org.jquantlib.instruments.bonds

Class FixedRateBond

java.lang.Object

org.jquantlib.util.LazyObject

org.jquantlib.instruments.Instrument

org.jquantlib.instruments.Bond

org.jquantlib.instruments.bonds.FixedRateBond

All Implemented Interfaces:

Observable, Observer

public class FixedRateBond
extends Bond

Fixed-rate bond

Nested Class Summary

Nested classes/interfaces inherited from class org.jquantlib.instruments.Bond

Bond.Arguments, Bond.ArgumentsImpl, Bond.Engine, Bond.EngineImpl, Bond.Results, Bond.ResultsImpl, Bond.YieldFinder

Constructor Summary

Constructors

Constructor and Description
FixedRateBond(int settlementDays, Calendar calendar, double faceAmount, Date startDate, Date maturityDate, Period tenor, double[] coupons, DayCounter accrualDayCounter)
FixedRateBond(int settlementDays, Calendar calendar, double faceAmount, Date startDate, Date maturityDate, Period tenor, double[] coupons, DayCounter accrualDayCounter, BusinessDayConvention accrualConvention)
FixedRateBond(int settlementDays, Calendar calendar, double faceAmount, Date startDate, Date maturityDate, Period tenor, double[] coupons, DayCounter accrualDayCounter, BusinessDayConvention accrualConvention, BusinessDayConvention paymentConvention) C'tor with default: redemption = 100.0, issueDate = new Date() stubDate = new Date() rule = DateGeneration.Rule.Backward, endOfMonth = false
FixedRateBond(int settlementDays, Calendar calendar, double faceAmount, Date startDate, Date maturityDate, Period tenor, double[] coupons, DayCounter accrualDayCounter, BusinessDayConvention accrualConvention, BusinessDayConvention paymentConvention, double redemption)
FixedRateBond(int settlementDays, Calendar calendar, double faceAmount, Date startDate, Date maturityDate, Period tenor, double[] coupons, DayCounter accrualDayCounter, BusinessDayConvention accrualConvention, BusinessDayConvention paymentConvention, double redemption, Date issueDate)
FixedRateBond(int settlementDays, Calendar calendar, double faceAmount, Date startDate, Date maturityDate, Period tenor, double[] coupons, DayCounter accrualDayCounter, BusinessDayConvention accrualConvention, BusinessDayConvention paymentConvention, double redemption, Date issueDate, Date stubDate)
FixedRateBond(int settlementDays, Calendar calendar, double faceAmount, Date startDate, Date maturityDate, Period tenor, double[] coupons, DayCounter accrualDayCounter, BusinessDayConvention accrualConvention, BusinessDayConvention paymentConvention, double redemption, Date issueDate, Date stubDate, DateGeneration.Rule rule)
FixedRateBond(int settlementDays, Calendar calendar, double faceAmount, Date startDate, Date maturityDate, Period tenor, double[] coupons, DayCounter accrualDayCounter, BusinessDayConvention accrualConvention, BusinessDayConvention paymentConvention, double redemption, Date issueDate, Date stubDate, DateGeneration.Rule rule, boolean endOfMonth)
FixedRateBond(int settlementDays, double faceAmount, Schedule schedule, double[] coupons, DayCounter accrualDayCounter) C'tor with default: paymentConvention = Following redemption = 100 issueDate = new Date()
FixedRateBond(int settlementDays, double faceAmount, Schedule schedule, double[] coupons, DayCounter accrualDayCounter, BusinessDayConvention paymentConvention) C'tor with default: redemption = 100 issueDate = new Date()
FixedRateBond(int settlementDays, double faceAmount, Schedule schedule, double[] coupons, DayCounter accrualDayCounter, BusinessDayConvention paymentConvention, double redemption) C'tor with default: issueDate = new Date()
FixedRateBond(int settlementDays, double faceAmount, Schedule schedule, double[] coupons, DayCounter accrualDayCounter, BusinessDayConvention paymentConvention, double redemption, Date issueDate)

Method Summary

Modifier and Type	Method and Description
DayCounter	dayCounter()
Frequency	frequency()

Methods inherited from class org.jquantlib.instruments.Bond

accruedAmount, accruedAmount, calendar, cashflows, cleanPrice, cleanPrice, cleanPrice, cleanPriceFromZSpread, cleanPriceFromZSpread, dirtyPrice, dirtyPrice, dirtyPrice, dirtyPriceFromYield, dirtyPriceFromZSpread, dirtyPriceFromZSpread, faceAmount, isExpired, issueDate, maturityDate, nextCoupon, nextCoupon, notional, notional, notionals, previousCoupon, previousCoupon, redemption, redemptions, settlementDate, settlementDate, settlementDays, settlementValue, settlementValue, yield, yield, yield, yield, yield, yield

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

FixedRateBond

public FixedRateBond(int settlementDays,
                     double faceAmount,
                     Schedule schedule,
                     double[] coupons,
                     DayCounter accrualDayCounter,
                     BusinessDayConvention paymentConvention,
                     double redemption,
                     Date issueDate)

Parameters:

settlementDays -

faceAmount -

schedule -

coupons -

accrualDayCounter -

paymentConvention - default: Following

redemption - default: 100

issueDate - default: new Date()

FixedRateBond

public FixedRateBond(int settlementDays,
                     double faceAmount,
                     Schedule schedule,
                     double[] coupons,
                     DayCounter accrualDayCounter,
                     BusinessDayConvention paymentConvention,
                     double redemption)

C'tor with default: issueDate = new Date()

FixedRateBond

public FixedRateBond(int settlementDays,
                     double faceAmount,
                     Schedule schedule,
                     double[] coupons,
                     DayCounter accrualDayCounter,
                     BusinessDayConvention paymentConvention)

C'tor with default: redemption = 100 issueDate = new Date()

FixedRateBond

public FixedRateBond(int settlementDays,
                     double faceAmount,
                     Schedule schedule,
                     double[] coupons,
                     DayCounter accrualDayCounter)

C'tor with default: paymentConvention = Following redemption = 100 issueDate = new Date()

FixedRateBond

public FixedRateBond(int settlementDays,
                     Calendar calendar,
                     double faceAmount,
                     Date startDate,
                     Date maturityDate,
                     Period tenor,
                     double[] coupons,
                     DayCounter accrualDayCounter,
                     BusinessDayConvention accrualConvention,
                     BusinessDayConvention paymentConvention,
                     double redemption,
                     Date issueDate,
                     Date stubDate,
                     DateGeneration.Rule rule,
                     boolean endOfMonth)

Parameters:

settlementDays -

calendar -

faceAmount -

startDate -

maturityDate -

tenor -

coupons -

accrualDayCounter -

accrualConvention - default: Following

paymentConvention - default: Following

redemption - default: 100

issueDate - default: Date()

stubDate - default: Date()

rule - default: Backward

endOfMonth - default: false

FixedRateBond

public FixedRateBond(int settlementDays,
                     Calendar calendar,
                     double faceAmount,
                     Date startDate,
                     Date maturityDate,
                     Period tenor,
                     double[] coupons,
                     DayCounter accrualDayCounter,
                     BusinessDayConvention accrualConvention,
                     BusinessDayConvention paymentConvention,
                     double redemption,
                     Date issueDate,
                     Date stubDate,
                     DateGeneration.Rule rule)

FixedRateBond

public FixedRateBond(int settlementDays,
                     Calendar calendar,
                     double faceAmount,
                     Date startDate,
                     Date maturityDate,
                     Period tenor,
                     double[] coupons,
                     DayCounter accrualDayCounter,
                     BusinessDayConvention accrualConvention,
                     BusinessDayConvention paymentConvention,
                     double redemption,
                     Date issueDate,
                     Date stubDate)

FixedRateBond

public FixedRateBond(int settlementDays,
                     Calendar calendar,
                     double faceAmount,
                     Date startDate,
                     Date maturityDate,
                     Period tenor,
                     double[] coupons,
                     DayCounter accrualDayCounter,
                     BusinessDayConvention accrualConvention,
                     BusinessDayConvention paymentConvention,
                     double redemption,
                     Date issueDate)

FixedRateBond

public FixedRateBond(int settlementDays,
                     Calendar calendar,
                     double faceAmount,
                     Date startDate,
                     Date maturityDate,
                     Period tenor,
                     double[] coupons,
                     DayCounter accrualDayCounter,
                     BusinessDayConvention accrualConvention,
                     BusinessDayConvention paymentConvention,
                     double redemption)

FixedRateBond

public FixedRateBond(int settlementDays,
                     Calendar calendar,
                     double faceAmount,
                     Date startDate,
                     Date maturityDate,
                     Period tenor,
                     double[] coupons,
                     DayCounter accrualDayCounter,
                     BusinessDayConvention accrualConvention,
                     BusinessDayConvention paymentConvention)

C'tor with default: redemption = 100.0, issueDate = new Date() stubDate = new Date() rule = DateGeneration.Rule.Backward, endOfMonth = false

FixedRateBond

public FixedRateBond(int settlementDays,
                     Calendar calendar,
                     double faceAmount,
                     Date startDate,
                     Date maturityDate,
                     Period tenor,
                     double[] coupons,
                     DayCounter accrualDayCounter,
                     BusinessDayConvention accrualConvention)

FixedRateBond

public FixedRateBond(int settlementDays,
                     Calendar calendar,
                     double faceAmount,
                     Date startDate,
                     Date maturityDate,
                     Period tenor,
                     double[] coupons,
                     DayCounter accrualDayCounter)

Method Detail

frequency

public Frequency frequency()

dayCounter

public DayCounter dayCounter()