BondFunctions | quantlib.js

Bond adapters of CashFlows functions

See CashFlows for functions' documentation.

These adapters calls into CashFlows functions passing as input the Bond cashflows, the dirty price (i.e. npv) calculated from clean price, the bond settlement date (unless another date is given), zero ex-dividend days, and excluding any cashflow on the settlement date.

Prices are always clean, as per market convention.

Hierarchy

BondFunctions

Index

Methods

Static accrualDays

accrualDays(bond: Bond, settlementDate?: Date): Integer

- Defined in ql/pricingengines/bond/bondfunctions.ts:204
Parameters
- bond: Bond
- Default value settlementDate: Date = null
Returns Integer

Static accrualEndDate

accrualEndDate(bond: Bond, settlementDate?: Date): Date

- Defined in ql/pricingengines/bond/bondfunctions.ts:146
Parameters
- bond: Bond
- Default value settlementDate: Date = null
Returns Date

Static accrualPeriod

accrualPeriod(bond: Bond, settlementDate?: Date): Time

- Defined in ql/pricingengines/bond/bondfunctions.ts:190
Parameters
- bond: Bond
- Default value settlementDate: Date = null
Returns Time

Static accrualStartDate

accrualStartDate(bond: Bond, settlementDate?: Date): Date

- Defined in ql/pricingengines/bond/bondfunctions.ts:132
Parameters
- bond: Bond
- Default value settlementDate: Date = null
Returns Date

Static accruedAmount

accruedAmount(bond: Bond, settlementDate?: Date): Integer

- Defined in ql/pricingengines/bond/bondfunctions.ts:246
Parameters
- bond: Bond
- Default value settlementDate: Date = null
Returns Integer

Static accruedDays

accruedDays(bond: Bond, settlementDate?: Date): Integer

- Defined in ql/pricingengines/bond/bondfunctions.ts:232
Parameters
- bond: Bond
- Default value settlementDate: Date = null
Returns Integer

Static accruedPeriod

accruedPeriod(bond: Bond, settlementDate?: Date): Time

- Defined in ql/pricingengines/bond/bondfunctions.ts:218
Parameters
- bond: Bond
- Default value settlementDate: Date = null
Returns Time

Static atmRate

atmRate(bond: Bond, discountCurve: YieldTermStructure, settlementDate?: Date, cleanPrice?: Real): Rate

- Defined in ql/pricingengines/bond/bondfunctions.ts:298
Parameters
- bond: Bond
- discountCurve: YieldTermStructure
- Default value settlementDate: Date = null
- Default value cleanPrice: Real = QL_NULL_REAL
Returns Rate

Static basisPointValue1

basisPointValue1(bond: Bond, y: InterestRate, settlementDate?: Date): Real

- Defined in ql/pricingengines/bond/bondfunctions.ts:464
Parameters
- bond: Bond
- y: InterestRate
- Default value settlementDate: Date = null
Returns Real

Static basisPointValue2

basisPointValue2(bond: Bond, y: Rate, dc: DayCounter, comp: Compounding, freq: Frequency, settlement?: Date): Real

- Defined in ql/pricingengines/bond/bondfunctions.ts:480
Parameters
- bond: Bond
- y: Rate
- dc: DayCounter
- comp: Compounding
- freq: Frequency
- Default value settlement: Date = null
Returns Real

Static bps1

bps1(bond: Bond, discountCurve: YieldTermStructure, settlementDate?: Date): Real

- Defined in ql/pricingengines/bond/bondfunctions.ts:280
Parameters
- bond: Bond
- discountCurve: YieldTermStructure
- Default value settlementDate: Date = null
Returns Real

Static bps2

bps2(bond: Bond, y: InterestRate, settlement?: Date): Real

- Defined in ql/pricingengines/bond/bondfunctions.ts:362
Parameters
- bond: Bond
- y: InterestRate
- Default value settlement: Date = null
Returns Real

Static bps3

bps3(bond: Bond, y: Rate, dc: DayCounter, comp: Compounding, freq: Frequency, settlement?: Date): Real

- Defined in ql/pricingengines/bond/bondfunctions.ts:377
Parameters
- bond: Bond
- y: Rate
- dc: DayCounter
- comp: Compounding
- freq: Frequency
- Default value settlement: Date = null
Returns Real

Static cleanPrice1

cleanPrice1(bond: Bond, discountCurve: YieldTermStructure, settlementDate?: Date): Real

- Defined in ql/pricingengines/bond/bondfunctions.ts:261
Parameters
- bond: Bond
- discountCurve: YieldTermStructure
- Default value settlementDate: Date = null
Returns Real

Static cleanPrice2

cleanPrice2(bond: Bond, y: InterestRate, settlementDate?: Date): Real

- Defined in ql/pricingengines/bond/bondfunctions.ts:324
Parameters
- bond: Bond
- y: InterestRate
- Default value settlementDate: Date = null
Returns Real

Static cleanPrice3

cleanPrice3(bond: Bond, y: Rate, dc: DayCounter, comp: Compounding, freq: Frequency, settlementDate?: Date): Real

- Defined in ql/pricingengines/bond/bondfunctions.ts:330
Parameters
- bond: Bond
- y: Rate
- dc: DayCounter
- comp: Compounding
- freq: Frequency
- Default value settlementDate: Date = null
Returns Real

Static cleanPrice4

cleanPrice4(bond: Bond, d: YieldTermStructure, zSpread: Spread, dc: DayCounter, comp: Compounding, freq: Frequency, settlementDate?: Date): Real

- Defined in ql/pricingengines/bond/bondfunctions.ts:510
Parameters
- bond: Bond
- d: YieldTermStructure
- zSpread: Spread
- dc: DayCounter
- comp: Compounding
- freq: Frequency
- Default value settlementDate: Date = null
Returns Real

Static convexity1

convexity1(bond: Bond, y: InterestRate, settlementDate?: Date): Real

- Defined in ql/pricingengines/bond/bondfunctions.ts:442
Parameters
- bond: Bond
- y: InterestRate
- Default value settlementDate: Date = null
Returns Real

Static convexity2

convexity2(bond: Bond, y: Rate, dc: DayCounter, comp: Compounding, freq: Frequency, settlement?: Date): Real

- Defined in ql/pricingengines/bond/bondfunctions.ts:457
Parameters
- bond: Bond
- y: Rate
- dc: DayCounter
- comp: Compounding
- freq: Frequency
- Default value settlement: Date = null
Returns Real

Static dirtyPrice1

dirtyPrice1(bond: Bond, y: InterestRate, settlementDate?: Date): Real

- Defined in ql/pricingengines/bond/bondfunctions.ts:337
Parameters
- bond: Bond
- y: InterestRate
- Default value settlementDate: Date = null
Returns Real

Static dirtyPrice2

dirtyPrice2(bond: Bond, y: Rate, dc: DayCounter, comp: Compounding, freq: Frequency, settlement?: Date): Real

- Defined in ql/pricingengines/bond/bondfunctions.ts:355
Parameters
- bond: Bond
- y: Rate
- dc: DayCounter
- comp: Compounding
- freq: Frequency
- Default value settlement: Date = null
Returns Real

Static duration1

duration1(bond: Bond, y: InterestRate, type?: Type, settlementDate?: Date): Time

- Defined in ql/pricingengines/bond/bondfunctions.ts:417
Parameters
- bond: Bond
- y: InterestRate
- Default value type: Type = Duration.Type.Modified
- Default value settlementDate: Date = null
Returns Time

Static duration2

duration2(bond: Bond, y: Rate, dc: DayCounter, comp: Compounding, freq: Frequency, type?: Type, settlement?: Date): Time

- Defined in ql/pricingengines/bond/bondfunctions.ts:434
Parameters
- bond: Bond
- y: Rate
- dc: DayCounter
- comp: Compounding
- freq: Frequency
- Default value type: Type = Duration.Type.Modified
- Default value settlement: Date = null
Returns Time

Static isTradable

isTradable(bond: Bond, settlementDate?: Date): boolean

- Defined in ql/pricingengines/bond/bondfunctions.ts:40
Parameters
- bond: Bond
- Default value settlementDate: Date = null
Returns boolean

Static maturityDate

maturityDate(bond: Bond): Date

- Defined in ql/pricingengines/bond/bondfunctions.ts:36
Parameters
- bond: Bond
Returns Date

Static nextCashFlow1

nextCashFlow1(bond: Bond, settlementDate?: Date): CashFlow

- Defined in ql/pricingengines/bond/bondfunctions.ts:64
Parameters
- bond: Bond
- Default value settlementDate: Date = null
Returns CashFlow

Static nextCashFlow2

nextCashFlow2(bond: Bond, settlementDate?: Date): Size

- Defined in ql/pricingengines/bond/bondfunctions.ts:72
Parameters
- bond: Bond
- Default value settlementDate: Date = null
Returns Size

Static nextCashFlowAmount

nextCashFlowAmount(bond: Bond, settlementDate?: Date): Real

- Defined in ql/pricingengines/bond/bondfunctions.ts:106
Parameters
- bond: Bond
- Default value settlementDate: Date = null
Returns Real

Static nextCashFlowDate

nextCashFlowDate(bond: Bond, settlementDate?: Date): Date

- Defined in ql/pricingengines/bond/bondfunctions.ts:89
Parameters
- bond: Bond
- Default value settlementDate: Date = null
Returns Date

Static nextCouponRate

nextCouponRate(bond: Bond, settlementDate?: Date): Rate

- Defined in ql/pricingengines/bond/bondfunctions.ts:124
Parameters
- bond: Bond
- Default value settlementDate: Date = null
Returns Rate

Static previousCashFlow1

previousCashFlow1(bond: Bond, settlementDate?: Date): CashFlow

- Defined in ql/pricingengines/bond/bondfunctions.ts:48
Parameters
- bond: Bond
- Default value settlementDate: Date = null
Returns CashFlow

Static previousCashFlow2

previousCashFlow2(bond: Bond, settlementDate?: Date): Size

- Defined in ql/pricingengines/bond/bondfunctions.ts:56
Parameters
- bond: Bond
- Default value settlementDate: Date = null
Returns Size

Static previousCashFlowAmount

previousCashFlowAmount(bond: Bond, settlementDate?: Date): Real

- Defined in ql/pricingengines/bond/bondfunctions.ts:97
Parameters
- bond: Bond
- Default value settlementDate: Date = null
Returns Real

Static previousCashFlowDate

previousCashFlowDate(bond: Bond, settlementDate?: Date): Date

- Defined in ql/pricingengines/bond/bondfunctions.ts:80
Parameters
- bond: Bond
- Default value settlementDate: Date = null
Returns Date

Static previousCouponRate

previousCouponRate(bond: Bond, settlementDate?: Date): Rate

- Defined in ql/pricingengines/bond/bondfunctions.ts:115
Parameters
- bond: Bond
- Default value settlementDate: Date = null
Returns Rate

Static referencePeriodEnd

referencePeriodEnd(bond: Bond, settlementDate?: Date): Date

- Defined in ql/pricingengines/bond/bondfunctions.ts:175
Parameters
- bond: Bond
- Default value settlementDate: Date = null
Returns Date

Static referencePeriodStart

referencePeriodStart(bond: Bond, settlementDate?: Date): Date

- Defined in ql/pricingengines/bond/bondfunctions.ts:160
Parameters
- bond: Bond
- Default value settlementDate: Date = null
Returns Date

Static startDate

startDate(bond: Bond): Date

- Defined in ql/pricingengines/bond/bondfunctions.ts:32
Parameters
- bond: Bond
Returns Date

Static yield1

yield1(bond: Bond, cleanPrice: Real, dc: DayCounter, comp: Compounding, freq: Frequency, settlement?: Date, accuracy?: Real, maxIterations?: Size, guess?: Rate): Rate

- Defined in ql/pricingengines/bond/bondfunctions.ts:384
Parameters
- bond: Bond
- cleanPrice: Real
- dc: DayCounter
- comp: Compounding
- freq: Frequency
- Default value settlement: Date = null
- Default value accuracy: Real = 1e-10
- Default value maxIterations: Size = 100
- Default value guess: Rate = 0.05
Returns Rate

Static yield2

yield2(solver: ISolver1D, bond: Bond, cleanPrice: Real, dc: DayCounter, comp: Compounding, freq: Frequency, settlementDate?: Date, accuracy?: Real, maxIterations?: Size, guess?: Rate): Rate

- Defined in ql/pricingengines/bond/bondfunctions.ts:394
Parameters
- solver: ISolver1D
- bond: Bond
- cleanPrice: Real
- dc: DayCounter
- comp: Compounding
- freq: Frequency
- Default value settlementDate: Date = null
- Default value accuracy: Real = 1e-10
- Default value maxIterations: Size = 100
- Default value guess: Rate = 0.05
Returns Rate

Static yieldValueBasisPoint1

yieldValueBasisPoint1(bond: Bond, y: InterestRate, settlementDate?: Date): Real

- Defined in ql/pricingengines/bond/bondfunctions.ts:487
Parameters
- bond: Bond
- y: InterestRate
- Default value settlementDate: Date = null
Returns Real

Static yieldValueBasisPoint2

yieldValueBasisPoint2(bond: Bond, y: Rate, dc: DayCounter, comp: Compounding, freq: Frequency, settlement?: Date): Real

- Defined in ql/pricingengines/bond/bondfunctions.ts:503
Parameters
- bond: Bond
- y: Rate
- dc: DayCounter
- comp: Compounding
- freq: Frequency
- Default value settlement: Date = null
Returns Real

Static zSpread

zSpread(bond: Bond, cleanPrice: Real, d: YieldTermStructure, dc: DayCounter, comp: Compounding, freq: Frequency, settlement?: Date, accuracy?: Real, maxIterations?: Size, guess?: Rate): Real

- Defined in ql/pricingengines/bond/bondfunctions.ts:530
Parameters
- bond: Bond
- cleanPrice: Real
- d: YieldTermStructure
- dc: DayCounter
- comp: Compounding
- freq: Frequency
- Default value settlement: Date = null
- Default value accuracy: Real = 1e-10
- Default value maxIterations: Size = 100
- Default value guess: Rate = 0
Returns Real

Hierarchy

Index

Methods

Methods

Static accrualDays

Parameters

bond: Bond

Default value settlementDate: Date = null

Returns Integer

Static accrualEndDate

Parameters

bond: Bond

Default value settlementDate: Date = null

Returns Date

Static accrualPeriod

Parameters

bond: Bond

Default value settlementDate: Date = null

Returns Time

Static accrualStartDate

Parameters

bond: Bond

Default value settlementDate: Date = null

Returns Date

Static accruedAmount

Parameters

bond: Bond

Default value settlementDate: Date = null

Returns Integer

Static accruedDays

Parameters

bond: Bond

Default value settlementDate: Date = null

Returns Integer

Static accruedPeriod

Parameters

bond: Bond

Default value settlementDate: Date = null

Returns Time

Static atmRate

Parameters

bond: Bond

discountCurve: YieldTermStructure

Default value settlementDate: Date = null

Default value cleanPrice: Real = QL_NULL_REAL

Returns Rate

Static basisPointValue1

Parameters

bond: Bond

y: InterestRate

Default value settlementDate: Date = null

Returns Real

Static basisPointValue2

Parameters

bond: Bond

y: Rate

dc: DayCounter

comp: Compounding

freq: Frequency

Default value settlement: Date = null

Returns Real

Static bps1

Parameters

bond: Bond

discountCurve: YieldTermStructure

Default value settlementDate: Date = null

Returns Real

Static bps2

Parameters

bond: Bond

y: InterestRate

Default value settlement: Date = null

Returns Real

Static bps3

Parameters

bond: Bond

y: Rate

dc: DayCounter

comp: Compounding

freq: Frequency