Table of Contents

Class ZeroCouponBond

Namespace
NanoQL.Instruments
Assembly
NanoQL.dll

A zero-coupon bond: a single redemption at maturity.

public sealed class ZeroCouponBond : Bond
Inheritance
ZeroCouponBond
Inherited Members

Remarks

The maturity date is the one given, unadjusted; the redemption is paid on it adjusted by the payment convention on the calendar, so the two differ when the maturity falls on a holiday, as in QuantLib.

Constructors

ZeroCouponBond(int, Calendar?, double, Date, BusinessDayConvention, double, Date?)

Initializes a new instance of the ZeroCouponBond class.

public ZeroCouponBond(int settlementDays, Calendar? calendar, double faceAmount, Date maturityDate, BusinessDayConvention paymentConvention = BusinessDayConvention.Following, double redemption = 100, Date? issueDate = null)

Parameters

settlementDays int

The settlement days.

calendar Calendar

The settlement and payment calendar, or null, QuantLib's empty calendar, which builds only with an Unadjusted payment convention.

faceAmount double

The notional.

maturityDate Date

The maturity date.

paymentConvention BusinessDayConvention

The business-day convention of the redemption date.

redemption double

The redemption price, in base 100.

issueDate Date?

The issue date, or null for none.

Exceptions

ArgumentOutOfRangeException

settlementDays is negative, or the convention isn't a member of its enum.

ArgumentException

A date is default(Date).

NanoQLException

The redemption date is adjusted on QuantLib's empty calendar.