[Quantlib-dev] callable bonds

[Allen K. <all...@ya...>]

Hi:
   
  I'm trying to build a callable bond class and was wondering what a QL preferred design would be. Two possibilities are below. I liked the economy of the first method but the ConvertibleBond class is designed the second way, so was not sure how to proceed.
  
Thanks,
  Allen
   
  
(1) 
  class CallableBond : public Bond {
 public:
     CallableBond(const boost::shared_ptr<Bond> bond&
                      const boost::shared_ptr<PricingEngine>& engine,
                      const CallabilitySchedule& callability,
                      );
   etc.
 }
   
  i.e. first need to construct a FixedCouponBond, FloatingRateBond or ZeroCouponBond and then pass it in to the CallableBond constructor (which then implicitly defines the callable bond). Theoretically, a ConvertibleBond could also be passed into the constructor to make it callable, though some equity/interest rate correlations would have to be handled/modeled within it.
   
  (2) 
  Analogous to the ConvertibleBond class, we would have three explicit constructors for
each of three types of bonds ( CallableZeroCouponBond , CallableFloatingRateBond , 
CallableFixedCouponBond ). Doing it this way, in the future though, we might need three more constructors for convertible bonds: CallableConvertibleFloatingRateBond,  
CallableConvertibleFixedCouponBond, CallableConvertibleZeroCouponBond.
   
  Example below, analogous to ConvertibleBond class:
  
class CallableBond : public Bond {
 public:
     CallableBond( .... ); 
}
  
class CallableZeroCouponBond : public CallableBond {
 public:
     CallableZeroCouponBond( .... ); 
}
  
class CallableFloatingRateBond : public CallableBond {
 public:
     CallableFloatingRateBond( .... );
}
  
class CallableFixedCouponBond : public CallableBond {
 public:
     CallableFixedCouponBond( .... ); 
}


 			
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