// Pricing engine
final PricingEngine bondEngine = new DiscountingBondEngine(discountingTermStructure);
// Zero coupon bond
final ZeroCouponBond zeroCouponBond = new ZeroCouponBond(
settlementDays,
new UnitedStates(UnitedStates.Market.GOVERNMENTBOND),
faceAmount,
new Date(15,Month.August,2013),
BusinessDayConvention.Following,
116.92,
new Date(15,Month.August,2003));
zeroCouponBond.setPricingEngine(bondEngine);
// Fixed 4.5% US Treasury Note
final Schedule fixedBondSchedule = new Schedule(
new Date(15, Month.May, 2007),
new Date(15,Month.May,2017),
new Period(Frequency.Semiannual),
new UnitedStates(UnitedStates.Market.GOVERNMENTBOND),
BusinessDayConvention.Unadjusted,
BusinessDayConvention.Unadjusted,
DateGeneration.Rule.Backward, false);
final FixedRateBond fixedRateBond = new FixedRateBond(
settlementDays,
faceAmount,
fixedBondSchedule,
new double[]{0.045},
new ActualActual(ActualActual.Convention.Bond),
BusinessDayConvention.ModifiedFollowing,
100.0,
new Date(15, Month.May, 2007));
fixedRateBond.setPricingEngine(bondEngine);
// Floating rate bond (3M USD Libor + 0.1%)
// Should and will be priced on another curve later...
final RelinkableHandle<YieldTermStructure> liborTermStructure = new RelinkableHandle<YieldTermStructure>();
final IborIndex libor3m = new USDLibor(new Period(3, TimeUnit.Months), liborTermStructure);
libor3m.addFixing(new Date(17, Month.July, 2008), 0.0278625);
final Schedule floatingBondSchedule = new Schedule(
new Date(21, Month.October, 2005),
new Date(21, Month.October, 2010), new Period(Frequency.Quarterly),
new UnitedStates(UnitedStates.Market.NYSE),
BusinessDayConvention.Unadjusted,
BusinessDayConvention.Unadjusted,
DateGeneration.Rule.Backward, true);
final FloatingRateBond floatingRateBond = new FloatingRateBond(
settlementDays,
faceAmount,
floatingBondSchedule,
libor3m,
new Actual360(),
BusinessDayConvention.ModifiedFollowing,
2,
new Array(1).fill(1.0), //Gearings
new Array(1).fill(0.001),//Spreads
new Array(0), // Caps
new Array(0), // Floors
true, // Fixing in arrears
100.0,
new Date(21, Month.October, 2005));
floatingRateBond.setPricingEngine(bondEngine);
// optionLet volatilities
final double volatility = 0.0;
final Handle<OptionletVolatilityStructure> vol =
new Handle<OptionletVolatilityStructure>(
new ConstantOptionletVolatility(
settlementDays,
calendar,
BusinessDayConvention.ModifiedFollowing,
volatility,
new Actual365Fixed()));
// Coupon pricers
final IborCouponPricer pricer = new BlackIborCouponPricer(vol);
PricerSetter.setCouponPricer(floatingRateBond.cashflows(),pricer);
// Yield curve bootstrapping
forecastingTermStructure.linkTo(depoSwapTermStructure);
discountingTermStructure.linkTo(bondDiscountingTermStructur);
// We are using the depo & swap curve to estimate the future Libor
// rates
liborTermStructure.linkTo(depoSwapTermStructure);
/***************
* BOND PRICING *
****************/
QL.info("Results:");
System.out.println(" "
+ " " + "ZC"
+ " " + "Fixed"
+ " " + "Floating"
);
System.out.println( "Net present value"
+ " " + zeroCouponBond.NPV()
+ " " + fixedRateBond.NPV()
+ " " + floatingRateBond.NPV());
System.out.println("Clean Price "
+ " " +zeroCouponBond.cleanPrice()
+ " " +fixedRateBond.cleanPrice()
+ " " + floatingRateBond.cleanPrice()
);
System.out.println("Dirty price "
+ " " + zeroCouponBond.dirtyPrice()
+ " " + fixedRateBond.dirtyPrice()
+ " " + floatingRateBond.dirtyPrice()
);
System.out.println( "Accrued coupon "
+ " " + zeroCouponBond.accruedAmount()
+ " " + fixedRateBond.accruedAmount()
+ " " + floatingRateBond.accruedAmount()
);
System.out.println( "Previous coupon "
+ " " + "N/A" //zeroCouponBond
+ " " + fixedRateBond.previousCoupon()
+ " " + floatingRateBond.previousCoupon()
);
System.out.println( "Next coupon "
+ " " + "N/A" //zeroCouponBond
+ " " + fixedRateBond.nextCoupon()
+ " " + floatingRateBond.nextCoupon()
);
System.out.println( "Yield "
+ " " + zeroCouponBond.yield(new Actual360(),Compounding.Compounded, Frequency.Annual)
+ " " + fixedRateBond.yield(new Actual360(),Compounding.Compounded, Frequency.Annual)
+ " " + floatingRateBond.yield(new Actual360(),Compounding.Compounded, Frequency.Annual)
);
// Other computations