/src/quantlib/ql/pricingengines/bond/bondfunctions.cpp
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1 | | /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */ |
2 | | |
3 | | /* |
4 | | Copyright (C) 2009 Nathan Abbott |
5 | | Copyright (C) 2007, 2008, 2009, 2010 Ferdinando Ametrano |
6 | | Copyright (C) 2007 Chiara Fornarola |
7 | | Copyright (C) 2008 Simon Ibbotson |
8 | | Copyright (C) 2004 M-Dimension Consulting Inc. |
9 | | Copyright (C) 2005, 2006, 2007, 2008, 2009 StatPro Italia srl |
10 | | Copyright (C) 2004 Jeff Yu |
11 | | |
12 | | This file is part of QuantLib, a free-software/open-source library |
13 | | for financial quantitative analysts and developers - http://quantlib.org/ |
14 | | |
15 | | QuantLib is free software: you can redistribute it and/or modify it |
16 | | under the terms of the QuantLib license. You should have received a |
17 | | copy of the license along with this program; if not, please email |
18 | | <quantlib-dev@lists.sf.net>. The license is also available online at |
19 | | <https://www.quantlib.org/license.shtml>. |
20 | | |
21 | | This program is distributed in the hope that it will be useful, but WITHOUT |
22 | | ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS |
23 | | FOR A PARTICULAR PURPOSE. See the license for more details. |
24 | | */ |
25 | | |
26 | | #include <ql/math/solvers1d/newtonsafe.hpp> |
27 | | #include <ql/pricingengines/bond/bondfunctions.hpp> |
28 | | |
29 | | namespace QuantLib { |
30 | | |
31 | 0 | Date BondFunctions::startDate(const Bond& bond) { |
32 | 0 | return CashFlows::startDate(bond.cashflows()); |
33 | 0 | } |
34 | | |
35 | 0 | Date BondFunctions::maturityDate(const Bond& bond) { |
36 | 0 | return CashFlows::maturityDate(bond.cashflows()); |
37 | 0 | } |
38 | | |
39 | | bool BondFunctions::isTradable(const Bond& bond, |
40 | 0 | Date settlement) { |
41 | 0 | if (settlement == Date()) |
42 | 0 | settlement = bond.settlementDate(); |
43 | |
|
44 | 0 | return bond.notional(settlement)!=0.0; |
45 | 0 | } |
46 | | |
47 | | Leg::const_reverse_iterator |
48 | | BondFunctions::previousCashFlow(const Bond& bond, |
49 | 0 | Date settlement) { |
50 | 0 | if (settlement == Date()) |
51 | 0 | settlement = bond.settlementDate(); |
52 | |
|
53 | 0 | return CashFlows::previousCashFlow(bond.cashflows(), |
54 | 0 | false, settlement); |
55 | 0 | } |
56 | | |
57 | | Leg::const_iterator BondFunctions::nextCashFlow(const Bond& bond, |
58 | 0 | Date settlement) { |
59 | 0 | if (settlement == Date()) |
60 | 0 | settlement = bond.settlementDate(); |
61 | |
|
62 | 0 | return CashFlows::nextCashFlow(bond.cashflows(), |
63 | 0 | false, settlement); |
64 | 0 | } |
65 | | |
66 | | Date BondFunctions::previousCashFlowDate(const Bond& bond, |
67 | 0 | Date settlement) { |
68 | 0 | if (settlement == Date()) |
69 | 0 | settlement = bond.settlementDate(); |
70 | |
|
71 | 0 | return CashFlows::previousCashFlowDate(bond.cashflows(), |
72 | 0 | false, settlement); |
73 | 0 | } |
74 | | |
75 | | Date BondFunctions::nextCashFlowDate(const Bond& bond, |
76 | 0 | Date settlement) { |
77 | 0 | if (settlement == Date()) |
78 | 0 | settlement = bond.settlementDate(); |
79 | |
|
80 | 0 | return CashFlows::nextCashFlowDate(bond.cashflows(), |
81 | 0 | false, settlement); |
82 | 0 | } |
83 | | |
84 | | Real BondFunctions::previousCashFlowAmount(const Bond& bond, |
85 | 0 | Date settlement) { |
86 | 0 | if (settlement == Date()) |
87 | 0 | settlement = bond.settlementDate(); |
88 | |
|
89 | 0 | return CashFlows::previousCashFlowAmount(bond.cashflows(), |
90 | 0 | false, settlement); |
91 | 0 | } |
92 | | |
93 | | Real BondFunctions::nextCashFlowAmount(const Bond& bond, |
94 | 0 | Date settlement) { |
95 | 0 | if (settlement == Date()) |
96 | 0 | settlement = bond.settlementDate(); |
97 | |
|
98 | 0 | return CashFlows::nextCashFlowAmount(bond.cashflows(), |
99 | 0 | false, settlement); |
100 | 0 | } |
101 | | |
102 | | Rate BondFunctions::previousCouponRate(const Bond& bond, |
103 | 0 | Date settlement) { |
104 | 0 | if (settlement == Date()) |
105 | 0 | settlement = bond.settlementDate(); |
106 | |
|
107 | 0 | return CashFlows::previousCouponRate(bond.cashflows(), |
108 | 0 | false, settlement); |
109 | 0 | } |
110 | | |
111 | | Rate BondFunctions::nextCouponRate(const Bond& bond, |
112 | 0 | Date settlement) { |
113 | 0 | if (settlement == Date()) |
114 | 0 | settlement = bond.settlementDate(); |
115 | |
|
116 | 0 | return CashFlows::nextCouponRate(bond.cashflows(), |
117 | 0 | false, settlement); |
118 | 0 | } |
119 | | |
120 | | Date BondFunctions::accrualStartDate(const Bond& bond, |
121 | 0 | Date settlement) { |
122 | 0 | if (settlement == Date()) |
123 | 0 | settlement = bond.settlementDate(); |
124 | |
|
125 | 0 | QL_REQUIRE(BondFunctions::isTradable(bond, settlement), |
126 | 0 | "non tradable at " << settlement << |
127 | 0 | " (maturity being " << bond.maturityDate() << ")"); |
128 | | |
129 | 0 | return CashFlows::accrualStartDate(bond.cashflows(), |
130 | 0 | false, settlement); |
131 | 0 | } |
132 | | |
133 | | Date BondFunctions::accrualEndDate(const Bond& bond, |
134 | 0 | Date settlement) { |
135 | 0 | if (settlement == Date()) |
136 | 0 | settlement = bond.settlementDate(); |
137 | |
|
138 | 0 | QL_REQUIRE(BondFunctions::isTradable(bond, settlement), |
139 | 0 | "non tradable at " << settlement << |
140 | 0 | " (maturity being " << bond.maturityDate() << ")"); |
141 | | |
142 | 0 | return CashFlows::accrualEndDate(bond.cashflows(), |
143 | 0 | false, settlement); |
144 | 0 | } |
145 | | |
146 | | Date BondFunctions::referencePeriodStart(const Bond& bond, |
147 | 0 | Date settlement) { |
148 | 0 | if (settlement == Date()) |
149 | 0 | settlement = bond.settlementDate(); |
150 | |
|
151 | 0 | QL_REQUIRE(BondFunctions::isTradable(bond, settlement), |
152 | 0 | "non tradable at " << settlement << |
153 | 0 | " (maturity being " << bond.maturityDate() << ")"); |
154 | | |
155 | 0 | return CashFlows::referencePeriodStart(bond.cashflows(), |
156 | 0 | false, settlement); |
157 | 0 | } |
158 | | |
159 | | Date BondFunctions::referencePeriodEnd(const Bond& bond, |
160 | 0 | Date settlement) { |
161 | 0 | if (settlement == Date()) |
162 | 0 | settlement = bond.settlementDate(); |
163 | |
|
164 | 0 | QL_REQUIRE(BondFunctions::isTradable(bond, settlement), |
165 | 0 | "non tradable at " << settlement << |
166 | 0 | " (maturity being " << bond.maturityDate() << ")"); |
167 | | |
168 | 0 | return CashFlows::referencePeriodEnd(bond.cashflows(), |
169 | 0 | false, settlement); |
170 | 0 | } |
171 | | |
172 | | Time BondFunctions::accrualPeriod(const Bond& bond, |
173 | 0 | Date settlement) { |
174 | 0 | if (settlement == Date()) |
175 | 0 | settlement = bond.settlementDate(); |
176 | |
|
177 | 0 | QL_REQUIRE(BondFunctions::isTradable(bond, settlement), |
178 | 0 | "non tradable at " << settlement << |
179 | 0 | " (maturity being " << bond.maturityDate() << ")"); |
180 | | |
181 | 0 | return CashFlows::accrualPeriod(bond.cashflows(), |
182 | 0 | false, settlement); |
183 | 0 | } |
184 | | |
185 | | Date::serial_type BondFunctions::accrualDays(const Bond& bond, |
186 | 0 | Date settlement) { |
187 | 0 | if (settlement == Date()) |
188 | 0 | settlement = bond.settlementDate(); |
189 | |
|
190 | 0 | QL_REQUIRE(BondFunctions::isTradable(bond, settlement), |
191 | 0 | "non tradable at " << settlement << |
192 | 0 | " (maturity being " << bond.maturityDate() << ")"); |
193 | | |
194 | 0 | return CashFlows::accrualDays(bond.cashflows(), |
195 | 0 | false, settlement); |
196 | 0 | } |
197 | | |
198 | | Time BondFunctions::accruedPeriod(const Bond& bond, |
199 | 0 | Date settlement) { |
200 | 0 | if (settlement == Date()) |
201 | 0 | settlement = bond.settlementDate(); |
202 | |
|
203 | 0 | QL_REQUIRE(BondFunctions::isTradable(bond, settlement), |
204 | 0 | "non tradable at " << settlement << |
205 | 0 | " (maturity being " << bond.maturityDate() << ")"); |
206 | | |
207 | 0 | return CashFlows::accruedPeriod(bond.cashflows(), |
208 | 0 | false, settlement); |
209 | 0 | } |
210 | | |
211 | | Date::serial_type BondFunctions::accruedDays(const Bond& bond, |
212 | 0 | Date settlement) { |
213 | 0 | if (settlement == Date()) |
214 | 0 | settlement = bond.settlementDate(); |
215 | |
|
216 | 0 | QL_REQUIRE(BondFunctions::isTradable(bond, settlement), |
217 | 0 | "non tradable at " << settlement << |
218 | 0 | " (maturity being " << bond.maturityDate() << ")"); |
219 | | |
220 | 0 | return CashFlows::accruedDays(bond.cashflows(), |
221 | 0 | false, settlement); |
222 | 0 | } |
223 | | |
224 | | Real BondFunctions::accruedAmount(const Bond& bond, |
225 | 0 | Date settlement) { |
226 | 0 | if (settlement == Date()) |
227 | 0 | settlement = bond.settlementDate(); |
228 | |
|
229 | 0 | if (!BondFunctions::isTradable(bond, settlement)) |
230 | 0 | return 0.0; |
231 | | |
232 | 0 | return CashFlows::accruedAmount(bond.cashflows(), |
233 | 0 | false, settlement) * |
234 | 0 | 100.0 / bond.notional(settlement); |
235 | 0 | } |
236 | | |
237 | | |
238 | | |
239 | | Real BondFunctions::cleanPrice(const Bond& bond, |
240 | | const YieldTermStructure& discountCurve, |
241 | 0 | Date settlement) { |
242 | 0 | if (settlement == Date()) |
243 | 0 | settlement = bond.settlementDate(); |
244 | |
|
245 | 0 | return dirtyPrice(bond, discountCurve, settlement) - bond.accruedAmount(settlement); |
246 | 0 | } |
247 | | |
248 | | Real BondFunctions::dirtyPrice(const Bond& bond, |
249 | | const YieldTermStructure& discountCurve, |
250 | 0 | Date settlement) { |
251 | 0 | if (settlement == Date()) |
252 | 0 | settlement = bond.settlementDate(); |
253 | |
|
254 | 0 | QL_REQUIRE(BondFunctions::isTradable(bond, settlement), |
255 | 0 | "non tradable at " << settlement << |
256 | 0 | " settlement date (maturity being " << |
257 | 0 | bond.maturityDate() << ")"); |
258 | | |
259 | 0 | Real dirtyPrice = CashFlows::npv(bond.cashflows(), discountCurve, |
260 | 0 | false, settlement) * |
261 | 0 | 100.0 / bond.notional(settlement); |
262 | 0 | return dirtyPrice; |
263 | 0 | } |
264 | | |
265 | | Real BondFunctions::bps(const Bond& bond, |
266 | | const YieldTermStructure& discountCurve, |
267 | 0 | Date settlement) { |
268 | 0 | if (settlement == Date()) |
269 | 0 | settlement = bond.settlementDate(); |
270 | |
|
271 | 0 | QL_REQUIRE(BondFunctions::isTradable(bond, settlement), |
272 | 0 | "non tradable at " << settlement << |
273 | 0 | " (maturity being " << bond.maturityDate() << ")"); |
274 | | |
275 | 0 | return CashFlows::bps(bond.cashflows(), discountCurve, |
276 | 0 | false, settlement) * |
277 | 0 | 100.0 / bond.notional(settlement); |
278 | 0 | } |
279 | | |
280 | | Rate BondFunctions::atmRate(const Bond& bond, |
281 | | const YieldTermStructure& discountCurve, |
282 | | Date settlement, |
283 | 0 | const Bond::Price price) { |
284 | 0 | if (settlement == Date()) |
285 | 0 | settlement = bond.settlementDate(); |
286 | |
|
287 | 0 | QL_REQUIRE(BondFunctions::isTradable(bond, settlement), |
288 | 0 | "non tradable at " << settlement << |
289 | 0 | " (maturity being " << bond.maturityDate() << ")"); |
290 | | |
291 | 0 | Real npv = Null<Real>(); |
292 | 0 | if (price.isValid()) { |
293 | 0 | Real dirtyPrice = |
294 | 0 | price.amount() + |
295 | 0 | (price.type() == Bond::Price::Clean ? bond.accruedAmount(settlement) : 0); |
296 | |
|
297 | 0 | Real currentNotional = bond.notional(settlement); |
298 | 0 | npv = dirtyPrice / 100.0 * currentNotional; |
299 | |
|
300 | 0 | } |
301 | 0 | return CashFlows::atmRate(bond.cashflows(), discountCurve, |
302 | 0 | false, settlement, settlement, |
303 | 0 | npv); |
304 | 0 | } |
305 | | |
306 | | Real BondFunctions::cleanPrice(const Bond& bond, |
307 | | const InterestRate& yield, |
308 | 0 | Date settlement) { |
309 | 0 | return dirtyPrice(bond, yield, settlement) - bond.accruedAmount(settlement); |
310 | 0 | } |
311 | | |
312 | | Real BondFunctions::cleanPrice(const Bond& bond, |
313 | | Rate yield, |
314 | | const DayCounter& dayCounter, |
315 | | Compounding compounding, |
316 | | Frequency frequency, |
317 | 0 | Date settlement) { |
318 | 0 | InterestRate y(yield, dayCounter, compounding, frequency); |
319 | 0 | return cleanPrice(bond, y, settlement); |
320 | 0 | } |
321 | | |
322 | | Real BondFunctions::dirtyPrice(const Bond& bond, |
323 | | const InterestRate& yield, |
324 | 0 | Date settlement) { |
325 | 0 | if (settlement == Date()) |
326 | 0 | settlement = bond.settlementDate(); |
327 | |
|
328 | 0 | QL_REQUIRE(BondFunctions::isTradable(bond, settlement), |
329 | 0 | "non tradable at " << settlement << |
330 | 0 | " (maturity being " << bond.maturityDate() << ")"); |
331 | | |
332 | 0 | Real dirtyPrice = CashFlows::npv(bond.cashflows(), yield, |
333 | 0 | false, settlement) * |
334 | 0 | 100.0 / bond.notional(settlement); |
335 | 0 | return dirtyPrice; |
336 | 0 | } |
337 | | |
338 | | Real BondFunctions::dirtyPrice(const Bond& bond, |
339 | | Rate yield, |
340 | | const DayCounter& dayCounter, |
341 | | Compounding compounding, |
342 | | Frequency frequency, |
343 | 0 | Date settlement) { |
344 | 0 | InterestRate y(yield, dayCounter, compounding, frequency); |
345 | 0 | return dirtyPrice(bond, y, settlement); |
346 | 0 | } |
347 | | |
348 | | Real BondFunctions::bps(const Bond& bond, |
349 | | const InterestRate& yield, |
350 | 0 | Date settlement) { |
351 | 0 | if (settlement == Date()) |
352 | 0 | settlement = bond.settlementDate(); |
353 | |
|
354 | 0 | QL_REQUIRE(BondFunctions::isTradable(bond, settlement), |
355 | 0 | "non tradable at " << settlement << |
356 | 0 | " (maturity being " << bond.maturityDate() << ")"); |
357 | | |
358 | 0 | return CashFlows::bps(bond.cashflows(), yield, |
359 | 0 | false, settlement) * |
360 | 0 | 100.0 / bond.notional(settlement); |
361 | 0 | } |
362 | | |
363 | | Real BondFunctions::bps(const Bond& bond, |
364 | | Rate yield, |
365 | | const DayCounter& dayCounter, |
366 | | Compounding compounding, |
367 | | Frequency frequency, |
368 | 0 | Date settlement) { |
369 | 0 | InterestRate y(yield, dayCounter, compounding, frequency); |
370 | 0 | return bps(bond, y, settlement); |
371 | 0 | } |
372 | | |
373 | | Rate BondFunctions::yield(const Bond& bond, |
374 | | Bond::Price price, |
375 | | const DayCounter& dayCounter, |
376 | | Compounding compounding, |
377 | | Frequency frequency, |
378 | | Date settlement, |
379 | | Real accuracy, |
380 | | Size maxIterations, |
381 | 0 | Rate guess) { |
382 | 0 | NewtonSafe solver; |
383 | 0 | solver.setMaxEvaluations(maxIterations); |
384 | 0 | return yield<NewtonSafe>(solver, bond, price, dayCounter, |
385 | 0 | compounding, frequency, settlement, |
386 | 0 | accuracy, guess); |
387 | 0 | } |
388 | | |
389 | | Time BondFunctions::duration(const Bond& bond, |
390 | | const InterestRate& yield, |
391 | | Duration::Type type, |
392 | 0 | Date settlement) { |
393 | 0 | if (settlement == Date()) |
394 | 0 | settlement = bond.settlementDate(); |
395 | |
|
396 | 0 | QL_REQUIRE(BondFunctions::isTradable(bond, settlement), |
397 | 0 | "non tradable at " << settlement << |
398 | 0 | " (maturity being " << bond.maturityDate() << ")"); |
399 | | |
400 | 0 | return CashFlows::duration(bond.cashflows(), yield, |
401 | 0 | type, |
402 | 0 | false, settlement); |
403 | 0 | } |
404 | | |
405 | | Time BondFunctions::duration(const Bond& bond, |
406 | | Rate yield, |
407 | | const DayCounter& dayCounter, |
408 | | Compounding compounding, |
409 | | Frequency frequency, |
410 | | Duration::Type type, |
411 | 0 | Date settlement) { |
412 | 0 | InterestRate y(yield, dayCounter, compounding, frequency); |
413 | 0 | return duration(bond, y, type, settlement); |
414 | 0 | } |
415 | | |
416 | | Real BondFunctions::convexity(const Bond& bond, |
417 | | const InterestRate& yield, |
418 | 0 | Date settlement) { |
419 | 0 | if (settlement == Date()) |
420 | 0 | settlement = bond.settlementDate(); |
421 | |
|
422 | 0 | QL_REQUIRE(BondFunctions::isTradable(bond, settlement), |
423 | 0 | "non tradable at " << settlement << |
424 | 0 | " (maturity being " << bond.maturityDate() << ")"); |
425 | | |
426 | 0 | return CashFlows::convexity(bond.cashflows(), yield, |
427 | 0 | false, settlement); |
428 | 0 | } |
429 | | |
430 | | Real BondFunctions::convexity(const Bond& bond, |
431 | | Rate yield, |
432 | | const DayCounter& dayCounter, |
433 | | Compounding compounding, |
434 | | Frequency frequency, |
435 | 0 | Date settlement) { |
436 | 0 | InterestRate y(yield, dayCounter, compounding, frequency); |
437 | 0 | return convexity(bond, y, settlement); |
438 | 0 | } |
439 | | |
440 | | Real BondFunctions::basisPointValue(const Bond& bond, |
441 | | const InterestRate& yield, |
442 | 0 | Date settlement) { |
443 | 0 | if (settlement == Date()) |
444 | 0 | settlement = bond.settlementDate(); |
445 | |
|
446 | 0 | QL_REQUIRE(BondFunctions::isTradable(bond, settlement), |
447 | 0 | "non tradable at " << settlement << |
448 | 0 | " (maturity being " << bond.maturityDate() << ")"); |
449 | | |
450 | 0 | return CashFlows::basisPointValue(bond.cashflows(), yield, |
451 | 0 | false, settlement); |
452 | 0 | } |
453 | | |
454 | | Real BondFunctions::basisPointValue(const Bond& bond, |
455 | | Rate yield, |
456 | | const DayCounter& dayCounter, |
457 | | Compounding compounding, |
458 | | Frequency frequency, |
459 | 0 | Date settlement) { |
460 | 0 | InterestRate y(yield, dayCounter, compounding, frequency); |
461 | 0 | return basisPointValue(bond, y, settlement); |
462 | 0 | } |
463 | | |
464 | | Real BondFunctions::yieldValueBasisPoint(const Bond& bond, |
465 | | const InterestRate& yield, |
466 | 0 | Date settlement) { |
467 | 0 | if (settlement == Date()) |
468 | 0 | settlement = bond.settlementDate(); |
469 | |
|
470 | 0 | QL_REQUIRE(BondFunctions::isTradable(bond, settlement), |
471 | 0 | "non tradable at " << settlement << |
472 | 0 | " (maturity being " << bond.maturityDate() << ")"); |
473 | | |
474 | 0 | return CashFlows::yieldValueBasisPoint(bond.cashflows(), yield, |
475 | 0 | false, settlement); |
476 | 0 | } |
477 | | |
478 | | Real BondFunctions::yieldValueBasisPoint(const Bond& bond, |
479 | | Rate yield, |
480 | | const DayCounter& dayCounter, |
481 | | Compounding compounding, |
482 | | Frequency frequency, |
483 | 0 | Date settlement) { |
484 | 0 | InterestRate y(yield, dayCounter, compounding, frequency); |
485 | 0 | return yieldValueBasisPoint(bond, y, settlement); |
486 | 0 | } |
487 | | |
488 | | Real BondFunctions::cleanPrice(const Bond& bond, |
489 | | const ext::shared_ptr<YieldTermStructure>& d, |
490 | | Spread zSpread, |
491 | | const DayCounter& dc, |
492 | | Compounding comp, |
493 | | Frequency freq, |
494 | 0 | Date settlement) { |
495 | 0 | if (settlement == Date()) |
496 | 0 | settlement = bond.settlementDate(); |
497 | |
|
498 | 0 | return dirtyPrice(bond, d, zSpread, dc, comp, freq, settlement) - bond.accruedAmount(settlement); |
499 | 0 | } |
500 | | |
501 | | Real BondFunctions::dirtyPrice(const Bond& bond, |
502 | | const ext::shared_ptr<YieldTermStructure>& d, |
503 | | Spread zSpread, |
504 | | const DayCounter& dc, |
505 | | Compounding comp, |
506 | | Frequency freq, |
507 | 0 | Date settlement) { |
508 | 0 | if (settlement == Date()) |
509 | 0 | settlement = bond.settlementDate(); |
510 | |
|
511 | 0 | QL_REQUIRE(BondFunctions::isTradable(bond, settlement), |
512 | 0 | "non tradable at " << settlement << |
513 | 0 | " (maturity being " << bond.maturityDate() << ")"); |
514 | | |
515 | 0 | Real dirtyPrice = CashFlows::npv(bond.cashflows(), d, |
516 | 0 | zSpread, dc, comp, freq, |
517 | 0 | false, settlement) * |
518 | 0 | 100.0 / bond.notional(settlement); |
519 | 0 | return dirtyPrice; |
520 | 0 | } |
521 | | |
522 | | Spread BondFunctions::zSpread(const Bond& bond, |
523 | | Bond::Price price, |
524 | | const ext::shared_ptr<YieldTermStructure>& d, |
525 | | const DayCounter& dayCounter, |
526 | | Compounding compounding, |
527 | | Frequency frequency, |
528 | | Date settlement, |
529 | | Real accuracy, |
530 | | Size maxIterations, |
531 | 0 | Rate guess) { |
532 | 0 | if (settlement == Date()) |
533 | 0 | settlement = bond.settlementDate(); |
534 | |
|
535 | 0 | QL_REQUIRE(BondFunctions::isTradable(bond, settlement), |
536 | 0 | "non tradable at " << settlement << |
537 | 0 | " (maturity being " << bond.maturityDate() << ")"); |
538 | | |
539 | 0 | Real dirtyPrice = |
540 | 0 | price.amount() + |
541 | 0 | (price.type() == Bond::Price::Clean ? bond.accruedAmount(settlement) : 0); |
542 | |
|
543 | 0 | dirtyPrice /= 100.0 / bond.notional(settlement); |
544 | |
|
545 | 0 | return CashFlows::zSpread(bond.cashflows(), |
546 | 0 | dirtyPrice, |
547 | 0 | d, |
548 | 0 | dayCounter, compounding, frequency, |
549 | 0 | false, settlement, settlement, |
550 | 0 | accuracy, maxIterations, guess); |
551 | 0 | } |
552 | | } |