CallableFixedRateBond::CallableFixedRateBond(
Natural settlementDays,
Real faceAmount,
const Schedule& schedule,
const std::vector<Rate>& coupons,
const DayCounter& accrualDayCounter,
BusinessDayConvention paymentConvention,
Real redemption,
const Date& issueDate,
const CallabilitySchedule& putCallSchedule)
: CallableBond(settlementDays, schedule, accrualDayCounter,
issueDate, putCallSchedule) {
frequency_ = schedule.tenor().frequency();
bool isZeroCouponBond = (coupons.size() == 1 && close(coupons[0], 0.0));
if (!isZeroCouponBond) {
cashflows_ =
FixedRateLeg(schedule)
.withNotionals(faceAmount)
.withCouponRates(coupons, accrualDayCounter)
.withPaymentAdjustment(paymentConvention);
addRedemptionsToCashflows(std::vector<Real>(1, redemption));
} else {
Date redemptionDate = calendar_.adjust(maturityDate_,
paymentConvention);
setSingleRedemption(faceAmount, redemption, redemptionDate);
}
// used for impliedVolatility() calculation
boost::shared_ptr<SimpleQuote> dummyVolQuote(new SimpleQuote(0.));
blackVolQuote_.linkTo(dummyVolQuote);
blackEngine_ = boost::shared_ptr<PricingEngine>(
new BlackCallableFixedRateBondEngine(blackVolQuote_,
blackDiscountCurve_));
}
AmortizingFixedRateBond::AmortizingFixedRateBond(
Natural settlementDays,
const std::vector<Real>& notionals,
const Schedule& schedule,
const std::vector<Rate>& coupons,
const DayCounter& accrualDayCounter,
BusinessDayConvention paymentConvention,
const Date& issueDate)
: Bond(settlementDays, schedule.calendar(), issueDate),
frequency_(schedule.tenor().frequency()),
dayCounter_(accrualDayCounter) {
maturityDate_ = schedule.endDate();
cashflows_ = FixedRateLeg(schedule)
.withNotionals(notionals)
.withCouponRates(coupons, accrualDayCounter)
.withPaymentAdjustment(paymentConvention);
addRedemptionsToCashflows();
QL_ENSURE(!cashflows().empty(), "bond with no cashflows!");
}