treasurybond Class Reference

#include <bond.h>

Inheritance diagram for treasurybond:

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 ()

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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.

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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().

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

• bond.h
• bond.cpp

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