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Optional redemption argument for amortizing bond constructors #1790

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merged 2 commits into from
Sep 20, 2023
Merged

Optional redemption argument for amortizing bond constructors #1790

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f8da734
added redemptions to amortizing bond constructors
gyansinha Sep 18, 2023
b742601
Reorder parameters
lballabio Sep 20, 2023
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5 changes: 3 additions & 2 deletions ql/instruments/bonds/amortizingcmsratebond.cpp
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Original file line number Diff line number Diff line change
Expand Up @@ -38,7 +38,8 @@ namespace QuantLib {
const std::vector<Rate>& caps,
const std::vector<Rate>& floors,
bool inArrears,
const Date& issueDate)
const Date& issueDate,
const std::vector<Real>& redemptions)
: Bond(settlementDays, schedule.calendar(), issueDate) {

maturityDate_ = schedule.endDate();
Expand All @@ -54,7 +55,7 @@ namespace QuantLib {
.withFloors(floors)
.inArrears(inArrears);

addRedemptionsToCashflows();
addRedemptionsToCashflows(redemptions);

QL_ENSURE(!cashflows().empty(), "bond with no cashflows!");

Expand Down
5 changes: 3 additions & 2 deletions ql/instruments/bonds/amortizingcmsratebond.hpp
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Expand Up @@ -47,9 +47,10 @@ namespace QuantLib {
const std::vector<Rate>& caps = {},
const std::vector<Rate>& floors = {},
bool inArrears = false,
const Date& issueDate = Date());
const Date& issueDate = Date(),
const std::vector<Real>& redemptions = { 100.0 });
};

}

#endif
10 changes: 7 additions & 3 deletions ql/instruments/bonds/amortizingfixedratebond.cpp
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Expand Up @@ -35,7 +35,9 @@ namespace QuantLib {
const Period& exCouponPeriod,
const Calendar& exCouponCalendar,
const BusinessDayConvention exCouponConvention,
bool exCouponEndOfMonth)
bool exCouponEndOfMonth,
const std::vector<Real>& redemptions,
Natural paymentLag)
: Bond(settlementDays, schedule.calendar(), issueDate),
frequency_(schedule.tenor().frequency()),
dayCounter_(accrualDayCounter) {
Expand All @@ -49,9 +51,10 @@ namespace QuantLib {
.withExCouponPeriod(exCouponPeriod,
exCouponCalendar,
exCouponConvention,
exCouponEndOfMonth);
exCouponEndOfMonth)
.withPaymentLag(paymentLag);

addRedemptionsToCashflows();
addRedemptionsToCashflows(redemptions);

QL_ENSURE(!cashflows().empty(), "bond with no cashflows!");
}
Expand Down Expand Up @@ -89,6 +92,7 @@ namespace QuantLib {
addRedemptionsToCashflows();
}


AmortizingFixedRateBond::AmortizingFixedRateBond(
Natural settlementDays,
const std::vector<Real>& notionals,
Expand Down
8 changes: 6 additions & 2 deletions ql/instruments/bonds/amortizingfixedratebond.hpp
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Expand Up @@ -34,7 +34,7 @@ namespace QuantLib {
//! amortizing fixed-rate bond
class AmortizingFixedRateBond : public Bond {
public:
AmortizingFixedRateBond(Natural settlementDays,
AmortizingFixedRateBond(Natural settlementDays,
const std::vector<Real>& notionals,
const Schedule& schedule,
const std::vector<Rate>& coupons,
Expand All @@ -44,7 +44,10 @@ namespace QuantLib {
const Period& exCouponPeriod = Period(),
const Calendar& exCouponCalendar = Calendar(),
BusinessDayConvention exCouponConvention = Unadjusted,
bool exCouponEndOfMonth = false);
bool exCouponEndOfMonth = false,
const std::vector<Real>& redemptions = { 100.0 },
Natural PaymentLag = 0);
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There are already a bunch of default parameters before these ones, so it doesn't matter much, but I think paymentLag is more likely to be passed than redemptions, isn't it? If so, I'd change the order.

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Also, in what case is the payment lag needed? I've seen it mentioned in swaps but not in bonds so far.

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@gyansinha gyansinha Sep 19, 2023 •
edited
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The paymentLag in this situation is probably more appropriately referred to as Delay Days - in US MBS for example, borrowers payments for the accrual period in the prior calendar month are passed through to investors on the 25th of the month. It is this delay that paymentLag is supposed to capture. TBH I don't quite understand the role of the already existing argument in the amortizingFloatingBond constructor?

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Fixing days? Those would affect the index fixing; for instance, a coupon starting on Wednesday 20 would use as rate the Euribor fixing of Monday 18, 2 days before.

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I think there is a paymentLag arg in the amortizingFloatingRateBond constructor - that is what I was referring to.

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It was added by this pull request.

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Ah, OK - I got my signals crossed with the aborted attempts. So in both cases they act as delay days between the end of the accrual period and when the cashflow is actually received.



/*! \deprecated Use the other constructor after calling sinkingSchedule
and sinkingNotionals to generate the required parameters.
Expand Down Expand Up @@ -79,6 +82,7 @@ namespace QuantLib {
BusinessDayConvention exCouponConvention = Unadjusted,
bool exCouponEndOfMonth = false);


Frequency frequency() const { return frequency_; }
const DayCounter& dayCounter() const { return dayCounter_; }
protected:
Expand Down
11 changes: 7 additions & 4 deletions ql/instruments/bonds/amortizingfloatingratebond.cpp
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Expand Up @@ -25,14 +25,15 @@

namespace QuantLib {

AmortizingFloatingRateBond::AmortizingFloatingRateBond(

AmortizingFloatingRateBond::AmortizingFloatingRateBond(
Natural settlementDays,
const std::vector<Real>& notionals,
const Schedule& schedule,
const ext::shared_ptr<IborIndex>& index,
const DayCounter& paymentDayCounter,
BusinessDayConvention paymentConvention,
Natural fixingDays,
Natural fixingDays, Natural paymentLag,
const std::vector<Real>& gearings,
const std::vector<Spread>& spreads,
const std::vector<Rate>& caps,
Expand All @@ -42,7 +43,8 @@ namespace QuantLib {
const Period& exCouponPeriod,
const Calendar& exCouponCalendar,
const BusinessDayConvention exCouponConvention,
bool exCouponEndOfMonth)
bool exCouponEndOfMonth,
const std::vector<Real>& redemptions)
: Bond(settlementDays, schedule.calendar(), issueDate) {

maturityDate_ = schedule.endDate();
Expand All @@ -52,6 +54,7 @@ namespace QuantLib {
.withPaymentDayCounter(paymentDayCounter)
.withPaymentAdjustment(paymentConvention)
.withFixingDays(fixingDays)
.withPaymentLag(paymentLag)
.withGearings(gearings)
.withSpreads(spreads)
.withCaps(caps)
Expand All @@ -62,7 +65,7 @@ namespace QuantLib {
exCouponEndOfMonth)
.inArrears(inArrears);

addRedemptionsToCashflows();
addRedemptionsToCashflows(redemptions);

QL_ENSURE(!cashflows().empty(), "bond with no cashflows!");

Expand Down
9 changes: 6 additions & 3 deletions ql/instruments/bonds/amortizingfloatingratebond.hpp
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Expand Up @@ -34,13 +34,15 @@ namespace QuantLib {
//! amortizing floating-rate bond (possibly capped and/or floored)
class AmortizingFloatingRateBond : public Bond {
public:

AmortizingFloatingRateBond(Natural settlementDays,
const std::vector<Real>& notional,
const Schedule& schedule,
const ext::shared_ptr<IborIndex>& index,
const DayCounter& accrualDayCounter,
BusinessDayConvention paymentConvention = Following,
Natural fixingDays = Null<Natural>(),
Natural paymentLag = Null<Natural>(),
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const std::vector<Real>& gearings = { 1.0 },
const std::vector<Spread>& spreads = { 0.0 },
const std::vector<Rate>& caps = {},
Expand All @@ -50,9 +52,10 @@ namespace QuantLib {
const Period& exCouponPeriod = Period(),
const Calendar& exCouponCalendar = Calendar(),
BusinessDayConvention exCouponConvention = Unadjusted,
bool exCouponEndOfMonth = false);
};

bool exCouponEndOfMonth = false,
const std::vector<Real>& redemptions = { 100.0 });
};

}

#endif