Add BondFunctions::dirtyPrice() functions

lballabio · Mar 1, 2024 · 95ac5fa · 95ac5fa
1 parent 28c71b7
commit 95ac5fa
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Showing 3 changed files with 65 additions and 2 deletions.
diff --git a/ql/pricingengines/bond/bondfunctions.cpp b/ql/pricingengines/bond/bondfunctions.cpp
@@ -242,6 +242,15 @@ namespace QuantLib {
         if (settlement == Date())
             settlement = bond.settlementDate();
 
+        return dirtyPrice(bond, discountCurve, settlement) - bond.accruedAmount(settlement);
+    }
+
+    Real BondFunctions::dirtyPrice(const Bond& bond,
+                                   const YieldTermStructure& discountCurve,
+                                   Date settlement) {
+        if (settlement == Date())
+            settlement = bond.settlementDate();
+
         QL_REQUIRE(BondFunctions::isTradable(bond, settlement),
                    "non tradable at " << settlement <<
                    " settlement date (maturity being " <<
@@ -250,7 +259,7 @@ namespace QuantLib {
         Real dirtyPrice = CashFlows::npv(bond.cashflows(), discountCurve,
                                          false, settlement) *
             100.0 / bond.notional(settlement);
-        return dirtyPrice - bond.accruedAmount(settlement);
+        return dirtyPrice;
     }
 
     Real BondFunctions::bps(const Bond& bond,
@@ -508,6 +517,19 @@ namespace QuantLib {
         if (settlement == Date())
             settlement = bond.settlementDate();
 
+        return dirtyPrice(bond, d, zSpread, dc, comp, freq, settlement) - bond.accruedAmount(settlement);
+    }
+
+    Real BondFunctions::dirtyPrice(const Bond& bond,
+                                   const ext::shared_ptr<YieldTermStructure>& d,
+                                   Spread zSpread,
+                                   const DayCounter& dc,
+                                   Compounding comp,
+                                   Frequency freq,
+                                   Date settlement) {
+        if (settlement == Date())
+            settlement = bond.settlementDate();
+
         QL_REQUIRE(BondFunctions::isTradable(bond, settlement),
                    "non tradable at " << settlement <<
                    " (maturity being " << bond.maturityDate() << ")");
@@ -516,7 +538,7 @@ namespace QuantLib {
                                          zSpread, dc, comp, freq,
                                          false, settlement) *
             100.0 / bond.notional(settlement);
-        return dirtyPrice - bond.accruedAmount(settlement);
+        return dirtyPrice;
     }
 
     Spread BondFunctions::zSpread(const Bond& bond,

diff --git a/ql/pricingengines/bond/bondfunctions.hpp b/ql/pricingengines/bond/bondfunctions.hpp
@@ -108,6 +108,9 @@ namespace QuantLib {
         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());
@@ -264,6 +267,13 @@ namespace QuantLib {
                                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());
         [[deprecated("Use the version with the Bond::Price argument")]]
         static Spread zSpread(const Bond& bond,
                               Real cleanPrice,

diff --git a/test-suite/bonds.cpp b/test-suite/bonds.cpp
@@ -315,6 +315,7 @@ BOOST_AUTO_TEST_CASE(testZspread) {
 
                         for (Real spread : spreads) {
 
+                            // Clean price
                             Bond::Price price(BondFunctions::cleanPrice(bond, *discountCurve,
                                                                         spread, bondDayCount, n,
                                                                         frequency),
@@ -341,6 +342,36 @@ BOOST_AUTO_TEST_CASE(testZspread) {
                                                 "\n    clean price': " << price2);
                                 }
                             }
+
+                            // Dirty price
+                            price =
+                                Bond::Price(BondFunctions::dirtyPrice(bond, *discountCurve, spread,
+                                                                      bondDayCount, n, frequency),
+                                            Bond::Price::Dirty);
+
+                            calculated = BondFunctions::zSpread(
+                                bond, price, *discountCurve, bondDayCount, n, frequency, Date(),
+                                tolerance, maxEvaluations);
+
+                            if (std::fabs(spread - calculated) > tolerance) {
+                                // the difference might not matter
+                                Real price2 = BondFunctions::dirtyPrice(
+                                    bond, *discountCurve, calculated, bondDayCount, n, frequency);
+                                if (std::fabs(price.amount() - price2) / price.amount() > tolerance) {
+                                    BOOST_ERROR("\nZ-spread recalculation failed:"
+                                                "\n    issue:        " << issue <<
+                                                "\n    maturity:     " << maturity <<
+                                                "\n    coupon:       " << io::rate(coupon) <<
+                                                "\n    frequency:    " << frequency <<
+                                                "\n    Z-spread:     " << io::rate(spread) <<
+                                                (compounding[n] == Compounded ?
+                                                    " compounded" : " continuous") <<
+                                                std::setprecision(7) <<
+                                                "\n    dirty price:  " << price.amount() <<
+                                                "\n    Z-spread':    " << io::rate(calculated) <<
+                                                "\n    dirty price': " << price2);
+                                }
+                            }
                         }
                     }
                 }