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RE: [Quantlib-users] Bonds Helper class...
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From: <Jef...@ub...> - 2005-08-09 18:57:38
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The dated date is accrual starting date. Not all the bonds start =
accrual interest at issue date, dated date can be before the issue date.
In order to get the correct coupon payment, dated date is used to =
determine the coupon at coupon payment date.
Hope this helps.
-----Original Message-----
From: qua...@li... =
[mailto:qua...@li...] On Behalf Of Toyin =
Akin
Sent: Tuesday, August 02, 2005 11:24 AM
To: qua...@li...
Subject: [Quantlib-users] Bonds Helper class...
Hi guys,
What do you guys think of this first implementation of a Bonds Helper =
class=20
in order to strip a bonds curve.
(Deposits+Futures+Bonds)
I'm not too sure whether both the issueDate and datedDate are needed.
What exactly is the dated date?
Header file :
#########################################################################=
####################
#ifndef quantlib_bondhelper_hpp
#define quantlib_bondhelper_hpp
#include <ql/Instruments/FixedCouponBond.hpp>
#include <ql/TermStructures/ratehelpers.hpp>
namespace QuantLib
{
class BondHelper : public RateHelper
{
public:
BondHelper(const Handle<Quote>& Price,
const Date& issueDate,
const Date& datedDate,
const Date& maturityDate,
Integer settlementDays,
const std::vector<Rate>& coupons,
Frequency couponFrequency,
const DayCounter& dayCounter,
const Calendar& calendar,
BusinessDayConvention convention =3D Following,
Real redemption =3D 100.0,
const Date& stub =3D Date(),
bool fromEnd =3D true);
Real impliedQuote() const;
// implementing discountGuess() is not worthwhile,
// and may not avoid the root-finding process
Date latestDate() const;
void setTermStructure(YieldTermStructure*);
protected:
Integer settlementDays_;
Calendar calendar_;
BusinessDayConvention businessDayConvention_;
DayCounter dayCount_;
Date stub_;
bool fromEnd_;
std::vector<Rate> coupons_;
Date issueDate_, datedDate_, maturityDate_;
Frequency frequency_;
Real redemption_;
Date settlement_, latestDate_;
boost::shared_ptr<FixedCouponBond> bond_;
Handle<YieldTermStructure> termStructureHandle_;
};
}
#endif
#########################################################################=
####################
cpp file :
#########################################################################=
####################
#include <ql/TermStructures/BondHelper.hpp>
namespace QuantLib
{
namespace
{
void no_deletion(YieldTermStructure*) {}
}
BondHelper::BondHelper(const Handle<Quote>& Price,
const Date& issueDate,
const Date& datedDate,
const Date& maturityDate,
Integer settlementDays,
const std::vector<Rate>& coupons,
Frequency couponFrequency,
const DayCounter& dayCounter,
const Calendar& calendar,
BusinessDayConvention convention,
Real redemption,
const Date& stub, bool fromEnd)
: RateHelper(Price)
{
coupons_ =3D coupons;
settlementDays_ =3D settlementDays;
businessDayConvention_ =3D convention;
calendar_ =3D calendar;
dayCount_ =3D dayCounter;
stub_ =3D stub;
fromEnd_ =3D fromEnd;
issueDate_ =3D issueDate;
datedDate_ =3D datedDate;
maturityDate_ =3D maturityDate;
frequency_ =3D couponFrequency;
redemption_ =3D redemption;
registerWith(Settings::instance().evaluationDate());
}
void BondHelper::setTermStructure(YieldTermStructure* t)
{
// do not set the relinkable handle as an observer -
// force recalculation when needed
termStructureHandle_.linkTo(
=20
boost::shared_ptr<YieldTermStructure>(t,no_deletion),
false);
RateHelper::setTermStructure(t);
Date today =3D Settings::instance().evaluationDate();
settlement_ =3D calendar_.advance(today,settlementDays_,Days);
bond_ =3D boost::shared_ptr<FixedCouponBond>(
new FixedCouponBond(issueDate_, datedDate_,=20
maturityDate_,
settlementDays_, coupons_,
frequency_, dayCount_, calendar_,=20
businessDayConvention_,
redemption_, termStructureHandle_,
stub_, fromEnd_));
latestDate_ =3D maturityDate_;
}
Date BondHelper::latestDate() const
{
QL_REQUIRE(termStructure_ !=3D 0, "null term structure set");
return latestDate_;
}
Real BondHelper::impliedQuote() const
{
QL_REQUIRE(termStructure_ !=3D 0, "term structure not set");
// we didn't register as observers - force calculation
bond_->recalculate();
return bond_->NPV();
}
}
#########################################################################=
####################
If you find it useful, can you merge this into the Quantlib source?
Best Regards,
Toy out.
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