/usr/include/ql/pricingengines/bond/bondfunctions.hpp is in libquantlib0-dev 1.7.1-1.
This file is owned by root:root, with mode 0o644.
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/*
Copyright (C) 2007, 2008, 2009, 2010 Ferdinando Ametrano
Copyright (C) 2007 Chiara Fornarola
Copyright (C) 2009 StatPro Italia srl
Copyright (C) 2009 Nathan Abbott
This file is part of QuantLib, a free-software/open-source library
for financial quantitative analysts and developers - http://quantlib.org/
QuantLib is free software: you can redistribute it and/or modify it
under the terms of the QuantLib license. You should have received a
copy of the license along with this program; if not, please email
<quantlib-dev@lists.sf.net>. The license is also available online at
<http://quantlib.org/license.shtml>.
This program is distributed in the hope that it will be useful, but WITHOUT
ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
FOR A PARTICULAR PURPOSE. See the license for more details.
*/
/*! \file bondfunctions.hpp
\brief bond functions
*/
#ifndef quantlib_bond_functions_hpp
#define quantlib_bond_functions_hpp
#include <ql/cashflows/duration.hpp>
#include <ql/cashflow.hpp>
#include <ql/interestrate.hpp>
#include <boost/shared_ptr.hpp>
namespace QuantLib {
// forward declarations
class Bond;
class DayCounter;
class YieldTermStructure;
//! Bond adapters of CashFlows functions
/*! See CashFlows for functions' documentation.
These adapters calls into CashFlows functions passing as input the
Bond cashflows, the dirty price (i.e. npv) calculated from clean
price, the bond settlement date (unless another date is given), zero
ex-dividend days, and excluding any cashflow on the settlement date.
Prices are always clean, as per market convention.
*/
struct BondFunctions {
//! \name Date inspectors
//@{
static Date startDate(const Bond& bond);
static Date maturityDate(const Bond& bond);
static bool isTradable(const Bond& bond,
Date settlementDate = Date());
//@}
//! \name CashFlow inspectors
//@{
static Leg::const_reverse_iterator
previousCashFlow(const Bond& bond,
Date refDate = Date());
static Leg::const_iterator nextCashFlow(const Bond& bond,
Date refDate = Date());
static Date previousCashFlowDate(const Bond& bond,
Date refDate = Date());
static Date nextCashFlowDate(const Bond& bond,
Date refDate = Date());
static Real previousCashFlowAmount(const Bond& bond,
Date refDate = Date());
static Real nextCashFlowAmount(const Bond& bond,
Date refDate = Date());
//@}
//! \name Coupon inspectors
//@{
static Rate previousCouponRate(const Bond& bond,
Date settlementDate = Date());
static Rate nextCouponRate(const Bond& bond,
Date settlementDate = Date());
static Date accrualStartDate(const Bond& bond,
Date settlementDate = Date());
static Date accrualEndDate(const Bond& bond,
Date settlementDate = Date());
static Date referencePeriodStart(const Bond& bond,
Date settlementDate = Date());
static Date referencePeriodEnd(const Bond& bond,
Date settlementDate = Date());
static Time accrualPeriod(const Bond& bond,
Date settlementDate = Date());
static BigInteger accrualDays(const Bond& bond,
Date settlementDate = Date());
static Time accruedPeriod(const Bond& bond,
Date settlementDate = Date());
static BigInteger accruedDays(const Bond& bond,
Date settlementDate = Date());
static Real accruedAmount(const Bond& bond,
Date settlementDate = Date());
//@}
//! \name YieldTermStructure functions
//@{
static Real cleanPrice(const Bond& bond,
const YieldTermStructure& discountCurve,
Date settlementDate = Date());
static Real bps(const Bond& bond,
const YieldTermStructure& discountCurve,
Date settlementDate = Date());
static Rate atmRate(const Bond& bond,
const YieldTermStructure& discountCurve,
Date settlementDate = Date(),
Real cleanPrice = Null<Real>());
//@}
//! \name Yield (a.k.a. Internal Rate of Return, i.e. IRR) functions
//@{
static Real cleanPrice(const Bond& bond,
const InterestRate& yield,
Date settlementDate = Date());
static Real cleanPrice(const Bond& bond,
Rate yield,
const DayCounter& dayCounter,
Compounding compounding,
Frequency frequency,
Date settlementDate = Date());
static Real dirtyPrice(const Bond& bond,
const InterestRate& yield,
Date settlementDate = Date());
static Real dirtyPrice(const Bond& bond,
Rate yield,
const DayCounter& dayCounter,
Compounding compounding,
Frequency frequency,
Date settlementDate = Date());
static Real bps(const Bond& bond,
const InterestRate& yield,
Date settlementDate = Date());
static Real bps(const Bond& bond,
Rate yield,
const DayCounter& dayCounter,
Compounding compounding,
Frequency frequency,
Date settlementDate = Date());
static Rate yield(const Bond& bond,
Real cleanPrice,
const DayCounter& dayCounter,
Compounding compounding,
Frequency frequency,
Date settlementDate = Date(),
Real accuracy = 1.0e-10,
Size maxIterations = 100,
Rate guess = 0.05);
static Time duration(const Bond& bond,
const InterestRate& yield,
Duration::Type type = Duration::Modified,
Date settlementDate = Date() );
static Time duration(const Bond& bond,
Rate yield,
const DayCounter& dayCounter,
Compounding compounding,
Frequency frequency,
Duration::Type type = Duration::Modified,
Date settlementDate = Date() );
static Real convexity(const Bond& bond,
const InterestRate& yield,
Date settlementDate = Date());
static Real convexity(const Bond& bond,
Rate yield,
const DayCounter& dayCounter,
Compounding compounding,
Frequency frequency,
Date settlementDate = Date());
static Real basisPointValue(const Bond& bond,
const InterestRate& yield,
Date settlementDate = Date());
static Real basisPointValue(const Bond& bond,
Rate yield,
const DayCounter& dayCounter,
Compounding compounding,
Frequency frequency,
Date settlementDate = Date());
static Real yieldValueBasisPoint(const Bond& bond,
const InterestRate& yield,
Date settlementDate = Date());
static Real yieldValueBasisPoint(const Bond& bond,
Rate yield,
const DayCounter& dayCounter,
Compounding compounding,
Frequency frequency,
Date settlementDate = Date());
//@}
//! \name Z-spread functions
//@{
static Real cleanPrice(const Bond& bond,
const boost::shared_ptr<YieldTermStructure>& discount,
Spread zSpread,
const DayCounter& dayCounter,
Compounding compounding,
Frequency frequency,
Date settlementDate = Date());
static Spread zSpread(const Bond& bond,
Real cleanPrice,
const boost::shared_ptr<YieldTermStructure>&,
const DayCounter& dayCounter,
Compounding compounding,
Frequency frequency,
Date settlementDate = Date(),
Real accuracy = 1.0e-10,
Size maxIterations = 100,
Rate guess = 0.0);
//@}
};
}
#endif
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