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treasurybond Class Reference

#include <bond.h>

Inheritance diagram for treasurybond:

bond List of all members.

Public Member Functions

 treasurybond (Date issue, Date maturity, Date firstcoupondate, Real coupon, Frequency freq, Real faceamount, DayCountConvention daycount, yieldCurve yc)
 Constructor.

 treasurybond (Date issue, Date maturity, Date firstcoupondate, Real coupon, yieldCurve yc)
 Constructor : bond whose freq is semiannual, faceamount=100 and daycount is actual/360.

 treasurybond (Date issue, Date maturity, Real faceamount, DayCountConvention daycount, yieldCurve yc)
 Constructor : ZCbond.

 ~treasurybond (void)
 Destructor.

treasurybond shiftedbond (Real shift)
 bond with same parameters and a shifted yield curve

Real rho (Date today)
 return the derivative of the bond price with respect to interest rates

Real rho ()

Constructor & Destructor Documentation

treasurybond::treasurybond Date  issue,
Date  maturity,
Date  firstcoupondate,
Real  coupon,
Frequency  freq,
Real  faceamount,
DayCountConvention  daycount,
yieldCurve  yc
 

Constructor.

Parameters:
issue: date of issue of the bond
maturity: maturity of the bond
firstcoupondate: date of the first coupon
coupon: coupon of the bond, express as a percentqge of the faceamount
freq: frequency of the coupon
faceamount: par value
daycount: daycount convention
yc: yieldcurve

Definition at line 307 of file bond.cpp.

References Real.

treasurybond::treasurybond Date  issue,
Date  maturity,
Date  firstcoupondate,
Real  coupon,
yieldCurve  yc
 

Constructor : bond whose freq is semiannual, faceamount=100 and daycount is actual/360.

Definition at line 312 of file bond.cpp.

References ACT_360, Real, and Semiannual.

treasurybond::treasurybond Date  issue,
Date  maturity,
Real  faceamount,
DayCountConvention  daycount,
yieldCurve  yc
 

Constructor : ZCbond.

Definition at line 317 of file bond.cpp.

References Once, and Real.

treasurybond::~treasurybond void   )  [inline]
 

Destructor.

Definition at line 101 of file bond.h.


Member Function Documentation

Real treasurybond::rho  )  [inline]
 

Definition at line 108 of file bond.h.

References Real.

Real treasurybond::rho Date  today  ) 
 

return the derivative of the bond price with respect to interest rates

Definition at line 328 of file bond.cpp.

References bond::fairvalue(), Real, and shiftedbond().

treasurybond treasurybond::shiftedbond Real  shift  ) 
 

bond with same parameters and a shifted yield curve

Definition at line 322 of file bond.cpp.

References Real, and yieldCurve::shiftZCBRateCurve().

Referenced by rho().


The documentation for this class was generated from the following files:
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Generated on Thu Dec 22 23:12:40 2005 for terreneuve by doxygen 1.3.6