#include <bond.h>
Inheritance diagram for treasurybond:
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 () |
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Constructor.
Definition at line 307 of file bond.cpp. References Real. |
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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. |
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Constructor : ZCbond.
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Destructor.
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Definition at line 108 of file bond.h. References Real. |
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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(). |
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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(). |