org.jquantlib.instruments

Class Bond

java.lang.Object

org.jquantlib.util.LazyObject

org.jquantlib.instruments.Instrument

org.jquantlib.instruments.Bond

All Implemented Interfaces:

Observable, Observer

Direct Known Subclasses:

CmsRateBond, ConvertibleBond, FixedRateBond, FloatingRateBond, ZeroCouponBond

public class Bond
extends Instrument

Base bond class Derived classes must fill the uninitialized data members. Warning: Most methods assume that the cash flows are stored sorted by date, the redemption(s) being after any cash flow at the same date. In particular, if there's one single redemption, it must be the last cash flow,

Nested Class Summary

Nested Classes

Modifier and Type	Class and Description
static interface	Bond.Arguments basic bond arguments
static class	Bond.ArgumentsImpl
static interface	Bond.Engine basic bond price engine
static class	Bond.EngineImpl The pricing engine for bonds
static interface	Bond.Results basic bond results
static class	Bond.ResultsImpl
static class	Bond.YieldFinder

Constructor Summary

Constructors

Constructor and Description
Bond(int settlementDays, Calendar calendar, double faceAmount, Date maturityDate, Date issueDate, Leg cashflows) Old constructor for non amortizing bonds.

Method Summary

Modifier and Type	Method and Description
double	accruedAmount() Accrued amount at a given date /* The default bond settlement is used if no date is given.
double	accruedAmount(Date settlement)
Calendar	calendar()
Leg	cashflows()
double	cleanPrice() Theoretical clean price.
double	cleanPrice(double yield, DayCounter dc, Compounding comp, Frequency freq)
double	cleanPrice(double yield, DayCounter dc, Compounding comp, Frequency freq, Date settlementDate) Clean price given a yield and settlement date The default bond settlement is used if no date is given.
double	cleanPriceFromZSpread(double zSpread, DayCounter dc, Compounding comp, Frequency freq)
double	cleanPriceFromZSpread(double zSpread, DayCounter dc, Compounding comp, Frequency freq, Date settlementDate) Clean price given Z-spread Z-spread compounding, frequency, daycount are taken into account The default bond settlement is used if no date is given.
double	dirtyPrice() Theoretical dirty price.
double	dirtyPrice(double yield, DayCounter dc, Compounding comp, Frequency freq) see dirtyPrice() Default null settlement date is used.
double	dirtyPrice(double yield, DayCounter dc, Compounding comp, Frequency freq, Date settlementDate) Dirty price given a yield and settlement date The default bond settlement is used if no date is given.
static double	dirtyPriceFromYield(double faceAmount, Leg cashflows, double yield, DayCounter dayCounter, Compounding compounding, Frequency frequency, Date settlement)
double	dirtyPriceFromZSpread(double zSpread, DayCounter dc, Compounding comp, Frequency freq)
double	dirtyPriceFromZSpread(double zSpread, DayCounter dc, Compounding comp, Frequency freq, Date settlement) Dirty price given Z-spread Z-spread compounding, frequency, daycount are taken into account The default bond settlement is used if no date is given.
double	faceAmount()
boolean	isExpired()
Date	issueDate()
Date	maturityDate()
double	nextCoupon()
double	nextCoupon(Date settlement) Expected next coupon: depending on (the bond and) the given date the coupon can be historic, deterministic or expected in a stochastic sense.
double	notional() Note: new Date() as default argument.
double	notional(Date date)
java.util.List<java.lang.Double>	notionals()
double	previousCoupon()
double	previousCoupon(Date settlement) Previous coupon already paid at a given date /* Expected previous coupon: depending on (the bond and) the given date the coupon can be historic, deterministic or expected in a stochastic sense.
CashFlow	redemption()
Leg	redemptions()
Date	settlementDate()
Date	settlementDate(Date date)
int	settlementDays()
double	settlementValue() Theoretical settlement value.
double	settlementValue(double cleanPrice) Settlement value as a function of the clean price.The default bond settlement date is used for calculation.
double	yield(DayCounter dc, Compounding comp, Frequency freq)
double	yield(DayCounter dc, Compounding comp, Frequency freq, double accuracy, int maxEvaluations) Theoretical bond yield /* The default bond settlement and theoretical price are used for calculation.
double	yield(double cleanPrice, DayCounter dc, Compounding comp, Frequency freq)
double	yield(double cleanPrice, DayCounter dc, Compounding comp, Frequency freq, Date settlementDate)
double	yield(double cleanPrice, DayCounter dc, Compounding comp, Frequency freq, Date settlementDate, double accuracy)
double	yield(double cleanPrice, DayCounter dc, Compounding comp, Frequency freq, Date settlementDate, double accuracy, int maxEvaluations) Yield given a (clean) price and settlement date The default bond settlement is used if no date is given.

Methods inherited from class org.jquantlib.instruments.Instrument

errorEstimate, NPV, setPricingEngine

Methods inherited from class org.jquantlib.util.LazyObject

addObserver, countObservers, deleteObserver, deleteObservers, freeze, getObservers, notifyObservers, notifyObservers, recalculate, unfreeze, update

Methods inherited from class java.lang.Object

equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Detail

Bond

public Bond(int settlementDays,
            Calendar calendar,
            double faceAmount,
            Date maturityDate,
            Date issueDate,
            Leg cashflows)

Old constructor for non amortizing bonds. /* Warning: The last passed cash flow must be the bond redemption. No other cash flow can have a date later than the redemption date.

Parameters:

settlementDays -

calendar -

faceAmount -

maturityDate -

issueDate -

cashflows -

Method Detail

settlementDays

public int settlementDays()

calendar

public Calendar calendar()

faceAmount

public double faceAmount()

notionals

public java.util.List<java.lang.Double> notionals()

cashflows

public Leg cashflows()

redemptions

public Leg redemptions()

maturityDate

public Date maturityDate()

issueDate

public Date issueDate()

notional

public double notional()

Note: new Date() as default argument.

notional

public double notional(Date date)

redemption

public CashFlow redemption()

settlementDate

public Date settlementDate()

settlementDate

public Date settlementDate(Date date)

cleanPrice

public double cleanPrice()

Theoretical clean price. The default bond settlement is used for calculation. Warning: the theoretical price calculated from a flat term structure might differ slightly from the price calculated from the corresponding yield by means of the other overload of this function. If the price from a constant yield is desired, it is advisable to use such other overload.

Returns:

The clean price of this bond.

dirtyPrice

public double dirtyPrice()

Theoretical dirty price. The default bond settlement is used for calculation. Warning: the theoretical price calculated from a flat term structure might differ slightly from the price calculated from the corresponding yield by means of the other overload of this function. If the price from a constant yield is desired, it is advisable to use such other overload.

Returns:

The dirty price of this bond.

settlementValue

public double settlementValue()

Theoretical settlement value. The default bond settlement date is used for calculation.

Returns:

The theoretical settlement value.

settlementValue

public double settlementValue(double cleanPrice)

Settlement value as a function of the clean price.The default bond settlement date is used for calculation.

Parameters:

cleanPrice -

Returns:

settlementValue

yield

public double yield(DayCounter dc,
                    Compounding comp,
                    Frequency freq,
                    double accuracy,
                    int maxEvaluations)

Theoretical bond yield /* The default bond settlement and theoretical price are used for calculation.

Parameters:

dc -

comp -

freq -

yield

public double yield(DayCounter dc,
                    Compounding comp,
                    Frequency freq)

cleanPrice

public double cleanPrice(double yield,
                         DayCounter dc,
                         Compounding comp,
                         Frequency freq,
                         Date settlementDate)

Clean price given a yield and settlement date The default bond settlement is used if no date is given.

Parameters:

yield -

dc -

comp -

freq -

settlementDate -

Returns:

clean price

cleanPrice

public double cleanPrice(double yield,
                         DayCounter dc,
                         Compounding comp,
                         Frequency freq)

dirtyPrice

public double dirtyPrice(double yield,
                         DayCounter dc,
                         Compounding comp,
                         Frequency freq,
                         Date settlementDate)

Dirty price given a yield and settlement date The default bond settlement is used if no date is given.

Parameters:

yield -

dc -

comp -

freq -

settlementDate -

Returns:

dirty price

dirtyPrice

public double dirtyPrice(double yield,
                         DayCounter dc,
                         Compounding comp,
                         Frequency freq)

see dirtyPrice() Default null settlement date is used.

Parameters:

yield -

dc -

comp -

freq -

Returns:

dirty price

yield

public double yield(double cleanPrice,
                    DayCounter dc,
                    Compounding comp,
                    Frequency freq,
                    Date settlementDate,
                    double accuracy,
                    int maxEvaluations)

Yield given a (clean) price and settlement date The default bond settlement is used if no date is given.

Parameters:

cleanPrice -

dc -

comp -

freq -

settlementDate -

accuracy -

maxEvaluations -

Returns:

yield

public double yield(double cleanPrice,
                    DayCounter dc,
                    Compounding comp,
                    Frequency freq)

Parameters:

cleanPrice -

dc -

comp -

freq -

Returns:

See Also:

using settlementDate = today, accuracy = 1.0e-8 and maxEvaluation = 100.

yield

public double yield(double cleanPrice,
                    DayCounter dc,
                    Compounding comp,
                    Frequency freq,
                    Date settlementDate)

Parameters:

cleanPrice -

dc -

comp -

freq -

settlementDate -

Returns:

See Also:

using accuracy = 1.0e-8 and maxEvaluation = 100.

yield

public double yield(double cleanPrice,
                    DayCounter dc,
                    Compounding comp,
                    Frequency freq,
                    Date settlementDate,
                    double accuracy)

Parameters:

cleanPrice -

dc -

comp -

freq -

settlementDate -

accuracy -

Returns:

See Also:

using maxEvaluation = 100.

cleanPriceFromZSpread

public double cleanPriceFromZSpread(double zSpread,
                                    DayCounter dc,
                                    Compounding comp,
                                    Frequency freq,
                                    Date settlementDate)

Clean price given Z-spread Z-spread compounding, frequency, daycount are taken into account The default bond settlement is used if no date is given. For details on Z-spread refer to: "Credit Spreads Explained", Lehman Brothers European Fixed Income Research - March 2004, D. O'Kane

Parameters:

zSpread -

dc -

comp -

freq -

settlementDate -

Returns:

cleanPriceFromZSpread

public double cleanPriceFromZSpread(double zSpread,
                                    DayCounter dc,
                                    Compounding comp,
                                    Frequency freq)

Parameters:

zSpread -

dc -

comp -

freq -

Returns:

See Also:

using default(null) settlement date.

dirtyPriceFromZSpread

public double dirtyPriceFromZSpread(double zSpread,
                                    DayCounter dc,
                                    Compounding comp,
                                    Frequency freq,
                                    Date settlement)

Dirty price given Z-spread Z-spread compounding, frequency, daycount are taken into account The default bond settlement is used if no date is given. For details on Z-spread refer to: "Credit Spreads Explained", Lehman Brothers European Fixed Income Research - March 2004, D. O'Kane

Parameters:

zSpread -

dc -

comp -

freq -

settlementDate -

Returns:

dirtyPriceFromZSpread

public double dirtyPriceFromZSpread(double zSpread,
                                    DayCounter dc,
                                    Compounding comp,
                                    Frequency freq)

Parameters:

zSpread -

dc -

comp -

freq -

Returns:

See Also:

using today's date as settlement date.

accruedAmount

public double accruedAmount()

Accrued amount at a given date /* The default bond settlement is used if no date is given.

Returns:

The accrued amount. double

accruedAmount

public double accruedAmount(Date settlement)

isExpired

public boolean isExpired()

Specified by:

isExpired in class Instrument

Returns:

true if the instrument is still tradeable.

nextCoupon

public double nextCoupon(Date settlement)

Expected next coupon: depending on (the bond and) the given date the coupon can be historic, deterministic or expected in a stochastic sense. When the bond settlement date is used the coupon is the already-fixed not-yet-paid one. The current bond settlement is used if no date is given.

Returns:

nextCoupon

public double nextCoupon()

previousCoupon

public double previousCoupon(Date settlement)

Previous coupon already paid at a given date /* Expected previous coupon: depending on (the bond and) the given date the coupon can be historic, deterministic or expected in a stochastic sense. When the bond settlement date is used the coupon is the last paid one. The current bond settlement is used if no date is given.

Returns:

previousCoupon

public double previousCoupon()

dirtyPriceFromYield

public static double dirtyPriceFromYield(double faceAmount,
                                         Leg cashflows,
                                         double yield,
                                         DayCounter dayCounter,
                                         Compounding compounding,
                                         Frequency frequency,
                                         Date settlement)