riskybond Class Reference

#include <bond.h>

Inheritance diagram for riskybond:

List of all members.

Public Member Functions
	riskybond (Date issue, Date maturity, Date firstcoupondate, Real coupon, Frequency freq, Real faceamount, DayCountConvention daycount, yieldCurve yc, creditCurve cc)
	Constructor.
	riskybond (Date issue, Date maturity, Real faceamount, DayCountConvention daycount, yieldCurve yc, creditCurve cc)
	Constructor : ZCbond.
	~riskybond (void)
	Destructor.
virtual Real	quotedPrice (Date today)
virtual riskybond	shiftedbond (Real shift)
	bond with same parameters and a shifted yieldCurve
virtual Real	rho (Date today)
	return the derivative of the bond price with respect to interest rates
virtual Real	rho ()
Private Attributes
creditCurve	_cc

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Constructor & Destructor Documentation

riskybond::riskybond (  Date  issue, Date  maturity, Date  firstcoupondate, Real  coupon, Frequency  freq, Real  faceamount, DayCountConvention  daycount, yieldCurve  yc, creditCurve  cc )

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 cc:  creditcurve Definition at line 336 of file bond.cpp. References Real.

riskybond::riskybond (  Date  issue, Date  maturity, Real  faceamount, DayCountConvention  daycount, yieldCurve  yc, creditCurve  cc )

Constructor : ZCbond. Definition at line 342 of file bond.cpp. References Once, and Real.

riskybond::~riskybond (  void   )  [inline]

Destructor. Definition at line 135 of file bond.h.

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Member Function Documentation

Real riskybond::quotedPrice (  Date  today  )  [virtual]

Reimplemented from bond. Definition at line 348 of file bond.cpp. References Date::dayCount(), bond::getCashflow(), cashflow::getCashflows(), cashflow::getDates(), Natural, Real, and creditCurve::riskyDiscountFactor().

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

Reimplemented in convertiblebond. Definition at line 144 of file bond.h. References Real.

Real riskybond::rho (  Date  today  )  [virtual]

return the derivative of the bond price with respect to interest rates Reimplemented in convertiblebond. Definition at line 380 of file bond.cpp. References bond::fairvalue(), Real, and shiftedbond().

riskybond riskybond::shiftedbond (  Real  shift  )  [virtual]

bond with same parameters and a shifted yieldCurve Definition at line 374 of file bond.cpp. References Real, and yieldCurve::shiftZCBRateCurve(). Referenced by rho(), and convertiblebond::shiftedcbond().

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Member Data Documentation

creditCurve riskybond::_cc [private]

Definition at line 114 of file bond.h.

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

• bond.h
• bond.cpp

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