Added zero-coupon and floating-rate bonds

q-rius · Feb 10, 2005 · 9fdfce3 · 9fdfce3
1 parent d3dc311
commit 9fdfce3
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Showing 9 changed files with 413 additions and 7 deletions.
diff --git a/News.txt b/News.txt
@@ -16,4 +16,11 @@ Changes since release 0.3.8:
   messages, as in:
   QL_FAIL("forward at date " << d << " is " << io::rate(f));
 
+- Improved Bond class
+  - yield-related calculation can be performed with either compounded or
+    continuous compounding
+  - added theoretical price based on discount curve
+  - fixed-rate coupon bonds can define different rates for each coupon
+  - added zero-coupon and floating-rate bonds
+
 
diff --git a/ql/Instruments/Makefile.am b/ql/Instruments/Makefile.am
@@ -14,6 +14,7 @@ include_HEADERS = \
     dividendvanillaoption.hpp \
     europeanoption.hpp \
     fixedcouponbond.hpp \
+    floatingratebond.hpp \
     forwardvanillaoption.hpp \
     multiassetoption.hpp \
     oneassetoption.hpp \
@@ -25,7 +26,8 @@ include_HEADERS = \
     stock.hpp \
     swap.hpp \
     swaption.hpp \
-    vanillaoption.hpp
+    vanillaoption.hpp \
+    zerocouponbond.hpp
 
 EXTRA_DIST=makefile.mak
 
@@ -39,6 +41,7 @@ libInstruments_la_SOURCES = \
     dividendvanillaoption.cpp \
     europeanoption.cpp \
     fixedcouponbond.cpp \
+    floatingratebond.cpp \
     forwardvanillaoption.cpp \
     multiassetoption.cpp \
     oneassetoption.cpp \
@@ -49,6 +52,7 @@ libInstruments_la_SOURCES = \
     stock.cpp \
     swap.cpp \
     swaption.cpp \
-    vanillaoption.cpp
+    vanillaoption.cpp \
+    zerocouponbond.cpp
 
 noinst_LTLIBRARIES = libInstruments.la
diff --git a/ql/Instruments/all.hpp b/ql/Instruments/all.hpp
@@ -29,6 +29,7 @@
 #include <ql/Instruments/dividendvanillaoption.hpp>
 #include <ql/Instruments/europeanoption.hpp>
 #include <ql/Instruments/fixedcouponbond.hpp>
+#include <ql/Instruments/floatingratebond.hpp>
 #include <ql/Instruments/forwardvanillaoption.hpp>
 #include <ql/Instruments/multiassetoption.hpp>
 #include <ql/Instruments/oneassetoption.hpp>
@@ -40,6 +41,7 @@
 #include <ql/Instruments/swap.hpp>
 #include <ql/Instruments/swaption.hpp>
 #include <ql/Instruments/vanillaoption.hpp>
+#include <ql/Instruments/zerocouponbond.hpp>
 
 
 #endif
diff --git a/ql/Instruments/fixedcouponbond.cpp b/ql/Instruments/fixedcouponbond.cpp
@@ -1,6 +1,7 @@
 /*
  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/
@@ -67,7 +68,7 @@ namespace QuantLib {
                              BusinessDayConvention convention,
                              Real redemption,
                              const Handle<YieldTermStructure>& discountCurve,
-                             const Date& stub)
+                             const Date& stub, bool fromEnd)
     : Bond(dayCounter, calendar, convention, settlementDays, discountCurve) {
 
         issueDate_ = issueDate;
@@ -80,7 +81,7 @@ namespace QuantLib {
 
         Schedule schedule(calendar, datedDate, maturityDate,
                           couponFrequency, convention,
-                          stub, true);
+                          stub, fromEnd);
 
         cashFlows_ = FixedRateCouponVector(schedule, convention,
                                            std::vector<Real>(1, 100.0),

diff --git a/ql/Instruments/fixedcouponbond.hpp b/ql/Instruments/fixedcouponbond.hpp
@@ -1,6 +1,7 @@
 /*
  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/
@@ -23,12 +24,15 @@
 #define quantlib_fixed_coupon_bond_hpp
 
 #include <ql/Instruments/bond.hpp>
-#include <ql/schedule.hpp>
 
 namespace QuantLib {
 
     //! fixed-coupon bond
-    /*! \ingroup instruments */
+    /*! \ingroup instruments
+
+        \test calculations are tested by checking results against
+              cached values.
+    */
     class FixedCouponBond : public Bond {
       public:
         #ifndef QL_DISABLE_DEPRECATED
@@ -58,7 +62,8 @@ namespace QuantLib {
                         Real redemption = 100.0,
                         const Handle<YieldTermStructure>& discountCurve
                                               = Handle<YieldTermStructure>(),
-                        const Date& stub = Date());
+                        const Date& stub = Date(),
+                        bool fromEnd = true);
     };
 
 }

diff --git a/ql/Instruments/zerocouponbond.cpp b/ql/Instruments/zerocouponbond.cpp
@@ -0,0 +1,44 @@
+/*
+ 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 quantlib-dev@lists.sf.net
+ The license is also available online at http://quantlib.org/html/license.html
+
+ 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.
+*/
+
+#include <ql/Instruments/zerocouponbond.hpp>
+#include <ql/CashFlows/simplecashflow.hpp>
+
+namespace QuantLib {
+
+    ZeroCouponBond::ZeroCouponBond(
+                             const Date& issueDate,
+                             const Date& maturityDate,
+                             Integer settlementDays,
+                             const DayCounter& dayCounter,
+                             const Calendar& calendar,
+                             BusinessDayConvention convention,
+                             Real redemption,
+                             const Handle<YieldTermStructure>& discountCurve)
+    : Bond(dayCounter, calendar, convention, settlementDays, discountCurve) {
+
+        issueDate_ = datedDate_ = issueDate;
+        maturityDate_ = maturityDate;
+        frequency_ = Once;
+
+        redemption_ = boost::shared_ptr<CashFlow>(
+                                 new SimpleCashFlow(redemption,maturityDate));
+
+        cashFlows_ = std::vector<boost::shared_ptr<CashFlow> >();
+    }
+
+};
+
diff --git a/ql/Instruments/zerocouponbond.hpp b/ql/Instruments/zerocouponbond.hpp
@@ -0,0 +1,50 @@
+/*
+ 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 quantlib-dev@lists.sf.net
+ The license is also available online at http://quantlib.org/html/license.html
+
+ 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.
+*/
+
+/*! \file zerocouponbond.hpp
+    \brief zero-coupon bond
+*/
+
+#ifndef quantlib_zero_coupon_bond_hpp
+#define quantlib_zero_coupon_bond_hpp
+
+#include <ql/Instruments/bond.hpp>
+
+namespace QuantLib {
+
+    //! zero-coupon bond
+    /*! \ingroup instruments
+
+        \test calculations are tested by checking results against
+              cached values.
+    */
+    class ZeroCouponBond : public Bond {
+      public:
+        ZeroCouponBond(const Date& issueDate,
+                       const Date& maturityDate,
+                       Integer settlementDays,
+                       const DayCounter& dayCounter,
+                       const Calendar& calendar,
+                       BusinessDayConvention convention = Following,
+                       Real redemption = 100.0,
+                       const Handle<YieldTermStructure>& discountCurve
+                                              = Handle<YieldTermStructure>());
+    };
+
+}
+
+
+#endif