Class TreeCallableZeroCouponBondEngine

Namespace

NanoQL.Experimental

Assembly

NanoQL.dll

The numerical lattice engine for callable zero-coupon bonds: QuantLib's subclass of the fixed-rate bonds' engine, which only adds constructors, so each overload is TreeCallableFixedRateBondEngine's.

[Experimental("NQL0001")]
public static class TreeCallableZeroCouponBondEngine

Inheritance

object

TreeCallableZeroCouponBondEngine

Inherited Members

object.GetType()

object.MemberwiseClone()

object.ToString()

object.Equals(object)

object.Equals(object, object)

object.ReferenceEquals(object, object)

object.GetHashCode()

Methods

Calculate(CallableBond, EvaluationContext, ShortRateModel, Lattice, YieldTermStructure?, double)

Prices a callable bond on a lattice already built from the model.

public static CallableBondResults Calculate(CallableBond bond, EvaluationContext context, ShortRateModel model, Lattice lattice, YieldTermStructure? termStructure = null, double spread = 0)

Parameters

bond CallableBond

The bond.

context EvaluationContext

The evaluation context, which gives the bond's settlement date.

model ShortRateModel

The short-rate model the lattice was built from.

lattice Lattice

The lattice, whose grid must hold the bond's mandatory times.

termStructure YieldTermStructure

The discount curve when the model isn't term-structure consistent, or null.

spread double

The continuously compounded spread added to the lattice's short rates.

Returns

CallableBondResults

The bond's results, as TreeCallableFixedRateBondEngine's.

Exceptions

ArgumentNullException

A required argument is null.

NanoQLException

The grid misses a mandatory time; the bond's arguments are inconsistent; the model needs a term structure and none is given, QuantLib's empty handle; or a spread is given for a lattice that isn't a one-factor short-rate tree.

Calculate(CallableBond, EvaluationContext, ShortRateModel, TimeGrid, YieldTermStructure?, double)

Prices a callable bond on the model's tree, on a time grid.

public static CallableBondResults Calculate(CallableBond bond, EvaluationContext context, ShortRateModel model, TimeGrid timeGrid, YieldTermStructure? termStructure = null, double spread = 0)

Parameters

bond CallableBond

The bond.

context EvaluationContext

The evaluation context, which gives the bond's settlement date.

model ShortRateModel

The short-rate model.

timeGrid TimeGrid

The tree's time grid, which must hold the bond's mandatory times.

termStructure YieldTermStructure

The discount curve when the model isn't term-structure consistent, or null.

spread double

The continuously compounded spread added to the tree's short rates.

Returns

CallableBondResults

The bond's results, as TreeCallableFixedRateBondEngine's.

Exceptions

ArgumentNullException

A required argument is null.

NanoQLException

The grid can't hold a tree, or misses a mandatory time; the bond's arguments are inconsistent; the model needs a term structure and none is given, QuantLib's empty handle; or the model's tree takes no spread.

Calculate(CallableBond, EvaluationContext, ShortRateModel, int, YieldTermStructure?, double)

Prices a callable bond on the model's tree, with a number of time steps.

public static CallableBondResults Calculate(CallableBond bond, EvaluationContext context, ShortRateModel model, int timeSteps, YieldTermStructure? termStructure = null, double spread = 0)

Parameters

bond CallableBond

The bond.

context EvaluationContext

The evaluation context, which gives the bond's settlement date.

model ShortRateModel

The short-rate model.

timeSteps int

The number of time steps of the tree, on a grid through the bond's mandatory times.

termStructure YieldTermStructure

The discount curve when the model isn't term-structure consistent, or null.

spread double

The continuously compounded spread added to the tree's short rates.

Returns

CallableBondResults

The bond's results, as TreeCallableFixedRateBondEngine's.

Exceptions

ArgumentNullException

A required argument is null.

ArgumentOutOfRangeException

timeSteps is negative.

ArgumentException

timeSteps is 0.

NanoQLException

The bond's arguments are inconsistent; the model needs a term structure and none is given, QuantLib's empty handle; or the model's tree takes no spread.