org.jquantlib.termstructures.yieldcurves

Class FixedRateBondHelper

java.lang.Object

org.jquantlib.termstructures.BootstrapHelper<YieldTermStructure>

org.jquantlib.termstructures.RateHelper

org.jquantlib.termstructures.yieldcurves.FixedRateBondHelper

All Implemented Interfaces:

Observable, Observer, PolymorphicVisitable

public class FixedRateBondHelper
extends RateHelper

Fixed-coupon bond helper

WARNING: This class assumes that the reference date does not change between calls of setTermStructure()

Constructor Summary

Constructors

Constructor and Description
FixedRateBondHelper(Handle<Quote> cleanPrice, FixedRateBond bond) {@literal WARNING: Setting a pricing engine to the passed bond from external code will cause the bootstrap to fail or to give wrong results.
FixedRateBondHelper(Handle<Quote> cleanPrice, int settlementDays, double faceAmount, Schedule schedule, double[] coupons, DayCounter dayCounter)
FixedRateBondHelper(Handle<Quote> cleanPrice, int settlementDays, double faceAmount, Schedule schedule, double[] coupons, DayCounter dayCounter, BusinessDayConvention paymentConvention, double redemption, Date issueDate)

Method Summary

Modifier and Type	Method and Description
void	accept(PolymorphicVisitor pv) This method is intended to extend the semantics of method Visitable.accept(Visitor)
FixedRateBond	bond()
double	impliedQuote()
void	setTermStructure(YieldTermStructure t)

Methods inherited from class org.jquantlib.termstructures.BootstrapHelper

addObserver, countObservers, deleteObserver, deleteObservers, earliestDate, getObservers, latestDate, notifyObservers, notifyObservers, quoteError, quoteIsValid, update

Methods inherited from class java.lang.Object

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

Constructor Detail

FixedRateBondHelper

public FixedRateBondHelper(Handle<Quote> cleanPrice,
                           int settlementDays,
                           double faceAmount,
                           Schedule schedule,
                           double[] coupons,
                           DayCounter dayCounter)

Parameters:

cleanPrice -

settlementDays -

faceAmount -

schedule -

coupons -

dayCounter -

paymentConvention: - default value = BusinessDayConvention.Following

redemption: - default value = 100

issueDate: - default: new Date()

FixedRateBondHelper

public FixedRateBondHelper(Handle<Quote> cleanPrice,
                           int settlementDays,
                           double faceAmount,
                           Schedule schedule,
                           double[] coupons,
                           DayCounter dayCounter,
                           BusinessDayConvention paymentConvention,
                           double redemption,
                           Date issueDate)

Parameters:

cleanPrice -

settlementDays -

faceAmount -

schedule -

coupons -

dayCounter -

paymentConvention -

redemption -

issueDate -

FixedRateBondHelper

public FixedRateBondHelper(Handle<Quote> cleanPrice,
                           FixedRateBond bond)

WARNING: Setting a pricing engine to the passed bond from external code will cause the bootstrap to fail or to give wrong results. It is advised to discard the bond after creating the helper, so that the helper has sole ownership of it.

Parameters:

cleanPrice -

bond -

Method Detail

bond

public FixedRateBond bond()

setTermStructure

public void setTermStructure(YieldTermStructure t)

Overrides:

setTermStructure in class BootstrapHelper<YieldTermStructure>

impliedQuote

public double impliedQuote()

Specified by:

impliedQuote in class BootstrapHelper<YieldTermStructure>

accept

public void accept(PolymorphicVisitor pv)

Description copied from interface: PolymorphicVisitable

This method is intended to extend the semantics of method Visitable.accept(Visitor)

In a conventional Visitor design pattern, the accept method is called when access to visit a data structure is requested. A Visitor object is passed as argument in case permission is granted to that Visitor to access the data structure. Obviously, Visitors and Visitables work in pairs and the class which provides the data structure to be visited also implements Visitable in order to properly grant access when the expected Visitor is received.

In the case of a PolymorphicVisitable, a PolymorphicVisitor is passed instead of a Visitor. A PolymorphicVisitor is in fact, a composition of Visitors and not only a single Visitor. A PolymorphicVisitor is responsible for returning the correct Visitor responsible for processing a certain data structure.

The initial design of pairs made of <Visitor,Visitable> is extended to a concept of a matrix made of multiple Visitors against multiple Visitables. Every class which implements PolymorphicVisitable passes different data structures when querying PolymorphicVisitors.

Specified by:

accept in interface PolymorphicVisitable

Overrides:

accept in class BootstrapHelper<YieldTermStructure>

See Also:

PolymorphicVisitor#getVisitor(Class)