convertible floating-rate bond More...
#include <ql/experimental/convertiblebonds/convertiblebond.hpp>
Inheritance diagram for ConvertibleFloatingRateBond:Public Member Functions | |
| ConvertibleFloatingRateBond (const boost::shared_ptr< Exercise > &exercise, Real conversionRatio, const DividendSchedule ÷nds, const CallabilitySchedule &callability, const Handle< Quote > &creditSpread, const Date &issueDate, Natural settlementDays, const boost::shared_ptr< IborIndex > &index, Natural fixingDays, const std::vector< Spread > &spreads, const DayCounter &dayCounter, const Schedule &schedule, Real redemption=100) | |
Public Member Functions inherited from ConvertibleBond | |
| Real | conversionRatio () const |
| const DividendSchedule & | dividends () const |
| const CallabilitySchedule & | callability () const |
| const Handle< Quote > & | creditSpread () const |
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 () |
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< std::set< boost::shared_ptr< Observable > >::iterator, bool > | registerWith (const boost::shared_ptr< Observable > &) |
| void | registerWithObservables (const boost::shared_ptr< Observer > &) |
| Size | unregisterWith (const boost::shared_ptr< Observable > &) |
| void | unregisterWithAll () |
Additional Inherited Members | |
Protected Member Functions inherited from ConvertibleBond | |
| ConvertibleBond (const boost::shared_ptr< Exercise > &exercise, Real conversionRatio, const DividendSchedule ÷nds, const CallabilitySchedule &callability, const Handle< Quote > &creditSpread, const Date &issueDate, Natural settlementDays, const Schedule &schedule, Real redemption) | |
| void | performCalculations () const |
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 |
Protected Member Functions inherited from LazyObject | |
Protected Attributes inherited from ConvertibleBond | |
| Real | conversionRatio_ |
| CallabilitySchedule | callability_ |
| DividendSchedule | dividends_ |
| Handle< Quote > | creditSpread_ |
| boost::shared_ptr< option > | option_ |
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_ |