callable/puttable zero coupon bond More...
#include <ql/experimental/callablebonds/callablebond.hpp>
 Inheritance diagram for CallableZeroCouponBond:
 Inheritance diagram for CallableZeroCouponBond:| Public Member Functions | |
| CallableZeroCouponBond (Natural settlementDays, Real faceAmount, const Calendar &calendar, const Date &maturityDate, const DayCounter &dayCounter, BusinessDayConvention paymentConvention=Following, Real redemption=100.0, const Date &issueDate=Date(), const CallabilitySchedule &putCallSchedule=CallabilitySchedule()) | |
|  Public Member Functions inherited from CallableFixedRateBond | |
| CallableFixedRateBond (Natural settlementDays, Real faceAmount, const Schedule &schedule, const std::vector< Rate > &coupons, const DayCounter &accrualDayCounter, BusinessDayConvention paymentConvention=Following, Real redemption=100.0, const Date &issueDate=Date(), const CallabilitySchedule &putCallSchedule=CallabilitySchedule()) | |
| virtual void | setupArguments (PricingEngine::arguments *args) const | 
|  Public Member Functions inherited from CallableBond | |
| const CallabilitySchedule & | callability () const | 
| return the bond's put/call schedule | |
| Volatility | impliedVolatility (Real targetValue, const Handle< YieldTermStructure > &discountCurve, Real accuracy, Size maxEvaluations, Volatility minVol, Volatility maxVol) const | 
| returns the Black implied forward yield volatility  More... | |
| Spread | OAS (Real cleanPrice, const Handle< YieldTermStructure > &engineTS, const DayCounter &dayCounter, Compounding compounding, Frequency frequency, Date settlementDate=Date(), Real accuracy=1.0e-10, Size maxIterations=100, Rate guess=0.0) | 
| Calculate the Option Adjusted Spread (OAS)  More... | |
| Real | cleanPriceOAS (Real oas, const Handle< YieldTermStructure > &engineTS, const DayCounter &dayCounter, Compounding compounding, Frequency frequency, Date settlementDate=Date()) | 
| Real | effectiveDuration (Real oas, const Handle< YieldTermStructure > &engineTS, const DayCounter &dayCounter, Compounding compounding, Frequency frequency, Real bump=2e-4) | 
| Real | effectiveConvexity (Real oas, const Handle< YieldTermStructure > &engineTS, const DayCounter &dayCounter, Compounding compounding, Frequency frequency, Real bump=2e-4) | 
|  Public Member Functions inherited from Bond | |
| Bond (Natural settlementDays, const Calendar &calendar, const Date &issueDate=Date(), const Leg &coupons=Leg()) | |
| constructor for amortizing or non-amortizing bonds.  More... | |
| 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.  More... | |
| virtual Rate | nextCouponRate (Date d=Date()) const | 
| Rate | previousCouponRate (Date d=Date()) const | 
| Previous coupon already paid at a given date.  More... | |
| 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  More... | |
| Real | dirtyPrice () const | 
| theoretical dirty price  More... | |
| Real | settlementValue () const | 
| theoretical settlement value  More... | |
| Rate | yield (const DayCounter &dc, Compounding comp, Frequency freq, Real accuracy=1.0e-8, Size maxEvaluations=100) const | 
| theoretical bond yield  More... | |
| Real | cleanPrice (Rate yield, const DayCounter &dc, Compounding comp, Frequency freq, Date settlementDate=Date()) const | 
| clean price given a yield and settlement date  More... | |
| Real | dirtyPrice (Rate yield, const DayCounter &dc, Compounding comp, Frequency freq, Date settlementDate=Date()) const | 
| dirty price given a yield and settlement date  More... | |
| Real | settlementValue (Real cleanPrice) const | 
| settlement value as a function of the clean price  More... | |
| 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  More... | |
| virtual Real | accruedAmount (Date d=Date()) const | 
| accrued amount at a given date  More... | |
|  Public Member Functions inherited from Instrument | |
| 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.  More... | |
|  Public Member Functions inherited from LazyObject | |
| void | update () | 
| void | recalculate () | 
| void | freeze () | 
| void | unfreeze () | 
| void | alwaysForwardNotifications () | 
|  Public Member Functions inherited from Observable | |
| Observable (const Observable &) | |
| Observable & | operator= (const Observable &) | 
| void | notifyObservers () | 
|  Public Member Functions inherited from Observer | |
| Observer (const Observer &) | |
| Observer & | operator= (const Observer &) | 
| std::pair< iterator, bool > | registerWith (const boost::shared_ptr< Observable > &) | 
| void | registerWithObservables (const boost::shared_ptr< Observer > &) | 
| Size | unregisterWith (const boost::shared_ptr< Observable > &) | 
| void | unregisterWithAll () | 
| virtual void | deepUpdate () | 
| Additional Inherited Members | |
|  Public Types inherited from Observer | |
| typedef std::set< boost::shared_ptr< Observable > > | set_type | 
| typedef set_type::iterator | iterator | 
|  Protected Member Functions inherited from CallableBond | |
| CallableBond (Natural settlementDays, const Schedule &schedule, const DayCounter &paymentDayCounter, const Date &issueDate=Date(), const CallabilitySchedule &putCallSchedule=CallabilitySchedule()) | |
|  Protected Member Functions inherited from Bond | |
| 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 Member Functions inherited from Instrument | |
| void | calculate () const | 
| virtual void | performCalculations () const | 
|  Protected Member Functions inherited from LazyObject | |
|  Protected Attributes inherited from CallableBond | |
| DayCounter | paymentDayCounter_ | 
| Frequency | frequency_ | 
| CallabilitySchedule | putCallSchedule_ | 
| boost::shared_ptr< PricingEngine > | blackEngine_ | 
| must be set by derived classes for impliedVolatility() to work | |
| RelinkableHandle< Quote > | blackVolQuote_ | 
| Black fwd yield volatility quote handle to internal blackEngine_. | |
| RelinkableHandle< YieldTermStructure > | blackDiscountCurve_ | 
| Black fwd yield volatility quote handle to internal blackEngine_. | |
|  Protected Attributes inherited from Bond | |
| Natural | settlementDays_ | 
| Calendar | calendar_ | 
| std::vector< Date > | notionalSchedule_ | 
| std::vector< Real > | notionals_ | 
| Leg | cashflows_ | 
| Leg | redemptions_ | 
| Date | maturityDate_ | 
| Date | issueDate_ | 
| Real | settlementValue_ | 
|  Protected Attributes inherited from Instrument | |
| boost::shared_ptr< PricingEngine > | engine_ | 
| Real | NPV_ | 
| Real | errorEstimate_ | 
| Date | valuationDate_ | 
| std::map< std::string, boost::any > | additionalResults_ | 
|  Protected Attributes inherited from LazyObject | |
| bool | calculated_ | 
| bool | frozen_ | 
| bool | alwaysForward_ | 
callable/puttable zero coupon bond
Callable zero coupon bond class.