TipsVal
Valuation library for inflation-indexed bonds
Public Member Functions | List of all members
AndrewKalotayAssociates::TipsVal::Bond Class Reference

Inflation-indexed fixed coupon bond, such as a US TIPS. More...

#include "andrew_kalotay_associates/tipsval/bond.h"

Public Member Functions

 Bond (const Input::Bond &bond, const Input::InflationAdjustment &inflation_adjustment, double inflation_index_at_issue, const Holidays &holidays=Holidays())
 
double compute_accrued_interest (double inflation_index_at_settlement, const Date &settlement_date) const
 
double compute_accrued_interest (const InflationModel &inflation_model, const Date &settlement_date) const
 
double compute_full_price (const InterestRateModel &interest_rate_model, const InflationModel &inflation_model, const Date &settlement_date, const Input::Quote &quote) const
 
double compute_oas (const InterestRateModel &interest_rate_model, const InflationModel &inflation_model, const Date &settlement_date, const Input::Quote &quote) const
 
Output::Valuation compute_valuation (const InterestRateModel &interest_rate_model, const InflationModel &inflation_model, const Date &settlement_date, const Input::ValuationSelection &valuation_selection, const Input::Quote &quote) const
 
Output::Yield compute_yield (const Input::YieldParameters &yield_parameters, const InflationModel &inflation_model, const Date &settlement_date, const Input::Quote &quote) const
 
Common::Array< Output::BondCashflowcompute_cashflows (const InflationModel &inflation_model, const Date &settlement_date) const
 

Detailed Description

Inflation-indexed fixed coupon bond, such as a US TIPS.

Constructor & Destructor Documentation

◆ Bond()

AndrewKalotayAssociates::TipsVal::Bond::Bond ( const Input::Bond bond,
const Input::InflationAdjustment inflation_adjustment,
double  inflation_index_at_issue,
const Holidays holidays = Holidays() 
)
Parameters
input_bondTerms and conditions of bond
inflation_adjustmentInflation adjustment terms
holidaysHolidays, if any, used for adjusting coupon dates

Member Function Documentation

◆ compute_accrued_interest() [1/2]

double AndrewKalotayAssociates::TipsVal::Bond::compute_accrued_interest ( const InflationModel inflation_model,
const Date settlement_date 
) const
Returns
Accrued interest using inflation rate implied by inflation model

◆ compute_accrued_interest() [2/2]

double AndrewKalotayAssociates::TipsVal::Bond::compute_accrued_interest ( double  inflation_index_at_settlement,
const Date settlement_date 
) const
Returns
Accrued interest using specified inflation index value

◆ compute_cashflows()

Common::Array<Output::BondCashflow> AndrewKalotayAssociates::TipsVal::Bond::compute_cashflows ( const InflationModel inflation_model,
const Date settlement_date 
) const
Returns
Projected cash flows using the forward inflation rates implied by inflation model

◆ compute_full_price()

double AndrewKalotayAssociates::TipsVal::Bond::compute_full_price ( const InterestRateModel interest_rate_model,
const InflationModel inflation_model,
const Date settlement_date,
const Input::Quote quote 
) const
Parameters
interest_rate_modelFor nominal yield curve
quoteOAS, price or yield of bond
Returns
Full price (includes accrued interest)

◆ compute_oas()

double AndrewKalotayAssociates::TipsVal::Bond::compute_oas ( const InterestRateModel interest_rate_model,
const InflationModel inflation_model,
const Date settlement_date,
const Input::Quote quote 
) const
Parameters
interest_rate_modelFor nominal yield curve
quoteOAS, price or yield of bond
Returns
OAS

◆ compute_valuation()

Output::Valuation AndrewKalotayAssociates::TipsVal::Bond::compute_valuation ( const InterestRateModel interest_rate_model,
const InflationModel inflation_model,
const Date settlement_date,
const Input::ValuationSelection valuation_selection,
const Input::Quote quote 
) const
Parameters
interest_rate_modelFor nominal yield curve
valuation_selectionSpecifying which risks to report
quoteOAS, price or yield of bond
Returns
Price, yield, risk measures

◆ compute_yield()

Output::Yield AndrewKalotayAssociates::TipsVal::Bond::compute_yield ( const Input::YieldParameters yield_parameters,
const InflationModel inflation_model,
const Date settlement_date,
const Input::Quote quote 
) const
Parameters
yield_parametersDaycount and compounding frequency
quoteOAS, price or yield
Returns
Yield-to-maturity, modified duration and convexity

The documentation for this class was generated from the following file: