/*
Copyright (C) 2009 Ueli Hofstetter
This source code is release under the BSD License.
This file is part of JQuantLib, a free-software/open-source library
for financial quantitative analysts and developers - http://jquantlib.org/
JQuantLib is free software: you can redistribute it and/or modify it
under the terms of the JQuantLib license. You should have received a
copy of the license along with this program; if not, please email
. The license is also available online at
.
This program is distributed in the hope that it will be useful, but WITHOUT
ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
FOR A PARTICULAR PURPOSE. See the license for more details.
JQuantLib is based on QuantLib. http://quantlib.org/
When applicable, the original copyright notice follows this notice.
*/
/*
Copyright (C) 2007, 2008 Ferdinando Ametrano
Copyright (C) 2004 Jeff Yu
Copyright (C) 2004 M-Dimension Consulting Inc.
Copyright (C) 2005 StatPro Italia srl
This file is part of QuantLib, a free-software/open-source library
for financial quantitative analysts and developers - http://quantlib.org/
QuantLib is free software: you can redistribute it and/or modify it
under the terms of the QuantLib license. You should have received a
copy of the license along with this program; if not, please email
. The license is also available online at
.
This program is distributed in the hope that it will be useful, but WITHOUT
ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
FOR A PARTICULAR PURPOSE. See the license for more details.
*/
package org.jquantlib.instruments.bonds;
import org.jquantlib.QL;
import org.jquantlib.cashflow.FixedRateLeg;
import org.jquantlib.daycounters.DayCounter;
import org.jquantlib.instruments.Bond;
import org.jquantlib.lang.exceptions.LibraryException;
import org.jquantlib.time.BusinessDayConvention;
import org.jquantlib.time.Calendar;
import org.jquantlib.time.Date;
import org.jquantlib.time.DateGeneration;
import org.jquantlib.time.Frequency;
import org.jquantlib.time.Period;
import org.jquantlib.time.Schedule;
/**
* Fixed-rate bond
*
* @category instruments
*
* @author Ueli Hofstetter
*
*/
public class FixedRateBond extends Bond {
protected Frequency frequency_;
protected DayCounter dayCounter_;
/**
*
* @param settlementDays
* @param faceAmount
* @param schedule
* @param coupons
* @param accrualDayCounter
* @param paymentConvention default: Following
* @param redemption default: 100
* @param issueDate default: new Date()
*/
public FixedRateBond(/*@Natural*/final int settlementDays,
/*@Real*/final double faceAmount,
final Schedule schedule,
final double[] coupons,
final DayCounter accrualDayCounter,
final BusinessDayConvention paymentConvention,
/*Real*/final double redemption,
final Date issueDate){
super(settlementDays, schedule.calendar(), issueDate);
frequency_ = schedule.tenor().frequency();
dayCounter_ = accrualDayCounter;
maturityDate_ = schedule.endDate().clone();
cashflows_ = new FixedRateLeg(schedule, accrualDayCounter)
.withNotionals(faceAmount)
.withCouponRates(coupons)
.withPaymentAdjustment(paymentConvention)
.Leg();
addRedemptionsToCashflows(new double[]{redemption});
QL.ensure(!cashflows().isEmpty(), "bond with no cashflows!");
QL.ensure(redemptions_.size() == 1, "multiple redemptions created");
}
/**
* C'tor with default:
* issueDate = new Date()
*/
public FixedRateBond(/*@Natural*/final int settlementDays,
/*@Real*/final double faceAmount,
final Schedule schedule,
final double[] coupons,
final DayCounter accrualDayCounter,
final BusinessDayConvention paymentConvention,
/*Real*/final double redemption){
this(settlementDays,
faceAmount,
schedule,
coupons,
accrualDayCounter,
paymentConvention,
redemption,
new Date());
}
/**
* C'tor with default:
* redemption = 100
* issueDate = new Date()
*/
public FixedRateBond(/*@Natural*/final int settlementDays,
/*@Real*/final double faceAmount,
final Schedule schedule,
final double[] coupons,
final DayCounter accrualDayCounter,
final BusinessDayConvention paymentConvention) {
this(settlementDays,
faceAmount,
schedule,
coupons,
accrualDayCounter,
paymentConvention,
100.0,
new Date());
}
/**
* C'tor with default:
* paymentConvention = Following
* redemption = 100
* issueDate = new Date()
*/
public FixedRateBond(/*@Natural*/final int settlementDays,
/*@Real*/final double faceAmount,
final Schedule schedule,
final double[] coupons,
final DayCounter accrualDayCounter) {
this(settlementDays,
faceAmount,
schedule,
coupons,
accrualDayCounter,
BusinessDayConvention.Following,
100.0,
new Date());
}
/**
*
* @param settlementDays
* @param calendar
* @param faceAmount
* @param startDate
* @param maturityDate
* @param tenor
* @param coupons
* @param accrualDayCounter
* @param accrualConvention default: Following
* @param paymentConvention default: Following
* @param redemption default: 100
* @param issueDate default: Date()
* @param stubDate default: Date()
* @param rule default: Backward
* @param endOfMonth default: false
*/
public FixedRateBond(/*@Natural*/final int settlementDays,
final Calendar calendar,
/*@Real*/ final double faceAmount,
final Date startDate,
final Date maturityDate,
final Period tenor,
final double[] coupons,
final DayCounter accrualDayCounter,
final BusinessDayConvention accrualConvention,
final BusinessDayConvention paymentConvention,
/*@Real*/ final double redemption,
final Date issueDate ,
final Date stubDate ,
final DateGeneration.Rule rule ,
final boolean endOfMonth){
super(settlementDays, calendar, issueDate);
frequency_= tenor.frequency();
dayCounter_= accrualDayCounter;
maturityDate_ = maturityDate.clone();
Date firstDate = new Date();
Date nextToLastDate = new Date();
switch (rule) {
case Backward:
firstDate = new Date();
nextToLastDate = stubDate.clone();
break;
case Forward:
firstDate = stubDate.clone();
nextToLastDate = new Date();
break;
case Zero:
case ThirdWednesday:
case Twentieth:
case TwentiethIMM:
throw new LibraryException(reportFalseDateGenerationRule(stubDate, rule));
default:
throw new LibraryException("unknown DateGeneration.Rule"); // TODO: message
}
final Schedule schedule = new Schedule(startDate, maturityDate_, tenor,
calendar_, accrualConvention, accrualConvention,
rule, endOfMonth,
firstDate, nextToLastDate);
cashflows_ = new FixedRateLeg(schedule, accrualDayCounter)
.withNotionals(faceAmount)
.withCouponRates(coupons)
.withPaymentAdjustment(paymentConvention);
addRedemptionsToCashflows(new double[]{redemption});
QL.ensure(!cashflows().isEmpty(), "bond with no cashflows!");
QL.ensure(redemptions_.size() == 1, "multiple redemptions created");
}
/* C'tor with default:
* endOfMonth = false
*/
public FixedRateBond(/*@Natural*/final int settlementDays,
final Calendar calendar,
/*@Real*/ final double faceAmount,
final Date startDate,
final Date maturityDate,
final Period tenor,
final double[] coupons,
final DayCounter accrualDayCounter,
final BusinessDayConvention accrualConvention,
final BusinessDayConvention paymentConvention,
/*@Real*/ final double redemption,
final Date issueDate ,
final Date stubDate ,
final DateGeneration.Rule rule) {
this(settlementDays,
calendar,
faceAmount,
startDate,
maturityDate,
tenor,
coupons,
accrualDayCounter,
accrualConvention,
paymentConvention,
redemption,
issueDate ,
stubDate ,
rule,
false);
}
/* C'tor with default:
* DateGeneration::Rule rule = DateGeneration::Backward,
* endOfMonth = false
*/
public FixedRateBond(/*@Natural*/final int settlementDays,
final Calendar calendar,
/*@Real*/ final double faceAmount,
final Date startDate,
final Date maturityDate,
final Period tenor,
final double[] coupons,
final DayCounter accrualDayCounter,
final BusinessDayConvention accrualConvention,
final BusinessDayConvention paymentConvention,
/*@Real*/ final double redemption,
final Date issueDate ,
final Date stubDate) {
this(settlementDays,
calendar,
faceAmount,
startDate,
maturityDate,
tenor,
coupons,
accrualDayCounter,
accrualConvention,
paymentConvention,
redemption,
issueDate ,
stubDate ,
DateGeneration.Rule.Backward,
false);
}
/* C'tor with default:
* stubDate = Date()
* rule = DateGeneration.Rule.Backward,
* endOfMonth = false
*/
public FixedRateBond(/*@Natural*/final int settlementDays,
final Calendar calendar,
/*@Real*/ final double faceAmount,
final Date startDate,
final Date maturityDate,
final Period tenor,
final double[] coupons,
final DayCounter accrualDayCounter,
final BusinessDayConvention accrualConvention,
final BusinessDayConvention paymentConvention,
/*@Real*/ final double redemption,
final Date issueDate) {
this(settlementDays,
calendar,
faceAmount,
startDate,
maturityDate,
tenor,
coupons,
accrualDayCounter,
accrualConvention,
paymentConvention,
redemption,
issueDate ,
new Date(),
DateGeneration.Rule.Backward,
false);
}
/* C'tor with default:
* issueDate = new Date()
* stubDate = new Date()
* rule = DateGeneration.Rule.Backward,
* endOfMonth = false
*/
public FixedRateBond(/*@Natural*/final int settlementDays,
final Calendar calendar,
/*@Real*/ final double faceAmount,
final Date startDate,
final Date maturityDate,
final Period tenor,
final double[] coupons,
final DayCounter accrualDayCounter,
final BusinessDayConvention accrualConvention,
final BusinessDayConvention paymentConvention,
/*@Real*/ final double redemption) {
this(settlementDays,
calendar,
faceAmount,
startDate,
maturityDate,
tenor,
coupons,
accrualDayCounter,
accrualConvention,
paymentConvention,
redemption,
new Date(),
new Date(),
DateGeneration.Rule.Backward,
false);
}
/** C'tor with default:
* redemption = 100.0,
* issueDate = new Date()
* stubDate = new Date()
* rule = DateGeneration.Rule.Backward,
* endOfMonth = false
*/
public FixedRateBond(/*@Natural*/final int settlementDays,
final Calendar calendar,
/*@Real*/ final double faceAmount,
final Date startDate,
final Date maturityDate,
final Period tenor,
final double[] coupons,
final DayCounter accrualDayCounter,
final BusinessDayConvention accrualConvention,
final BusinessDayConvention paymentConvention) {
this(settlementDays,
calendar,
faceAmount,
startDate,
maturityDate,
tenor,
coupons,
accrualDayCounter,
accrualConvention,
paymentConvention,
100.0,
new Date(),
new Date(),
DateGeneration.Rule.Backward,
false);
}
/* C'tor with default:
* paymentConvention = BusinessDayConvention.Following,
* redemption = 100.0,
* issueDate = new Date()
* stubDate = new Date()
* rule = DateGeneration.Rule.Backward,
* endOfMonth = false
*/
public FixedRateBond(/*@Natural*/final int settlementDays,
final Calendar calendar,
/*@Real*/ final double faceAmount,
final Date startDate,
final Date maturityDate,
final Period tenor,
final double[] coupons,
final DayCounter accrualDayCounter,
final BusinessDayConvention accrualConvention) {
this(settlementDays,
calendar,
faceAmount,
startDate,
maturityDate,
tenor,
coupons,
accrualDayCounter,
accrualConvention,
BusinessDayConvention.Following,
100.0,
new Date(),
new Date(),
DateGeneration.Rule.Backward,
false);
}
/* C'tor with default:
* accrualConvention = BusinessDayConvention.Following,
* paymentConvention = BusinessDayConvention.Following,
* redemption = 100.0,
* issueDate = new Date()
* stubDate = new Date()
* rule = DateGeneration.Rule.Backward,
* endOfMonth = false
*/
public FixedRateBond(/*@Natural*/final int settlementDays,
final Calendar calendar,
/*@Real*/ final double faceAmount,
final Date startDate,
final Date maturityDate,
final Period tenor,
final double[] coupons,
final DayCounter accrualDayCounter) {
this(settlementDays,
calendar,
faceAmount,
startDate,
maturityDate,
tenor,
coupons,
accrualDayCounter,
BusinessDayConvention.Following,
BusinessDayConvention.Following,
100.0,
new Date(),
new Date(),
DateGeneration.Rule.Backward,
false);
}
public Frequency frequency(){
return frequency_;
}
public DayCounter dayCounter(){
return dayCounter_;
}
private String reportFalseDateGenerationRule(final Date stubDate, final DateGeneration.Rule rule) {
final StringBuilder sb = new StringBuilder();
sb.append("stub date (").append(stubDate).append(") not allowed with DateGeneration.Rule (").append(rule).append(")");
return sb.toString();
}
}
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