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Export more overloads for bond functions #636

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merged 1 commit into from
Apr 3, 2024
Merged

Export more overloads for bond functions #636

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63 changes: 62 additions & 1 deletion SWIG/bondfunctions.i
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Original file line number Diff line number Diff line change
Expand Up @@ -69,13 +69,20 @@ class BondFunctions {
static Real cleanPrice(const Bond& bond,
const YieldTermStructure& discountCurve,
Date settlementDate = Date());
static Real dirtyPrice(const Bond& bond,
const YieldTermStructure& discountCurve,
Date settlementDate = Date());
static Real bps(const Bond& bond,
const YieldTermStructure& discountCurve,
Date settlementDate = Date());
static Rate atmRate(const Bond& bond,
const YieldTermStructure& discountCurve,
Date settlementDate = Date(),
Real cleanPrice = Null<Real>());
BondPrice price = {});
static Rate atmRate(const Bond& bond,
const YieldTermStructure& discountCurve,
Date settlementDate,
Real cleanPrice);

static Real cleanPrice(const Bond& bond,
const InterestRate& yield,
Expand All @@ -95,6 +102,15 @@ class BondFunctions {
Compounding compounding,
Frequency frequency,
Date settlementDate = Date());
static Rate yield(const Bond& bond,
BondPrice price,
const DayCounter& dayCounter,
Compounding compounding,
Frequency frequency,
Date settlementDate = Date(),
Real accuracy = 1.0e-10,
Size maxIterations = 100,
Rate guess = 0.05);
static Rate yield(const Bond& bond,
Real cleanPrice,
const DayCounter& dayCounter,
Expand Down Expand Up @@ -143,6 +159,31 @@ class BondFunctions {
Compounding compounding,
Frequency frequency,
Date settlementDate = Date());

static Real cleanPrice(const Bond& bond,
const ext::shared_ptr<YieldTermStructure>& discount,
Spread zSpread,
const DayCounter& dayCounter,
Compounding compounding,
Frequency frequency,
Date settlementDate = Date());
static Real dirtyPrice(const Bond& bond,
const ext::shared_ptr<YieldTermStructure>& discount,
Spread zSpread,
const DayCounter& dayCounter,
Compounding compounding,
Frequency frequency,
Date settlementDate = Date());
static Spread zSpread(const Bond& bond,
BondPrice price,
const ext::shared_ptr<YieldTermStructure>& discountCurve,
const DayCounter& dayCounter,
Compounding compounding,
Frequency frequency,
Date settlementDate = Date(),
Real accuracy = 1.0e-10,
Size maxIterations = 100,
Rate guess = 0.0);
static Spread zSpread(const Bond& bond,
Real cleanPrice,
const ext::shared_ptr<YieldTermStructure>& discountCurve,
Expand All @@ -157,6 +198,26 @@ class BondFunctions {
%extend {

%define DefineYieldFunctionSolver(SolverType)
static Rate yield ## SolverType(SolverType solver,
const Bond& bond,
BondPrice price,
const DayCounter& dayCounter,
Compounding compounding,
Frequency frequency,
Date settlementDate = Date(),
Real accuracy = 1.0e-10,
Rate guess = 0.05) {
return QuantLib::BondFunctions::yield<SolverType>(
solver,
bond,
price,
dayCounter,
compounding,
frequency,
settlementDate,
accuracy,
guess);
}
static Rate yield ## SolverType(SolverType solver,
const Bond& bond,
Real cleanPrice,
Expand Down
9 changes: 9 additions & 0 deletions SWIG/bonds.i
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Original file line number Diff line number Diff line change
Expand Up @@ -52,6 +52,7 @@ class BondPrice {
BondPrice(Real amount, Type type);
Real amount() const;
Type type() const;
bool isValid() const;
};

%shared_ptr(Bond)
Expand Down Expand Up @@ -103,6 +104,14 @@ class Bond : public Instrument {
Frequency freq,
Real accuracy = 1.0e-8,
Size maxEvaluations = 100);
Real yield(BondPrice price,
const DayCounter& dc,
Compounding compounding,
Frequency freq,
const Date& settlement = Date(),
Real accuracy = 1.0e-8,
Size maxEvaluations = 100,
Real guess = 0.05);
Real yield(Real cleanPrice,
const DayCounter& dc,
Compounding compounding,
Expand Down