Spread BondFunctions::zSpread(const Bond& bond,
Real cleanPrice,
const shared_ptr<YieldTermStructure>& d,
const DayCounter& dayCounter,
Compounding compounding,
Frequency frequency,
Date settlement,
Real accuracy,
Size maxIterations,
Rate guess) {
if (settlement == Date())
settlement = bond.settlementDate();
QL_REQUIRE(BondFunctions::isTradable(bond, settlement),
"non tradable at " << settlement <<
" (maturity being " << bond.maturityDate() << ")");
Real dirtyPrice = cleanPrice + bond.accruedAmount(settlement);
dirtyPrice /= 100.0 / bond.notional(settlement);
return CashFlows::zSpread(bond.cashflows(),
d,
dirtyPrice,
dayCounter, compounding, frequency,
false, settlement, settlement,
accuracy, maxIterations, guess);
}
BigInteger BondFunctions::accruedDays(const Bond& bond,
Date settlement) {
if (settlement == Date())
settlement = bond.settlementDate();
QL_REQUIRE(BondFunctions::isTradable(bond, settlement),
"non tradable at " << settlement <<
" (maturity being " << bond.maturityDate() << ")");
return CashFlows::accruedDays(bond.cashflows(),
false, settlement);
}
Date BondFunctions::referencePeriodEnd(const Bond& bond,
Date settlement) {
if (settlement == Date())
settlement = bond.settlementDate();
QL_REQUIRE(BondFunctions::isTradable(bond, settlement),
"non tradable at " << settlement <<
" (maturity being " << bond.maturityDate() << ")");
return CashFlows::referencePeriodEnd(bond.cashflows(),
false, settlement);
}
Real BondFunctions::yieldValueBasisPoint(const Bond& bond,
const InterestRate& yield,
Date settlement) {
if (settlement == Date())
settlement = bond.settlementDate();
QL_REQUIRE(BondFunctions::isTradable(bond, settlement),
"non tradable at " << settlement <<
" (maturity being " << bond.maturityDate() << ")");
return CashFlows::yieldValueBasisPoint(bond.cashflows(), yield,
false, settlement);
}
Real BondFunctions::accruedAmount(const Bond& bond,
Date settlement) {
if (settlement == Date())
settlement = bond.settlementDate();
QL_REQUIRE(BondFunctions::isTradable(bond, settlement),
"non tradable at " << settlement <<
" (maturity being " << bond.maturityDate() << ")");
return CashFlows::accruedAmount(bond.cashflows(),
false, settlement) *
100.0 / bond.notional(settlement);
}
Real BondFunctions::bps(const Bond& bond,
const YieldTermStructure& discountCurve,
Date settlement) {
if (settlement == Date())
settlement = bond.settlementDate();
QL_REQUIRE(BondFunctions::isTradable(bond, settlement),
"non tradable at " << settlement <<
" (maturity being " << bond.maturityDate() << ")");
return CashFlows::bps(bond.cashflows(), discountCurve,
false, settlement) *
100.0 / bond.notional(settlement);
}
Time BondFunctions::duration(const Bond& bond,
const InterestRate& yield,
Duration::Type type,
Date settlement) {
if (settlement == Date())
settlement = bond.settlementDate();
QL_REQUIRE(BondFunctions::isTradable(bond, settlement),
"non tradable at " << settlement <<
" (maturity being " << bond.maturityDate() << ")");
return CashFlows::duration(bond.cashflows(), yield,
type,
false, settlement);
}
Real BondFunctions::cleanPrice(const Bond& bond,
const InterestRate& yield,
Date settlement) {
if (settlement == Date())
settlement = bond.settlementDate();
QL_REQUIRE(BondFunctions::isTradable(bond, settlement),
"non tradable at " << settlement <<
" (maturity being " << bond.maturityDate() << ")");
Real dirtyPrice = CashFlows::npv(bond.cashflows(), yield,
false, settlement) *
100.0 / bond.notional(settlement);
return dirtyPrice - bond.accruedAmount(settlement);
}
Real BondFunctions::cleanPrice(const Bond& bond,
const YieldTermStructure& discountCurve,
Date settlement) {
if (settlement == Date())
settlement = bond.settlementDate();
QL_REQUIRE(BondFunctions::isTradable(bond, settlement),
"non tradable at " << settlement <<
" settlement date (maturity being " <<
bond.maturityDate() << ")");
Real dirtyPrice = CashFlows::npv(bond.cashflows(), discountCurve,
false, settlement) *
100.0 / bond.notional(settlement);
return dirtyPrice - bond.accruedAmount(settlement);
}
Rate BondFunctions::atmRate(const Bond& bond,
const YieldTermStructure& discountCurve,
Date settlement,
Real cleanPrice) {
if (settlement == Date())
settlement = bond.settlementDate();
QL_REQUIRE(BondFunctions::isTradable(bond, settlement),
"non tradable at " << settlement <<
" (maturity being " << bond.maturityDate() << ")");
Real dirtyPrice = cleanPrice==Null<Real>() ? Null<Real>() :
cleanPrice + bond.accruedAmount(settlement);
return CashFlows::atmRate(bond.cashflows(), discountCurve,
false, settlement, settlement,
dirtyPrice);
}
Real BondFunctions::cleanPrice(const Bond& bond,
const shared_ptr<YieldTermStructure>& d,
Spread zSpread,
const DayCounter& dc,
Compounding comp,
Frequency freq,
Date settlement) {
if (settlement == Date())
settlement = bond.settlementDate();
QL_REQUIRE(BondFunctions::isTradable(bond, settlement),
"non tradable at " << settlement <<
" (maturity being " << bond.maturityDate() << ")");
Real dirtyPrice = CashFlows::npv(bond.cashflows(), d,
zSpread, dc, comp, freq,
false, settlement) *
100.0 / bond.notional(settlement);
return dirtyPrice - bond.accruedAmount(settlement);
}
static Rate yield(Solver solver,
const Bond& bond,
Real cleanPrice,
const DayCounter& dayCounter,
Compounding compounding,
Frequency frequency,
Date settlementDate = Date(),
Real accuracy = 1.0e-10,
Rate guess = 0.05) {
if (settlementDate == Date())
settlementDate = bond.settlementDate();
QL_REQUIRE(BondFunctions::isTradable(bond, settlementDate),
"non tradable at " << settlementDate <<
" (maturity being " << bond.maturityDate() << ")");
Real dirtyPrice = cleanPrice + bond.accruedAmount(settlementDate);
dirtyPrice /= 100.0 / bond.notional(settlementDate);
return CashFlows::yield<Solver>(solver, bond.cashflows(),
dirtyPrice, dayCounter, compounding,
frequency, false, settlementDate,
settlementDate, accuracy, guess);
}
