Safe Haskell	None
Language	Haskell2010

QuantLib.Instrument.Bond

Synopsis

type Bond = GenBond CBond
type FixedRateBond = GenBond CFixedRateBond
type ConvertibleBond = GenBond CConvertibleBond
type CallableBond = GenBond CCallableBond
asBond :: GenBond a -> IO Bond
data BondPriceType
- = Dirty
- | Clean
bond :: Word -> Calendar -> Maybe Day -> GenLeg a -> IO Bond
bond' :: Word -> Calendar -> Double -> Maybe Day -> Maybe Day -> GenLeg a -> IO Bond
fixedRateBond :: Word -> Double -> Schedule -> [Double] -> DayCounter -> BusinessDayConvention -> Double -> Maybe Day -> Calendar -> IO FixedRateBond
zeroCouponBond :: Word -> Calendar -> Double -> Day -> BusinessDayConvention -> Double -> Maybe Day -> IO Bond
floatingRateBond :: Word -> Double -> Schedule -> GenIborIndex a -> DayCounter -> BusinessDayConvention -> Word -> [Double] -> [Double] -> [Double] -> [Double] -> Bool -> Double -> Maybe Day -> IO Bond
maturityDate :: GenBond a -> Maybe Day
yield :: GenBond a -> DayCounter -> Compounding -> Frequency -> Double -> Word -> IO Double
accruedAmount :: GenBond a -> Day -> IO Double
cleanPriceFromYield :: GenBond a -> Double -> DayCounter -> Compounding -> Frequency -> Day -> IO Double
dirtyPriceFromYield :: GenBond a -> Double -> DayCounter -> Compounding -> Frequency -> Day -> IO Double
nextCashFlowDate :: GenBond a -> Day -> IO (Maybe Day)
nextCouponRate :: GenBond a -> Day -> IO Double
notional :: GenBond a -> Day -> IO Double
previousCashFlowDate :: GenBond a -> Day -> IO (Maybe Day)
previousCouponRate :: GenBond a -> Day -> IO Double
settlementValueFromCleanPrice :: GenBond a -> Double -> IO Double
settlementValue :: GenBond a -> IO Double
yieldFromCleanPrice :: GenBond a -> Double -> DayCounter -> Compounding -> Frequency -> Day -> Double -> Word -> IO Double
isTradable :: GenBond a -> Day -> IO Bool
notionals :: GenBond a -> IO [Double]
cashFlows :: GenBond a -> IO Leg
redemptions :: GenBond a -> IO Leg
settlementDate :: GenBond a -> Day -> IO Day
startDate :: GenBond a -> IO Day
accrualDays :: GenBond a -> Day -> IO Int
accrualEndDate :: GenBond a -> Day -> IO (Maybe Day)
accrualPeriod :: GenBond a -> Day -> IO Double
accrualStartDate :: GenBond a -> Day -> IO (Maybe Day)
accruedDays :: GenBond a -> Day -> IO Int
accruedPeriod :: GenBond a -> Day -> IO Double
atmRate :: GenBond b -> GenYieldTermStructure a -> Day -> Double -> IO Double
basisPointValue' :: GenBond a -> InterestRate -> Day -> IO Double
basisPointValue :: GenBond a -> Double -> DayCounter -> Compounding -> Frequency -> Day -> IO Double
bpsFromYield :: GenBond a -> Double -> DayCounter -> Compounding -> Frequency -> Day -> IO Double
bpsFromYield' :: GenBond a -> InterestRate -> Day -> IO Double
bps :: GenBond b -> GenYieldTermStructure a -> Day -> IO Double
cleanPrice :: GenBond b -> GenYieldTermStructure a -> Day -> IO Double
cleanPrice' :: GenBond b -> GenYieldTermStructure a -> Double -> Compounding -> Frequency -> Day -> IO Double
cleanPriceFromYield' :: GenBond a -> InterestRate -> Day -> IO Double
convexity' :: GenBond a -> InterestRate -> Day -> IO Double
convexity :: GenBond a -> Double -> DayCounter -> Compounding -> Frequency -> Day -> IO Double
duration' :: GenBond a -> InterestRate -> DurationType -> Day -> IO Double
duration :: GenBond a -> Double -> DayCounter -> Compounding -> Frequency -> DurationType -> Day -> IO Double
nextCashFlowAmount :: GenBond a -> Day -> IO Double
previousCashFlowAmount :: GenBond a -> Day -> IO Double
referencePeriodEnd :: GenBond a -> Day -> IO (Maybe Day)
referencePeriodStart :: GenBond a -> Day -> IO (Maybe Day)
yieldFromCleanPrice' :: GenBond a -> Double -> DayCounter -> Compounding -> Frequency -> Day -> Double -> Word -> Double -> IO Double
yieldValueBasisPoint' :: GenBond a -> InterestRate -> Day -> IO Double
yieldValueBasisPoint :: GenBond a -> Double -> DayCounter -> Compounding -> Frequency -> Day -> IO Double
zSpread :: GenBond b -> Double -> GenYieldTermStructure a -> Compounding -> Frequency -> Day -> Double -> Word -> Double -> IO Double
currentCleanPrice :: GenBond a -> IO Double
currentDirtyPrice :: GenBond a -> IO Double
callableFixedRateBond :: Word -> Double -> Schedule -> [Double] -> DayCounter -> BusinessDayConvention -> Double -> Maybe Day -> [Callability] -> IO CallableBond
callableZeroCouponBond :: Word -> Double -> Calendar -> Day -> DayCounter -> BusinessDayConvention -> Double -> Maybe Day -> [Callability] -> IO CallableBond
convertibleFixedCouponBond :: Exercise -> Double -> [Callability] -> Day -> Word -> [Double] -> DayCounter -> Schedule -> Double -> IO ConvertibleBond
convertibleFloatingRateBond :: Exercise -> Double -> [Callability] -> Day -> Word -> GenIborIndex b -> Word -> [Double] -> DayCounter -> Schedule -> Double -> IO ConvertibleBond
convertibleZeroCouponBond :: Exercise -> Double -> [Callability] -> Day -> Word -> DayCounter -> Schedule -> Double -> IO ConvertibleBond

Documentation

type Bond = GenBond CBond #

type FixedRateBond = GenBond CFixedRateBond #

type ConvertibleBond = GenBond CConvertibleBond #

type CallableBond = GenBond CCallableBond #

asBond :: GenBond a -> IO Bond #

data BondPriceType #

Constructors

Dirty
Clean

Instances

Instances details

Enum BondPriceType #
Instance details Defined in QuantLib.Internal.Enum Methods succ :: BondPriceType -> BondPriceType # pred :: BondPriceType -> BondPriceType # toEnum :: Int -> BondPriceType # fromEnum :: BondPriceType -> Int # enumFrom :: BondPriceType -> [BondPriceType] # enumFromThen :: BondPriceType -> BondPriceType -> [BondPriceType] # enumFromTo :: BondPriceType -> BondPriceType -> [BondPriceType] # enumFromThenTo :: BondPriceType -> BondPriceType -> BondPriceType -> [BondPriceType] #
Show BondPriceType #
Instance details Defined in QuantLib.Internal.Enum Methods showsPrec :: Int -> BondPriceType -> ShowS # show :: BondPriceType -> String # showList :: [BondPriceType] -> ShowS #
Eq BondPriceType #
Instance details Defined in QuantLib.Internal.Enum Methods (==) :: BondPriceType -> BondPriceType -> Bool # (/=) :: BondPriceType -> BondPriceType -> Bool #

bond #

Arguments

:: Word
-> Calendar
-> Maybe Day	issueDate
-> GenLeg a	coupons
-> IO Bond

old constructor for non amortizing bonds. Warning The last passed cash flow must be the bond redemption. No other cash flow can have a date later than the redemption date.

bond' #

Arguments

:: Word	settlementDays
-> Calendar
-> Double	faceAmount
-> Maybe Day	maturityDate
-> Maybe Day	issueDate
-> GenLeg a	cashFlows
-> IO Bond

fixedRateBond #

Arguments

:: Word	settlementDays
-> Double	faceAmount
-> Schedule	schedule
-> [Double]	coupons
-> DayCounter	accrualDayCounter
-> BusinessDayConvention	paymentConvention
-> Double	redemption
-> Maybe Day	issueDate
-> Calendar	paymentCalendar
-> IO FixedRateBond

zero-coupon bond

zeroCouponBond #

Arguments

:: Word	settlementDays
-> Calendar
-> Double	faceAmount
-> Day	maturityDate
-> BusinessDayConvention
-> Double	redemption
-> Maybe Day	issueDate
-> IO Bond

floatingRateBond #

Arguments

:: Word	settlementDays
-> Double	faceAmount
-> Schedule	schedule
-> GenIborIndex a
-> DayCounter	accrualDayCounter
-> BusinessDayConvention
-> Word	fixingDays
-> [Double]	gearings
-> [Double]	spreads
-> [Double]	caps
-> [Double]	floors
-> Bool	inArrears
-> Double	redemption
-> Maybe Day	issueDate
-> IO Bond

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

maturityDate :: GenBond a -> Maybe Day #

Returns the maturity date of the bond

generic compounding and frequency InterestRate coupons

yield #

Arguments

:: GenBond a
-> DayCounter
-> Compounding
-> Frequency
-> Double	accuracy
-> Word	maxEvaluations
-> IO Double

theoretical bond yield

accruedAmount :: GenBond a -> Day -> IO Double #

accrued amount at a given date

clean price given a yield and settlement date

cleanPriceFromYield :: GenBond a -> Double -> DayCounter -> Compounding -> Frequency -> Day -> IO Double #

dirty price given a yield and settlement date

dirtyPriceFromYield :: GenBond a -> Double -> DayCounter -> Compounding -> Frequency -> Day -> IO Double #

nextCashFlowDate :: GenBond a -> Day -> IO (Maybe Day) #

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.

nextCouponRate :: GenBond a -> Day -> IO Double #

notional :: GenBond a -> Day -> IO Double #

previousCashFlowDate :: GenBond a -> Day -> IO (Maybe Day) #

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.

previousCouponRate :: GenBond a -> Day -> IO Double #

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

settlementValueFromCleanPrice :: GenBond a -> Double -> IO Double #

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

settlementValue :: GenBond a -> IO Double #

yield given a (clean) price and settlement date

yieldFromCleanPrice #

Arguments

:: GenBond a
-> Double	cleanPrice
-> DayCounter
-> Compounding
-> Frequency
-> Day
-> Double	accuracy
-> Word	maxEvaluations
-> IO Double

isTradable :: GenBond a -> Day -> IO Bool #

notionals :: GenBond a -> IO [Double] #

returns all the cashflows, including the redemptions.

cashFlows :: GenBond a -> IO Leg #

returns just the redemption flows (not interest payments)

redemptions :: GenBond a -> IO Leg #

settlementDate :: GenBond a -> Day -> IO Day #

startDate :: GenBond a -> IO Day #

accrualDays :: GenBond a -> Day -> IO Int #

accrualEndDate :: GenBond a -> Day -> IO (Maybe Day) #

accrualPeriod :: GenBond a -> Day -> IO Double #

accrualStartDate :: GenBond a -> Day -> IO (Maybe Day) #

accruedDays :: GenBond a -> Day -> IO Int #

accruedPeriod :: GenBond a -> Day -> IO Double #

atmRate :: GenBond b -> GenYieldTermStructure a -> Day -> Double -> IO Double #

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.

basisPointValue' :: GenBond a -> InterestRate -> Day -> IO Double #

basisPointValue :: GenBond a -> Double -> DayCounter -> Compounding -> Frequency -> Day -> IO Double #

bpsFromYield :: GenBond a -> Double -> DayCounter -> Compounding -> Frequency -> Day -> IO Double #

bpsFromYield' :: GenBond a -> InterestRate -> Day -> IO Double #

bps :: GenBond b -> GenYieldTermStructure a -> Day -> IO Double #

cleanPrice :: GenBond b -> GenYieldTermStructure a -> Day -> IO Double #

cleanPrice' #

Arguments

:: GenBond b
-> GenYieldTermStructure a	discount
-> Double	zSpread
-> Compounding
-> Frequency
-> Day	settlementDate
-> IO Double

cleanPriceFromYield' :: GenBond a -> InterestRate -> Day -> IO Double #

convexity' #

Arguments

:: GenBond a
-> InterestRate	yield
-> Day	settlementDate
-> IO Double

convexity #

Arguments

:: GenBond a
-> Double	yield
-> DayCounter
-> Compounding
-> Frequency
-> Day	settlementDate
-> IO Double

duration' #

Arguments

:: GenBond a
-> InterestRate	yield
-> DurationType
-> Day
-> IO Double

duration #

Arguments

:: GenBond a
-> Double	yield
-> DayCounter
-> Compounding
-> Frequency
-> DurationType
-> Day	settlementDate
-> IO Double

nextCashFlowAmount :: GenBond a -> Day -> IO Double #

previousCashFlowAmount :: GenBond a -> Day -> IO Double #

referencePeriodEnd :: GenBond a -> Day -> IO (Maybe Day) #

referencePeriodStart :: GenBond a -> Day -> IO (Maybe Day) #

yieldFromCleanPrice' #

Arguments

:: GenBond a
-> Double	cleanPrice
-> DayCounter
-> Compounding
-> Frequency
-> Day	settlementDate
-> Double
-> Word	maxIterations
-> Double	guess
-> IO Double

yieldValueBasisPoint' #

Arguments

:: GenBond a
-> InterestRate	yield
-> Day
-> IO Double

yieldValueBasisPoint #

Arguments

:: GenBond a
-> Double	yield
-> DayCounter
-> Compounding
-> Frequency
-> Day
-> IO Double

zSpread #

Arguments

:: GenBond b
-> Double	cleanPrice
-> GenYieldTermStructure a
-> Compounding
-> Frequency
-> Day	settlementDate
-> Double	accuracy
-> Word	maxIterations
-> Double	guess
-> IO Double

currentCleanPrice :: GenBond a -> IO Double #

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.

currentDirtyPrice :: GenBond a -> IO Double #

callableFixedRateBond #

Arguments

:: Word	settlementDays
-> Double	faceAmount
-> Schedule
-> [Double]	coupons
-> DayCounter
-> BusinessDayConvention
-> Double	redemption
-> Maybe Day	issueDate
-> [Callability]
-> IO CallableBond

callableZeroCouponBond #

Arguments

:: Word	settlementDays
-> Double	faceAmount
-> Calendar
-> Day	maturityDate
-> DayCounter
-> BusinessDayConvention
-> Double	redemption
-> Maybe Day	issueDate
-> [Callability]
-> IO CallableBond

convertibleFixedCouponBond #

Arguments

:: Exercise
-> Double	conversionRatio
-> [Callability]
-> Day	issueDate
-> Word	settlementDays
-> [Double]	coupons
-> DayCounter
-> Schedule
-> Double	redemption
-> IO ConvertibleBond

convertibleFloatingRateBond #

Arguments

:: Exercise
-> Double	conversionRatio
-> [Callability]
-> Day	issueDate
-> Word	settlementDays
-> GenIborIndex b
-> Word	fixingDays
-> [Double]	spreads
-> DayCounter
-> Schedule
-> Double	redemption
-> IO ConvertibleBond

convertibleZeroCouponBond #

Arguments

:: Exercise
-> Double	conversionRatio
-> [Callability]
-> Day	issueDate
-> Word	settlementDays
-> DayCounter
-> Schedule
-> Double
-> IO ConvertibleBond