#include <convertiblebond.h>
Inheritance diagram for convertiblebond:
Public Member Functions | |
convertiblebond (asset Stock, riskybond Bond, Real conversionRatio=CB_DEFAULT_RATIO, Natural nSteps=CB_DEFAULT_STEPS, Real callPrice=CB_DEFAULT_CALLPRICE, Real putPrice=CB_DEFAULT_PUTPRICE) | |
Constructor. | |
virtual | ~convertiblebond (void) |
virtual Real | fairvalue (Date today) |
virtual Real | fairvalue () |
Real | adjustedConversionRatio () const |
Real | parity (void) const |
Real | delta (void) const |
Real | delta (Date today) const |
Real | parityDelta (void) const |
Real | parityDelta (Date today) const |
convertiblebond | shiftedcbond (Real shift) |
Real | rho (Date today) |
return the derivative of the bond price with respect to interest rates | |
Real | rho () |
Real | interestRateDelta (void) const |
Real | interestRateDelta (Date today) const |
Real | gamma (void) const |
Real | gamma (Date today) const |
Real | parityGamma (void) const |
Real | parityGamma (Date today) const |
Natural | getSteps (void) const |
Protected Attributes | |
binomialTree * | _bt |
bool | _btCached |
Private Member Functions | |
void | copyObj (const convertiblebond &rhs) |
Private Attributes | |
asset | _stock |
riskybond | _bond |
Natural | _n |
Real | _callPrice |
Real | _putPrice |
Real | _conversionRatio |
Real | _price |
bool | _priceCached |
Date | _datepriceCached |
Real | _delta |
bool | _deltaCached |
Date | _datedeltaCached |
Real | _interestRateDelta |
bool | _interestRateDeltaCached |
Date | _dateinterestRateDeltaCached |
Real | _gamma |
bool | _gammaCached |
Date | _dategammaCached |
Friends | |
ostream & | operator<< (ostream &os, convertiblebond &cb) |
ostream & | operator<< (ostream &os, convertiblebond *cb) |
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Constructor.
Definition at line 5 of file convertiblebond.cpp. References _btCached, _deltaCached, _gammaCached, _interestRateDeltaCached, _priceCached, Natural, and Real. Referenced by delta(), gamma(), and shiftedcbond(). |
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Definition at line 29 of file convertiblebond.cpp. |
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Definition at line 52 of file convertiblebond.h. References _conversionRatio, bond::getFaceAmount(), and Real. Referenced by parityDelta(), and parityGamma(). |
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Definition at line 65 of file convertiblebond.cpp. References _bond, _callPrice, _conversionRatio, _datedeltaCached, _delta, _deltaCached, _putPrice, _stock, convertiblebond(), fairvalue(), asset::getPrice(), asset::GetVolatility(), and Real. |
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Definition at line 56 of file convertiblebond.h. References Real. Referenced by gamma(), operator<<(), and parityDelta(). |
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Reimplemented from bond. Definition at line 50 of file convertiblebond.h. References Real. |
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Reimplemented from bond. Definition at line 33 of file convertiblebond.cpp. References _bt, _btCached, _callPrice, _conversionRatio, _datepriceCached, _priceCached, _putPrice, _stock, binomialTree::getClaimProcess(), bond::getFaceAmount(), bond::getMaturityInYears(), and binomialTree::runEngineConvertibleBond(). Referenced by delta(), interestRateDelta(), mainconvertiblebond(), and operator<<(). |
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Definition at line 123 of file convertiblebond.cpp. References _bond, _callPrice, _conversionRatio, _dategammaCached, _gamma, _gammaCached, _putPrice, _stock, convertiblebond(), delta(), asset::getPrice(), asset::GetVolatility(), and Real. |
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Definition at line 65 of file convertiblebond.h. References Real. Referenced by operator<<(), and parityGamma(). |
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Definition at line 72 of file convertiblebond.h. References Natural. |
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Definition at line 107 of file convertiblebond.cpp. References _dateinterestRateDeltaCached, _interestRateDelta, _interestRateDeltaCached, and fairvalue(). |
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Definition at line 63 of file convertiblebond.h. References Real. Referenced by operator<<(), and rho(). |
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Definition at line 55 of file convertiblebond.h. References _conversionRatio, _stock, asset::getPrice(), and Real. |
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Definition at line 59 of file convertiblebond.h. References adjustedConversionRatio(), delta(), and Real. |
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Definition at line 58 of file convertiblebond.h. References Real. Referenced by mainconvertiblebond(), and operator<<(). |
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Definition at line 68 of file convertiblebond.h. References adjustedConversionRatio(), gamma(), and Real. |
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Definition at line 67 of file convertiblebond.h. References Real. Referenced by mainconvertiblebond(), and operator<<(). |
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Reimplemented from riskybond. Definition at line 62 of file convertiblebond.h. References Real. |
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return the derivative of the bond price with respect to interest rates
Reimplemented from riskybond. Definition at line 61 of file convertiblebond.h. References interestRateDelta(), and Real. Referenced by mainconvertiblebond(). |
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Definition at line 99 of file convertiblebond.cpp. References _bond, _callPrice, _conversionRatio, _putPrice, _stock, convertiblebond(), Real, riskybond::shiftedbond(), and shiftedcbond(). Referenced by shiftedcbond(). |
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Definition at line 35 of file convertiblebond.h. |
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Definition at line 156 of file convertiblebond.cpp. |
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Definition at line 80 of file convertiblebond.h. Referenced by delta(), gamma(), and shiftedcbond(). |
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Definition at line 75 of file convertiblebond.h. Referenced by fairvalue(), and operator<<(). |
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Definition at line 76 of file convertiblebond.h. Referenced by convertiblebond(), fairvalue(), and operator<<(). |
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Definition at line 83 of file convertiblebond.h. Referenced by delta(), fairvalue(), gamma(), operator<<(), and shiftedcbond(). |
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Definition at line 85 of file convertiblebond.h. Referenced by adjustedConversionRatio(), delta(), fairvalue(), gamma(), operator<<(), parity(), and shiftedcbond(). |
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Definition at line 94 of file convertiblebond.h. Referenced by delta(). |
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Definition at line 102 of file convertiblebond.h. Referenced by gamma(). |
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Definition at line 98 of file convertiblebond.h. Referenced by interestRateDelta(). |
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Definition at line 90 of file convertiblebond.h. Referenced by fairvalue(). |
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Definition at line 92 of file convertiblebond.h. Referenced by delta(). |
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Definition at line 93 of file convertiblebond.h. Referenced by convertiblebond(), and delta(). |
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Definition at line 100 of file convertiblebond.h. Referenced by gamma(). |
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Definition at line 101 of file convertiblebond.h. Referenced by convertiblebond(), and gamma(). |
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Definition at line 96 of file convertiblebond.h. Referenced by interestRateDelta(). |
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Definition at line 97 of file convertiblebond.h. Referenced by convertiblebond(), and interestRateDelta(). |
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Definition at line 82 of file convertiblebond.h. Referenced by operator<<(). |
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Definition at line 88 of file convertiblebond.h. |
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Definition at line 89 of file convertiblebond.h. Referenced by convertiblebond(), and fairvalue(). |
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Definition at line 84 of file convertiblebond.h. Referenced by delta(), fairvalue(), gamma(), operator<<(), and shiftedcbond(). |
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Definition at line 79 of file convertiblebond.h. Referenced by delta(), fairvalue(), gamma(), operator<<(), parity(), and shiftedcbond(). |