convertiblebond Class Reference

#include <convertiblebond.h>

Inheritance diagram for convertiblebond:

List of all members.

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)

---

Constructor & Destructor Documentation

convertiblebond::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. Definition at line 5 of file convertiblebond.cpp. References _btCached, _deltaCached, _gammaCached, _interestRateDeltaCached, _priceCached, Natural, and Real. Referenced by delta(), gamma(), and shiftedcbond().

convertiblebond::~convertiblebond (  void   )  [virtual]

Definition at line 29 of file convertiblebond.cpp.

---

Member Function Documentation

Real convertiblebond::adjustedConversionRatio (   )  const [inline]

Definition at line 52 of file convertiblebond.h. References _conversionRatio, bond::getFaceAmount(), and Real. Referenced by parityDelta(), and parityGamma().

void convertiblebond::copyObj (  const convertiblebond &  rhs  )  [private]

Real convertiblebond::delta (  Date  today  )  const

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.

Real convertiblebond::delta (  void   )  const [inline]

Definition at line 56 of file convertiblebond.h. References Real. Referenced by gamma(), operator<<(), and parityDelta().

virtual Real convertiblebond::fairvalue (   )  [inline, virtual]

Reimplemented from bond. Definition at line 50 of file convertiblebond.h. References Real.

Real convertiblebond::fairvalue (  Date  today  )  [virtual]

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<<().

Real convertiblebond::gamma (  Date  today  )  const

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.

Real convertiblebond::gamma (  void   )  const [inline]

Definition at line 65 of file convertiblebond.h. References Real. Referenced by operator<<(), and parityGamma().

Natural convertiblebond::getSteps (  void   )  const [inline]

Definition at line 72 of file convertiblebond.h. References Natural.

Real convertiblebond::interestRateDelta (  Date  today  )  const

Definition at line 107 of file convertiblebond.cpp. References _dateinterestRateDeltaCached, _interestRateDelta, _interestRateDeltaCached, and fairvalue().

Real convertiblebond::interestRateDelta (  void   )  const [inline]

Definition at line 63 of file convertiblebond.h. References Real. Referenced by operator<<(), and rho().

Real convertiblebond::parity (  void   )  const [inline]

Definition at line 55 of file convertiblebond.h. References _conversionRatio, _stock, asset::getPrice(), and Real.

Real convertiblebond::parityDelta (  Date  today  )  const [inline]

Definition at line 59 of file convertiblebond.h. References adjustedConversionRatio(), delta(), and Real.

Real convertiblebond::parityDelta (  void   )  const [inline]

Definition at line 58 of file convertiblebond.h. References Real. Referenced by mainconvertiblebond(), and operator<<().

Real convertiblebond::parityGamma (  Date  today  )  const [inline]

Definition at line 68 of file convertiblebond.h. References adjustedConversionRatio(), gamma(), and Real.

Real convertiblebond::parityGamma (  void   )  const [inline]

Definition at line 67 of file convertiblebond.h. References Real. Referenced by mainconvertiblebond(), and operator<<().

Real convertiblebond::rho (   )  [inline, virtual]

Reimplemented from riskybond. Definition at line 62 of file convertiblebond.h. References Real.

Real convertiblebond::rho (  Date  today  )  [inline, virtual]

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().

convertiblebond convertiblebond::shiftedcbond (  Real  shift  )

Definition at line 99 of file convertiblebond.cpp. References _bond, _callPrice, _conversionRatio, _putPrice, _stock, convertiblebond(), Real, riskybond::shiftedbond(), and shiftedcbond(). Referenced by shiftedcbond().

---

Friends And Related Function Documentation

ostream& operator<< (  ostream &  os, convertiblebond *  cb )  [friend]

Definition at line 35 of file convertiblebond.h.

ostream& operator<< (  ostream &  os, convertiblebond &  cb )  [friend]

Definition at line 156 of file convertiblebond.cpp.

---

Member Data Documentation

riskybond convertiblebond::_bond [private]

Definition at line 80 of file convertiblebond.h. Referenced by delta(), gamma(), and shiftedcbond().

binomialTree* convertiblebond::_bt [mutable, protected]

Definition at line 75 of file convertiblebond.h. Referenced by fairvalue(), and operator<<().

bool convertiblebond::_btCached [mutable, protected]

Definition at line 76 of file convertiblebond.h. Referenced by convertiblebond(), fairvalue(), and operator<<().

Real convertiblebond::_callPrice [private]

Definition at line 83 of file convertiblebond.h. Referenced by delta(), fairvalue(), gamma(), operator<<(), and shiftedcbond().

Real convertiblebond::_conversionRatio [private]

Definition at line 85 of file convertiblebond.h. Referenced by adjustedConversionRatio(), delta(), fairvalue(), gamma(), operator<<(), parity(), and shiftedcbond().

Date convertiblebond::_datedeltaCached [mutable, private]

Definition at line 94 of file convertiblebond.h. Referenced by delta().

Date convertiblebond::_dategammaCached [mutable, private]

Definition at line 102 of file convertiblebond.h. Referenced by gamma().

Date convertiblebond::_dateinterestRateDeltaCached [mutable, private]

Definition at line 98 of file convertiblebond.h. Referenced by interestRateDelta().

Date convertiblebond::_datepriceCached [mutable, private]

Definition at line 90 of file convertiblebond.h. Referenced by fairvalue().

Real convertiblebond::_delta [mutable, private]

Definition at line 92 of file convertiblebond.h. Referenced by delta().

bool convertiblebond::_deltaCached [mutable, private]

Definition at line 93 of file convertiblebond.h. Referenced by convertiblebond(), and delta().

Real convertiblebond::_gamma [mutable, private]

Definition at line 100 of file convertiblebond.h. Referenced by gamma().

bool convertiblebond::_gammaCached [mutable, private]

Definition at line 101 of file convertiblebond.h. Referenced by convertiblebond(), and gamma().

Real convertiblebond::_interestRateDelta [mutable, private]

Definition at line 96 of file convertiblebond.h. Referenced by interestRateDelta().

bool convertiblebond::_interestRateDeltaCached [mutable, private]

Definition at line 97 of file convertiblebond.h. Referenced by convertiblebond(), and interestRateDelta().

Natural convertiblebond::_n [private]

Definition at line 82 of file convertiblebond.h. Referenced by operator<<().

Real convertiblebond::_price [mutable, private]

Definition at line 88 of file convertiblebond.h.

bool convertiblebond::_priceCached [mutable, private]

Definition at line 89 of file convertiblebond.h. Referenced by convertiblebond(), and fairvalue().

Real convertiblebond::_putPrice [private]

Definition at line 84 of file convertiblebond.h. Referenced by delta(), fairvalue(), gamma(), operator<<(), and shiftedcbond().

asset convertiblebond::_stock [private]

Definition at line 79 of file convertiblebond.h. Referenced by delta(), fairvalue(), gamma(), operator<<(), parity(), and shiftedcbond().

---

The documentation for this class was generated from the following files:

• convertiblebond.h
• convertiblebond.cpp

---