1/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
2
3/*!
4 Copyright (C) 2006 Allen Kuo
5
6 This file is part of QuantLib, a free-software/open-source library
7 for financial quantitative analysts and developers - http://quantlib.org/
8
9 QuantLib is free software: you can redistribute it and/or modify it
10 under the terms of the QuantLib license. You should have received a
11 copy of the license along with this program; if not, please email
12 <quantlib-dev@lists.sf.net>. The license is also available online at
13 <http://quantlib.org/license.shtml>.
14
15 This program is distributed in the hope that it will be useful, but WITHOUT
16 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
17 FOR A PARTICULAR PURPOSE. See the license for more details.
18*/
19
20/* a Repo calculation done using the FixedRateBondForward class
21 cf. aaBondFwd() repo example at
22 http://www.fincad.com/support/developerFunc/mathref/BFWD.htm
23
24 This repo is set up to use the repo rate to do all discounting
25 (including the underlying bond income). Forward delivery price is
26 also obtained using this repo rate. All this is done by supplying
27 the FixedRateBondForward constructor with a flat repo
28 YieldTermStructure.
29*/
30
31#include <ql/qldefines.hpp>
32#if !defined(BOOST_ALL_NO_LIB) && defined(BOOST_MSVC)
33# include <ql/auto_link.hpp>
34#endif
35#include <ql/instruments/bondforward.hpp>
36#include <ql/instruments/bonds/fixedratebond.hpp>
37#include <ql/pricingengines/bond/discountingbondengine.hpp>
38#include <ql/termstructures/yield/flatforward.hpp>
39#include <ql/time/schedule.hpp>
40#include <ql/time/calendars/nullcalendar.hpp>
41#include <ql/time/daycounters/actual360.hpp>
42#include <ql/time/daycounters/thirty360.hpp>
43
44#include <iostream>
45#include <iomanip>
46
47using namespace std;
48using namespace QuantLib;
49
50int main(int, char* []) {
51
52 try {
53
54 std::cout << std::endl;
55
56 Date repoSettlementDate(14,February,2000);;
57 Date repoDeliveryDate(15,August,2000);
58 Rate repoRate = 0.05;
59 DayCounter repoDayCountConvention = Actual360();
60 Integer repoSettlementDays = 0;
61 Compounding repoCompounding = Simple;
62 Frequency repoCompoundFreq = Annual;
63
64 // assume a ten year bond- this is irrelevant
65 Date bondIssueDate(15,September,1995);
66 Date bondDatedDate(15,September,1995);
67 Date bondMaturityDate(15,September,2005);
68 Real bondCoupon = 0.08;
69 Frequency bondCouponFrequency = Semiannual;
70 // unknown what calendar fincad is using
71 Calendar bondCalendar = NullCalendar();
72 DayCounter bondDayCountConvention = Thirty360(Thirty360::BondBasis);
73 // unknown what fincad is using. this may affect accrued calculation
74 Integer bondSettlementDays = 0;
75 BusinessDayConvention bondBusinessDayConvention = Unadjusted;
76 Real bondCleanPrice = 89.97693786;
77 Real bondRedemption = 100.0;
78 Real faceAmount = 100.0;
79
80
81 Settings::instance().evaluationDate() = repoSettlementDate;
82
83 RelinkableHandle<YieldTermStructure> bondCurve;
84 bondCurve.linkTo(h: ext::make_shared<FlatForward>(args&: repoSettlementDate,
85 args: .01, // dummy rate
86 args&: bondDayCountConvention,
87 args: Compounded,
88 args&: bondCouponFrequency));
89
90 /*
91 auto bond = ext::make_shared<FixedRateBond>(faceAmount,
92 bondIssueDate,
93 bondDatedDate,
94 bondMaturityDate,
95 bondSettlementDays,
96 std::vector<Rate>(1,bondCoupon),
97 bondCouponFrequency,
98 bondCalendar,
99 bondDayCountConvention,
100 bondBusinessDayConvention,
101 bondBusinessDayConvention,
102 bondRedemption,
103 bondCurve);
104 */
105
106 Schedule bondSchedule(bondDatedDate, bondMaturityDate,
107 Period(bondCouponFrequency),
108 bondCalendar,bondBusinessDayConvention,
109 bondBusinessDayConvention,
110 DateGeneration::Backward,false);
111 auto bond = ext::make_shared<FixedRateBond>(args&: bondSettlementDays,
112 args&: faceAmount,
113 args&: bondSchedule,
114 args: std::vector<Rate>(1,bondCoupon),
115 args&: bondDayCountConvention,
116 args&: bondBusinessDayConvention,
117 args&: bondRedemption,
118 args&: bondIssueDate);
119 bond->setPricingEngine(ext::make_shared<DiscountingBondEngine>(args&: bondCurve));
120
121 bondCurve.linkTo(h: ext::make_shared<FlatForward>(args&: repoSettlementDate,
122 args: bond->yield(cleanPrice: bondCleanPrice,
123 dc: bondDayCountConvention,
124 comp: Compounded,
125 freq: bondCouponFrequency),
126 args&: bondDayCountConvention,
127 args: Compounded,
128 args&: bondCouponFrequency));
129
130 Position::Type fwdType = Position::Long;
131 double dummyStrike = 91.5745;
132
133 RelinkableHandle<YieldTermStructure> repoCurve;
134 repoCurve.linkTo(h: ext::make_shared<FlatForward>(args&: repoSettlementDate,
135 args&: repoRate,
136 args&: repoDayCountConvention,
137 args&: repoCompounding,
138 args&: repoCompoundFreq));
139
140
141 BondForward bondFwd(repoSettlementDate, repoDeliveryDate, fwdType, dummyStrike,
142 repoSettlementDays, repoDayCountConvention, bondCalendar,
143 bondBusinessDayConvention, bond, repoCurve, repoCurve);
144
145
146 cout << "Underlying bond clean price: "
147 << bond->cleanPrice()
148 << endl;
149 cout << "Underlying bond dirty price: "
150 << bond->dirtyPrice()
151 << endl;
152 cout << "Underlying bond accrued at settlement: "
153 << bond->accruedAmount(d: repoSettlementDate)
154 << endl;
155 cout << "Underlying bond accrued at delivery: "
156 << bond->accruedAmount(d: repoDeliveryDate)
157 << endl;
158 cout << "Underlying bond spot income: "
159 << bondFwd.spotIncome(incomeDiscountCurve: repoCurve)
160 << endl;
161 cout << "Underlying bond fwd income: "
162 << bondFwd.spotIncome(incomeDiscountCurve: repoCurve)/
163 repoCurve->discount(d: repoDeliveryDate)
164 << endl;
165 cout << "Repo strike: "
166 << dummyStrike
167 << endl;
168 cout << "Repo NPV: "
169 << bondFwd.NPV()
170 << endl;
171 cout << "Repo clean forward price: "
172 << bondFwd.cleanForwardPrice()
173 << endl;
174 cout << "Repo dirty forward price: "
175 << bondFwd.forwardPrice()
176 << endl;
177 cout << "Repo implied yield: "
178 << bondFwd.impliedYield(underlyingSpotValue: bond->dirtyPrice(),
179 forwardValue: dummyStrike,
180 settlementDate: repoSettlementDate,
181 compoundingConvention: repoCompounding,
182 dayCounter: repoDayCountConvention)
183 << endl;
184 cout << "Market repo rate: "
185 << repoCurve->zeroRate(d: repoDeliveryDate,
186 resultDayCounter: repoDayCountConvention,
187 comp: repoCompounding,
188 freq: repoCompoundFreq)
189 << endl
190 << endl;
191
192 cout << "Compare with example given at \n"
193 << "http://www.fincad.com/support/developerFunc/mathref/BFWD.htm"
194 << endl;
195 cout << "Clean forward price = 88.2408"
196 << endl
197 << endl;
198 cout << "In that example, it is unknown what bond calendar they are\n"
199 << "using, as well as settlement Days. For that reason, I have\n"
200 << "made the simplest possible assumptions here: NullCalendar\n"
201 << "and 0 settlement days."
202 << endl;
203
204
205 return 0;
206
207 } catch (exception& e) {
208 cerr << e.what() << endl;
209 return 1;
210 } catch (...) {
211 cerr << "unknown error" << endl;
212 return 1;
213 }
214}
215
216

source code of quantlib/Examples/Repo/Repo.cpp

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