BondIndex Class Reference

Bond Index. More...

#include <qle/indexes/bondindex.hpp>

Inheritance diagram for BondIndex:

Public Types
enum class	PriceQuoteMethod { PercentageOfPar , CurrencyPerUnit }

Public Member Functions
	BondIndex (const std::string &securityName, const bool dirty=false, const bool relative=true, const Calendar &fixingCalendar=NullCalendar(), const QuantLib::ext::shared_ptr< QuantLib::Bond > &bond=nullptr, const Handle< YieldTermStructure > &discountCurve=Handle< YieldTermStructure >(), const Handle< DefaultProbabilityTermStructure > &defaultCurve=Handle< DefaultProbabilityTermStructure >(), const Handle< Quote > &recoveryRate=Handle< Quote >(), const Handle< Quote > &securitySpread=Handle< Quote >(), const Handle< YieldTermStructure > &incomeCurve=Handle< YieldTermStructure >(), const bool conditionalOnSurvival=true, const Date &issueDate=Date(), const PriceQuoteMethod priceQuoteMethod=PriceQuoteMethod::PercentageOfPar, const double priceQuoteBaseValue=1.0, const bool isInflationLinked=false, const double bidAskAdjustment=0.0, const bool bondIssueDateFallback=false, const std::optional< QuantLib::Bond::Price::Type > &quotedDirtyPrices=QuantLib::Bond::Price::Type::Clean)
Index interface
std::string	name () const override
Calendar	fixingCalendar () const override
bool	isValidFixingDate (const Date &fixingDate) const override
Real	fixing (const Date &fixingDate, bool forecastTodaysFixing=false) const override
Observer interface
void	update () override
Fixing calculations
virtual Rate	forecastFixing (const Date &fixingDate) const
Rate	pastFixing (const Date &fixingDate) const override

Inspectors
std::string	securityName_
bool	dirty_
bool	relative_
Calendar	fixingCalendar_
QuantLib::ext::shared_ptr< QuantLib::Bond >	bond_
Handle< YieldTermStructure >	discountCurve_
Handle< DefaultProbabilityTermStructure >	defaultCurve_
Handle< Quote >	recoveryRate_
Handle< Quote >	securitySpread_
Handle< YieldTermStructure >	incomeCurve_
bool	conditionalOnSurvival_
Date	issueDate_
PriceQuoteMethod	priceQuoteMethod_
double	priceQuoteBaseValue_
bool	isInflationLinked_
double	bidAskAdjustment_
bool	bondIssueDateFallback_ = false
std::optional< QuantLib::Bond::Price::Type >	quotedDirtyPrices_ = QuantLib::Bond::Price::Type::Clean
const std::string &	securityName () const
bool	dirty () const
bool	relative () const
QuantLib::ext::shared_ptr< QuantLib::Bond >	bond () const
Handle< YieldTermStructure >	discountCurve () const
Handle< DefaultProbabilityTermStructure >	defaultCurve () const
Handle< Quote >	recoveryRate () const
Handle< Quote >	securitySpread () const
Handle< YieldTermStructure >	incomeCurve () const
bool	conditionalOnSurvival () const
Date	issueDate () const
PriceQuoteMethod	priceQuoteMethod () const
double	priceQuoteBaseValue () const
const std::optional< QuantLib::Bond::Price::Type > &	quotedDirtyPrices () const

Detailed Description

Bond Index.

Constructor & Destructor Documentation

BondIndex()

BondIndex	(	const std::string &	securityName,
		const bool	dirty = false,
		const bool	relative = true,
		const Calendar &	fixingCalendar = NullCalendar(),
		const QuantLib::ext::shared_ptr< QuantLib::Bond > &	bond = nullptr,
		const Handle< YieldTermStructure > &	discountCurve = Handle< YieldTermStructure >(),
		const Handle< DefaultProbabilityTermStructure > &	defaultCurve = Handle< DefaultProbabilityTermStructure >(),
		const Handle< Quote > &	recoveryRate = Handle< Quote >(),
		const Handle< Quote > &	securitySpread = Handle< Quote >(),
		const Handle< YieldTermStructure > &	incomeCurve = Handle< YieldTermStructure >(),
		const bool	conditionalOnSurvival = true,
		const Date &	issueDate = Date(),
		const PriceQuoteMethod	priceQuoteMethod = PriceQuoteMethod::PercentageOfPar,
		const double	priceQuoteBaseValue = 1.0,
		const bool	isInflationLinked = false,
		const double	bidAskAdjustment = 0.0,
		const bool	bondIssueDateFallback = false,
		const std::optional< QuantLib::Bond::Price::Type > &	quotedDirtyPrices = QuantLib::Bond::Price::Type::Clean )

The values that this index return are of the form

• 1.02 meaning 102% price clean or dirty (depending on the flag dirty in the ctor) i.e. the absolute bond clean or dirty NPV is divided by the current notional at the fixing date
• 10020 meaning an absolute NPV in terms of the current notional of the underlying bond at the fixing date, again clean or dirty depending on the flag dirty in the ctor, here the notional would be 10000

The first form is returned if the flag relative in the ctor is set to true, the second if this flag is set to false.

The fixing projection (fixingDate > today) assumes that the given bond is vanilla, i.e. its present value can be calculated by discounting the cashflows retrieved with Bond::cashflows().

If the bond has a pricing engine attached and today's fixing is projected, the pricing engine's result will be used. Otherwise today's fixing will be calculated as projected fixings for dates > today, i.e. by simply discounting the bond's cashflows.

If no bond is given, only historical fixings are returned by the index and only the clean price mode and relative price mode are supported respectively. Otherwise an exception is thrown whenever a fixing is requested from the index.

To compute projected fixings for dates > today, a discountCurve is required. The other quotes and curves are optional and default as follows:

• defaultCurve: defaults to zero hazard spread
• recoveryRate: defaults to zero
• securitySpread: defaults to zero
• incomCurve: defaults to the curve build as discountCurve + securitySpread

If conditionalOnSurvival is set to true, a projected fixing will be conditional on survival until the associated bond settlement date, otherwise it will include the default probability between today and the settlement date.

If priceQuoteMethod = CurrencyPerUnit, a fixing in the fixing history will be divided by priceQuoteBaseValue before returning it.