An Instrument; see the hierarchy under GenInstrument.

A Bond; see the hierarchy under GenInstrument.

A FixedRateBond; see the hierarchy under GenInstrument.

A Bond; see the hierarchy under GenInstrument.

A Bond; see the hierarchy under GenInstrument.

A Bond; see the hierarchy under GenInstrument.

Where discount factors come from.

Discounting restricted to the cases bps supports: upstream has no Z-spreaded bps.

constructor for amortizing or non-amortizing bonds. Redemptions and maturity are calculated from the coupon data, if available. Therefore, redemptions must not be included in the passed cash flows.

generic compounding and frequency InterestRate coupons

Italian BTP (Buono Poliennali del Tesoro): a FixedRateBond with the Italian Treasury's own hardcoded conventions baked in -- semiannual, Actual/Actual (ISMA), ModifiedFollowing, TARGET payment calendar, par (100) redemption. accruedAmount (generic, via GenBond) additionally rounds to 5 decimal places on a BTP, through the C++ override -- no separate binding needed. yield upstream is a thin wrapper fixing yield's day counter/compounding/frequency arguments to Actual/Actual (ISMA)/Compounded/Annual and is not bound; call the generic yield with those same arguments instead.

As btp, but with an explicit (non-par) redemption amount -- needed only for one remaining legacy BTP (as of upstream's own documentation) that redeems below par.

zero-coupon bond

floating-rate bond (possibly capped and/or floored)

CMS-rate bond

An inflation-linked bond whose redemption and coupons scale with a ZeroInflationIndex fixing relative to baseCPI.

amortizing fixed-rate bond: like fixedRateBond but with a per-period notional schedule instead of a single face amount (see sinkingSchedule/sinkingNotionals for building one).

amortizing CMS-rate bond (possibly capped and/or floored) with a per-period notional schedule instead of a single face amount, and a per-period redemption schedule instead of a single redemption value.

amortizing floating-rate bond (possibly capped and/or floored) with a per-period notional schedule instead of a single face amount; see AmortizingFloatingRateBondOpts for the trailing optional parameters (default via defaultAmortizingFloatingRateBondOpts, override with record-update syntax).

returns a schedule for French amortization

returns a sequence of notionals for French amortization

A weighted collection of BTPs with their outstanding amounts and live clean-price quotes, used by rendistatoCalculator. size/btps/cleanPriceQuotes/outstandings/weights/outstanding are all constructor echoes and are not bound.

QuantLib's own BTP-vs-EUR-swap-curve relative-value tool (ql/instruments/bonds/btp.hpp's RendistatoCalculator): aggregates a RendistatoBasket into a weighted BTP yield/duration, prices a fixed ladder of 1..15Y EUR swaps against a discount curve, and reports the swap whose duration is closest to (without exceeding) the basket's own duration as the "equivalent swap". euriborForwardCurve forwards the internally constructed Euribor index used for those comparison swaps' floating leg -- matching upstream's own Euribor default when Nothing, but the calculator immediately prices those swaps (fairRate), which needs a real forwarding curve to project floating cashflows, so a Nothing here throws rather than degrading gracefully; pass the same curve as discountCurve unless a genuinely different forward curve is wanted. discountCurve is required, with no upstream default.

fixed-rate bond with an embedded call/put schedule

zero-coupon bond with an embedded call/put schedule

convertible bond with a fixed-rate coupon leg

convertible bond with a floating-rate coupon leg

convertible zero-coupon bond

Returns the maturity date of the bond

theoretical bond yield

accrued amount at a given date

dirty price given a yield and settlement date

date of the next cash flow after the given (or default settlement) date

Expected next coupon: depending on (the bond and) the given date the coupon can be historic, deterministic or expected in a stochastic sense. When the bond settlement date is used the coupon is the already-fixed not-yet-paid one.The current bond settlement is used if no date is given.

bond notional outstanding at the given date

date of the cash flow immediately before the given (or default settlement) date

Previous coupon already paid at a given date. Expected previous coupon: depending on (the bond and) the given date the coupon can be historic, deterministic or expected in a stochastic sense. When the bond settlement date is used the coupon is the last paid one.The current bond settlement is used if no date is given.

settlement value as a function of the clean price The default bond settlement date is used for calculation.

theoretical settlement value The default bond settlement date is used for calculation.

yield given a (clean) price and settlement date

whether the bond can be traded (i.e. still has a positive notional) at the given date

notionals for each period of the bond's amortization schedule

returns all the cashflows, including the redemptions.

returns just the redemption flows (not interest payments)

settlement date computed from the given date (or today's date if none is given)

date the bond starts accruing

number of days in the current accrual period up to the given (or default settlement) date

end date of the accrual period containing the given (or default settlement) date

length in time of the accrual period containing the given (or default settlement) date

start date of the accrual period containing the given (or default settlement) date

number of days accrued up to the given (or default settlement) date

length in time accrued up to the given (or default settlement) date

the bond's yield to maturity given a market price and discount curve

basis-point value given an InterestRate yield

Basis-point sensitivity under the given discounting, at a settlement date.

Clean price under the given discounting, at a settlement date.

convexity given an InterestRate yield

duration given an InterestRate yield and duration type

amount of the cash flow immediately after the given (or default settlement) date

amount of the cash flow immediately before the given (or default settlement) date

end date of the reference period containing the given (or default settlement) date

start date of the reference period containing the given (or default settlement) date

yield given a (clean) price and settlement date, solved to the given accuracy

yield value of a basis point given an InterestRate yield

Z-spread over a discount curve implied by a (clean) price, solved to the given accuracy

theoretical clean price for the current evaluation date and term structure

theoretical dirty price The default bond settlement is used for calculation. Warning the theoretical price calculated from a flat term structure might differ slightly from the price calculated from the corresponding yield by means of the other overload of this function. If the price from a constant yield is desired, it is advisable to use such other overload.

the basket's outstanding-weighted BTP yield: sum (weights * yields) -- a near-tautology over rendistatoYields, kept because it is upstream's own published aggregate.

the basket's outstanding-weighted BTP (modified) duration.

per-bond yields, in basket order.

per-bond (modified) durations, in basket order.

the fixed 1..15Y comparison-swap ladder's lengths, in years -- pairs positionally with rendistatoSwapRates/rendistatoSwapYields/rendistatoSwapDurations.

each ladder swap's fair (par) rate.

each ladder swap's fixed leg, repriced as a par bond and re-expressed as a BTP-convention yield.

each ladder swap's fixed leg (modified) duration, on the same par-bond proxy.

the ladder swap whose duration is closest to (without exceeding) the basket's own duration.

the equivalent swap's fair rate.

the equivalent swap's par-bond-proxy yield.

the equivalent swap's par-bond-proxy duration.

the equivalent swap's length, in years.

rendistatoYield - rendistatoEquivalentSwapRate: the basket's spread over its equivalent swap.

A live Quote tracking rendistatoEquivalentSwapLength -- re-evaluates on every access rather than snapshotting it, so it can be wired into curve bootstrapping like any other quote.

A live Quote tracking rendistatoEquivalentSwapSpread.