowDate (Date d=Date()) const |
Date | previousCashFlowDate (Date d=Date()) const |
bool | isExpired () const |
returns whether the instrument might have value greater than zero. | |
Natural | settlementDays () const |
const Calendar & | calendar () const |
const std::vector< Real > & | notionals () const |
virtual Real | notional (Date d=Date()) const |
const Leg & | cashflows () const |
const Leg & | redemptions () const |
const boost::shared_ptr < CashFlow > & | redemption () const |
Date | startDate () const |
Date | maturityDate () const |
Date | issueDate () const |
bool | isTradable (Date d=Date()) const |
Date | settlementDate (Date d=Date()) const |
Real | cleanPrice () const |
theoretical clean price | |
Real | dirtyPrice () const |
theoretical dirty price | |
Real | settlementValue () const |
theoretical settlement value | |
Rate | yield (const DayCounter &dc, Compounding comp, Frequency freq, Real accuracy=1.0e-8, Size maxEvaluations=100) const |
theoretical bond yield | |
Real | cleanPrice (Rate yield, const DayCounter &dc, Compounding comp, Frequency freq, Date settlementDate=Date()) const |
clean price given a yield and settlement date | |
Real | dirtyPrice (Rate yield, const DayCounter &dc, Compounding comp, Frequency freq, Date settlementDate=Date()) const |
dirty price given a yield and settlement date | |
Real | settlementValue (Real cleanPrice) const |
settlement value as a function of the clean price | |
Rate | yield (Real cleanPrice, const DayCounter &dc, Compounding comp, Frequency freq, Date settlementDate=Date(), Real accuracy=1.0e-8, Size maxEvaluations=100) const |
yield given a (clean) price and settlement date | |
virtual Real | accruedAmount (Date d=Date()) const |
accrued amount at a given date | |
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Real | NPV () const |
returns the net present value of the instrument. | |
Real | errorEstimate () const |
returns the error estimate on the NPV when available. | |
const Date & | valuationDate () const |
returns the date the net present value refers to. | |
template<typename T > | |
T | result (const std::string &tag) const |
returns any additional result returned by the pricing engine. | |
const std::map< std::string, boost::any > & | additionalResults () const |
returns all additional result returned by the pricing engine. | |
void | setPricingEngine (const boost::shared_ptr< PricingEngine > &) |
set the pricing engine to be used. | |
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void | update () |
void | recalculate () |
void | freeze () |
void | unfreeze () |
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Observable (const Observable &) | |
Observable & | operator= (const Observable &) |
void | notifyObservers () |
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Observer (const Observer &) | |
Observer & | operator= (const Observer &) |
std::pair< std::set < boost::shared_ptr < Observable > >::iterator, bool > | registerWith (const boost::shared_ptr< Observable > &) |
Size | unregisterWith (const boost::shared_ptr< Observable > &) |
void | unregisterWithAll () |
Additional Inherited Members | |
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ConvertibleBond (const boost::shared_ptr< Exercise > &exercise, Real conversionRatio, const DividendSchedule ÷nds, const CallabilitySchedule &callability, const Handle< Quote > &creditSpread, const Date &issueDate, Natural settlementDays, const Schedule &schedule, Real redemption) | |
void | performCalculations () const |
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Real | conversionRatio_ |
CallabilitySchedule | callability_ |
DividendSchedule | dividends_ |
Handle< Quote > | creditSpread_ |
boost::shared_ptr< option > | option_ |