### A free/open-source library for quantitative finance

Public Member Functions | Protected Member Functions | Protected Attributes
Bond Class Reference
Financial instruments

Base bond class. More...

`#include <ql/instruments/bond.hpp>`

Inheritance diagram for Bond:
[legend]

List of all members.

## Public Member Functions

| 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
Instrument interface
bool | isExpired () const
| returns whether the instrument might have value greater than zero.
Inspectors
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
Calculations
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

## Protected Member Functions

void | setupExpired () const
void | setupArguments (PricingEngine::arguments *) const
void | fetchResults (const PricingEngine::results *) const
void | addRedemptionsToCashflows (const std::vector< Real > &redemptions=std::vector< Real >())
void | setSingleRedemption (Real notional, Real redemption, const Date &date)
void | setSingleRedemption (Real notional, const boost::shared_ptr< CashFlow > &redemption)
void | calculateNotionalsFromCashflows ()

## Protected Attributes

Natural | settlementDays_
Calendar | calendar_
std::vector< Date > | notionalSchedule_
std::vector< Real > | notionals_
Leg | cashflows_
Leg | redemptions_
Date | maturityDate_
Date | issueDate_
Real | settlementValue_

## Detailed Description

Base bond class.

Derived classes must fill the uninitialized data members.

Warning:
  Most methods assume that the cash flows are stored sorted by date, the redemption(s) being after any cash flow at the same date. In particular, if there's one single redemption, it must be the last cash flow,

Tests:
  - price/yield calculations are cross-checked for consistency.
  - price/yield calculations are checked against known good values.

Examples:
  FittedBondCurve.cpp.

## Constructor & Destructor Documentation

Bond | ( | Natural | settlementDays,
|  | const Calendar & | calendar,
|  | const Date & | issueDate = `Date()`,
|  | const Leg & | coupons = `Leg()`
| ) |  |

constructor for amortizing or non-amortizing bonds.

Redemptions and maturity are calculated from the coupon data, if available. Therefore, redemptions must not be included in the passed cash flows.

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.

Warning:
  The last passed cash flow must be the bond redemption. No other cash flow can have a date later than the redemption date.

## Member Function Documentation

const Leg & cashflows | ( |  | ) | const

Note:
  returns all the cashflows, including the redemptions.

const Leg & redemptions | ( |  | ) | const

returns just the redemption flows (not interest payments)

const boost::shared_ptr<CashFlow>& redemption | ( |  | ) | const

returns the redemption, if only one is defined

Real cleanPrice | ( |  | ) | const

theoretical clean price

The default bond settlement is used for calculation.

Warning:
  the theoretical price calculated from a flat term structure might differ slightly from the price calculated from the corresponding yield by means of the other overload of this function. If the price from a constant yield is desired, it is advisable to use such other overload.

Real dirtyPrice | ( |  | ) | const

theoretical dirty price

The default bond settlement is used for calculation.

Warning:
  the theoretical price calculated from a flat term structure might differ slightly from the price calculated from the corresponding yield by means of the other overload of this function. If the price from a constant yield is desired, it is advisable to use such other overload.

Real settlementValue | ( |  | ) | const

theoretical settlement value

The default bond settlement date is used for calculation.

Rate yield | ( | const DayCounter & | dc,
|  | Compounding | comp,
|  | Frequency | freq,
|  | Real | accuracy = `1.0e-8`,
|  | Size | maxEvaluations = `100`
| ) |  | const

theoretical bond yield

The default bond settlement and theoretical price are used for calculation.

Real cleanPrice | ( | Rate | yield,
|  | const DayCounter & | dc,
|  | Compounding | comp,
|  | Frequency | freq,
|  | Date | settlementDate = `Date()`
| ) |  | const

clean price given a yield and settlement date

The default bond settlement is used if no date is given.

Real dirtyPrice | ( | Rate | yield,
|  | const DayCounter & | dc,
|  | Compounding | comp,
|  | Frequency | freq,
|  | Date | settlementDate = `Date()`
| ) |  | const

dirty price given a yield and settlement date

The default bond settlement is used if no date is given.

Real settlementValue | ( | Real | cleanPrice | ) | const

settlement value as a function of the clean price

The default bond settlement date is used for calculation.

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

The default bond settlement is used if no date is given.

virtual Real accruedAmount | ( | Date | d = `Date()` | ) | const`[virtual]`

accrued amount at a given date

The default bond settlement is used if no date is given.

virtual Rate nextCouponRate | ( | Date | d = `Date()` | ) | const`[virtual]`

Expected next coupon: depending on (the bond and) the given date the coupon can be historic, deterministic or expected in a stochastic sense. When the bond settlement date is used the coupon is the already-fixed not-yet-paid one.

The current bond settlement is used if no date is given.

Rate previousCouponRate | ( | Date | d = `Date()` | ) | const

Previous coupon already paid at a given date.

Expected previous coupon: depending on (the bond and) the given date the coupon can be historic, deterministic or expected in a stochastic sense. When the bond settlement date is used the coupon is the last paid one.

The current bond settlement is used if no date is given.

void setupExpired | ( |  | ) | const`[protected, virtual]`

This method must leave the instrument in a consistent state when the expiration condition is met.

Reimplemented from Instrument.

void setupArguments | ( | PricingEngine::arguments * |  | ) | const`[protected, virtual]`

When a derived argument structure is defined for an instrument, this method should be overridden to fill it. This is mandatory in case a pricing engine is used.

Reimplemented from Instrument.

Reimplemented in CallableFixedRateBond, and CallableBond.

void fetchResults | ( | const PricingEngine::results * | r | ) | const`[protected, virtual]`

When a derived result structure is defined for an instrument, this method should be overridden to read from it. This is mandatory in case a pricing engine is used.

Reimplemented from Instrument.

void addRedemptionsToCashflows | ( | const std::vector< Real > & | redemptions = `std::vector< Real >()` | ) | `[protected]`

This method can be called by derived classes in order to build redemption payments from the existing cash flows. It must be called after setting up the cashflows_ vector and will fill the notionalSchedule_, notionals_, and redemptions_ data members.

If given, the elements of the redemptions vector will multiply the amount of the redemption cash flow. The elements will be taken in base 100, i.e., a redemption equal to 100 does not modify the amount.

Precondition:
  The cashflows_ vector must contain at least one coupon and must be sorted by date.

void setSingleRedemption | ( | Real | notional,
|  | Real | redemption,
|  | const Date & | date
| ) |  | `[protected]`

This method can be called by derived classes in order to build a bond with a single redemption payment. It will fill the notionalSchedule_, notionals_, and redemptions_ data members.

void setSingleRedemption | ( | Real | notional,
|  | const boost::shared_ptr< CashFlow > & | redemption
| ) |  | `[protected]`

This method can be called by derived classes in order to build a bond with a single redemption payment. It will fill the notionalSchedule_, notionals_, and redemptions_ data members.

void calculateNotionalsFromCashflows | ( |  | ) | `[protected]`

used internally to collect notional information from the coupons. It should not be called by derived classes.