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Merge branch 'github-208' into 'master'
PR-208 See merge request qs/ore-github!38
2 parents 4f9754d + f997dec commit 08bc5c0

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‎Docs/UserGuide/curve_configurations/yieldcurves.tex‎

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@@ -457,7 +457,7 @@ \subsubsection*{Fitted Bond Segment}
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</Quotes>
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<!-- mapping of Ibor curves used in the bonds from which the curve is built -->
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<IborIndexCurves>
460-
<IborIndexCurve iborIndex="EUR-EURIBOR-6M">EUR-EURIBOR-6M</IborIndexCurve>
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<IborIndexCurve iborIndex="EUR-EURIBOR-6M">EUR6M</IborIndexCurve>
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</IborIndexCurves>
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<!-- flat extrapolation before first and after last bond maturity -->
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<ExtrapolateFlat>true</ExtrapolateFlat>

‎Docs/UserGuide/marketdata.tex‎

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@@ -1443,6 +1443,31 @@ \subsection{Bond Yield Spreads}
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\item BOND/YIELD\_SPREAD/SECURITY\_1
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\end{itemize}
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%- - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - -
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\subsection{Bond Prices}
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%- - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - -
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\begin{table}[H]
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\centering
1452+
\begin{tabular}{|p{3cm}|p{3.5cm}|p{7cm}|}
1453+
\hline
1454+
{\bf Property} & {\bf Allowable values} & {\bf Description} \\ \hline
1455+
Instrument Type & \emph{BOND} & \\ \hline
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Quote Type & \emph{PRICE} & \\ \hline
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Name & String & Identifying name of the bond \\ \hline
1458+
\end{tabular}
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\caption{Bond Prices}
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\label{tab:bondprice_quote}
1461+
\end{table}
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This quote provides the clean price for a specified bond in units.
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1465+
\medskip
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Examples:
1467+
\begin{itemize}
1468+
\item BOND/PRICE/SECURITY\_1
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\end{itemize}
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%- - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - -
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\subsection{Base Correlations}
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%- - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - -

‎Docs/UserGuide/tradedata/bond.tex‎

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@@ -60,7 +60,7 @@ \subsubsection{Bond}
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An alphanumeric string of the form [CCY]-[INDEX]-[TERM]. CCY, INDEX and TERM must be separated by dashes (-). CCY and INDEX must be among the supported currency and index combinations. TERM must be an integer followed by D, W, M or Y. See Table \ref{tab:indices}.
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For currencies without available ibor indices: \\
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An alphanumeric string of the form [CCY]BENCHMARK-[CCY]-TERM, matching a benchmark curve set up in the market data configuration.
63+
An alphanumeric string, matching a benchmark curve set up in the market data configuration in {\tt todaysmarket.xml} Yield curves section.
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Examples: IDRBENCHMARK-IDR-3M, EGPBENCHMARK-EGP-3M, UAHBENCHMARK-UAH-3M, NGNBENCHMARK-NGN-3M
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‎Docs/UserGuide/userguide.tex‎

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@@ -2132,7 +2132,7 @@ \subsection{Bonds and Amortisation Structures}% Example 18
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%--------------------------------------------------------
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The example in folder {\tt Examples/Example\_18} computes NPVs and cash flow projections for a vanilla bond portfolio
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consisting of a range of bond products, in particular demonstrating amortisation features:
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consisting of a range of bond products, in particular demonstrating amortisation features. Also, pricing using a benchmark bond price curve (bond definitions in referencedata.xml) is demonstrated:
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\begin{itemize}
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\item fixed rate bond
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\item floating rate bond linked to Euribor 6M
@@ -2143,6 +2143,7 @@ \subsection{Bonds and Amortisation Structures}% Example 18
21432143
\item bond with fixed annuity amortisation
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\item bond with floating annuity amortisation (this example needs QuantLib 1.10 or higher to work, in particular the amount() method in the Coupon class needs to be virtual)
21452145
\item bond with fixed amount amortisation followed by percentage amortisation relative to previous notional
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\item fixed rate bond using a benchmark bond price curve instead of the benchmark yield curve
21462147
\end{itemize}
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After running the example, the results of the computation can be found in the output files {\tt npv.csv} and {\tt

‎Examples/Example_18/ExpectedOutput/flows.csv‎

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@@ -100,6 +100,12 @@ Bond_Fixed_Then_Floating,Bond,13,0,2025-02-03,InterestProjected,147307.5573,EUR,
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Bond_Fixed_Then_Floating,Bond,14,0,2025-08-04,InterestProjected,147637.7985,EUR,0.0296086794,0.4986301370,2025-02-03,2025-08-04,0.0000,2025-01-30,0.0196086794,10000000.0000,0.8286266420,122336.6132292770,1.0000000000,122336.6132292770,EUR,#N/A,#N/A,#N/A,#N/A
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Bond_Fixed_Then_Floating,Bond,15,0,2026-02-03,InterestProjected,148451.6639,EUR,0.0296092117,0.5013698630,2025-08-04,2026-02-03,0.0000,2025-07-31,0.0196097440,10000000.0000,0.8204483993,121796.9300410371,1.0000000000,121796.9300410371,EUR,#N/A,#N/A,#N/A,#N/A
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Bond_Fixed_Then_Floating,Bond,16,0,2026-02-03,Notional,10000000.0000,EUR,#N/A,#N/A,#N/A,#N/A,#N/A,#N/A,#N/A,#N/A,0.8204483993,8204483.9926123777,1.0000000000,8204483.9926123777,EUR,#N/A,#N/A,#N/A,#N/A
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Bond_Fixed_using_BMBond_curve_Pricing,Bond,1,0,2017-02-03,Interest,500123.5122,EUR,0.0500000000,1.0002470245,2016-02-03,2017-02-03,2732.2404,#N/A,#N/A,10000000.0000,1.0036811234,501964.5286144280,1.0000000000,501964.5286144280,EUR,#N/A,#N/A,#N/A,#N/A
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Bond_Fixed_using_BMBond_curve_Pricing,Bond,2,0,2018-02-05,Interest,502739.7260,EUR,0.0500000000,1.0054794521,2017-02-03,2018-02-05,0.0000,#N/A,#N/A,10000000.0000,1.0074063046,506463.1695560819,1.0000000000,506463.1695560819,EUR,#N/A,#N/A,#N/A,#N/A
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Bond_Fixed_using_BMBond_curve_Pricing,Bond,3,0,2019-02-04,Interest,498630.1370,EUR,0.0500000000,0.9972602740,2018-02-05,2019-02-04,0.0000,#N/A,#N/A,10000000.0000,1.0111146915,504172.2571370929,1.0000000000,504172.2571370929,EUR,#N/A,#N/A,#N/A,#N/A
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Bond_Fixed_using_BMBond_curve_Pricing,Bond,4,0,2020-02-03,Interest,498506.6247,EUR,0.0500000000,0.9970132495,2019-02-04,2020-02-03,0.0000,#N/A,#N/A,10000000.0000,1.0388538629,517875.5327880877,1.0000000000,517875.5327880877,EUR,#N/A,#N/A,#N/A,#N/A
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Bond_Fixed_using_BMBond_curve_Pricing,Bond,5,0,2021-02-03,Interest,500123.5122,EUR,0.0500000000,1.0002470245,2020-02-03,2021-02-03,0.0000,#N/A,#N/A,10000000.0000,1.0482657535,524262.3503842037,1.0000000000,524262.3503842037,EUR,#N/A,#N/A,#N/A,#N/A
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Bond_Fixed_using_BMBond_curve_Pricing,Bond,6,0,2021-02-03,Notional,10000000.0000,EUR,#N/A,#N/A,#N/A,#N/A,#N/A,#N/A,#N/A,#N/A,1.0482657535,10482657.5346797928,1.0000000000,10482657.5346797928,EUR,#N/A,#N/A,#N/A,#N/A
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Bond_Floating,Bond,1,0,2016-08-03,Interest,50224.0437,EUR,0.0101000000,0.4972677596,2016-02-03,2016-08-03,551.9126,2016-02-01,0.0001000000,10000000.0000,0.9900995527,49726.8032160310,1.0000000000,49726.8032160310,EUR,#N/A,#N/A,#N/A,#N/A
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Bond_Floating,Bond,2,0,2017-02-03,InterestProjected,148293.6367,EUR,0.0294830517,0.5029792649,2016-08-03,2017-02-03,0.0000,2016-08-01,0.0194830517,10000000.0000,0.9803373492,145377.7907112182,1.0000000000,145377.7907112182,EUR,#N/A,#N/A,#N/A,#N/A
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Bond_Floating,Bond,3,0,2017-08-03,InterestProjected,146109.2400,EUR,0.0294640180,0.4958904110,2017-02-03,2017-08-03,0.0000,2017-02-01,0.0194640180,10000000.0000,0.9708366681,141848.2077635486,1.0000000000,141848.2077635486,EUR,#N/A,#N/A,#N/A,#N/A

‎Examples/Example_18/ExpectedOutput/npv.csv‎

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@@ -17,3 +17,4 @@ Bond_Amortizing_Floating_Annuity,Bond,2021-02-03,4.994783,10233214.908861,EUR,10
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FwdBond_Amortizing_Floating_Annuity,ForwardBond,2021-02-03,4.994783,21532.889785,EUR,21532.889785,EUR,10000000.00,EUR,10000000.00,,CPTY_C
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Bond_Amortizing_FixedAmount_PercentagePrevious,Bond,2026-02-03,9.994783,11884303.320039,EUR,11884303.320039,EUR,10000000.00,EUR,10000000.00,,CPTY_C
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FwdBond_Amortizing_FixedAmount_PercentagePrevious,ForwardBond,2026-02-03,9.994783,1986043.880658,EUR,1986043.880658,EUR,10000000.00,EUR,10000000.00,,CPTY_C
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Bond_Fixed_using_BMBond_curve_Pricing,Bond,2021-02-03,4.994783,13037395.373160,EUR,13037395.373160,EUR,10000000.00,EUR,10000000.00,,CPTY_C

‎Examples/Example_18/Input/ore.xml‎

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<Parameter name="pricingEnginesFile">../../Input/pricingengine.xml</Parameter>
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<Parameter name="portfolioFile">portfolio.xml</Parameter>
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<Parameter name="observationModel">Disable</Parameter>
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<Parameter name="referenceDataFile">referencedata.xml</Parameter>
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</Setup>
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<Markets>
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<Parameter name="lgmcalibration">libor</Parameter>

‎Examples/Example_18/Input/portfolio.xml‎

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<LongInForward>true</LongInForward>
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</ForwardBondData>
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</Trade>
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<Trade id="Bond_Fixed_using_BMBond_curve_Pricing">
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<TradeType>Bond</TradeType>
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<Envelope>
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<CounterParty>CPTY_C</CounterParty>
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<NettingSetId/>
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<AdditionalFields/>
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</Envelope>
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<BondData>
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<IssuerId>CPTY_C</IssuerId>
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<SecurityId>SECURITY_1</SecurityId>
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<ReferenceCurveId>BENCHMARK-EUR-6M</ReferenceCurveId>
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<SettlementDays>2</SettlementDays>
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<Calendar>TARGET</Calendar>
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<IssueDate>20160203</IssueDate>
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<LegData>
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<LegType>Fixed</LegType>
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<Payer>false</Payer>
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<Currency>EUR</Currency>
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<Notionals>
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<Notional>10000000.000000</Notional>
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</Notionals>
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<DayCounter>ACT/ACT</DayCounter>
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<PaymentConvention>F</PaymentConvention>
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<FixedLegData>
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<Rates>
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<Rate>0.05</Rate>
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</Rates>
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</FixedLegData>
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<ScheduleData>
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<Rules>
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<StartDate>20160203</StartDate>
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<EndDate>20210203</EndDate>
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<Tenor>1Y</Tenor>
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<Calendar>TARGET</Calendar>
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<Convention>F</Convention>
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<TermConvention>F</TermConvention>
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<Rule>Forward</Rule>
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<EndOfMonth/>
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<FirstDate/>
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<LastDate/>
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</Rules>
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</ScheduleData>
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</LegData>
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</BondData>
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</Trade>
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</Portfolio>

‎Examples/Example_18/Input/referencedata.xml‎

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<?xml version='1.0' encoding='UTF-8'?>
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<ReferenceData>
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<ReferenceDatum id="SECURITY_2">
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<Type>Bond</Type>
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<BondReferenceData>
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<IssuerId></IssuerId>
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<CreditCurveId></CreditCurveId>
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<ReferenceCurveId>EUR-EURIBOR-6M</ReferenceCurveId>
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<SettlementDays>2</SettlementDays>
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<Calendar>TARGET</Calendar>
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<IssueDate>07.10.2014</IssueDate>
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<LegData>
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<LegType>Fixed</LegType>
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<Payer>false</Payer>
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<Currency>EUR</Currency>
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<Notionals>
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<Notional>1.0</Notional>
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</Notionals>
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<DayCounter>30/360</DayCounter>
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<PaymentConvention>F</PaymentConvention>
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<FixedLegData>
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<Rates>
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<Rate>0.0025</Rate>
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</Rates>
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</FixedLegData>
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<ScheduleData>
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<Rules>
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<StartDate>07.10.2014</StartDate>
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<EndDate>18.10.2019</EndDate>
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<Rule>Backward</Rule>
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<Tenor>1Y</Tenor>
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<Calendar>TARGET</Calendar>
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<Convention>F</Convention>
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<TermConvention>F</TermConvention>
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</Rules>
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</ScheduleData>
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</LegData>
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</BondReferenceData>
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</ReferenceDatum>
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<ReferenceDatum id="SECURITY_3">
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<Type>Bond</Type>
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<BondReferenceData>
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<IssuerId></IssuerId>
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<CreditCurveId></CreditCurveId>
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<ReferenceCurveId>EUR-EURIBOR-6M</ReferenceCurveId>
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<IncomeCurveId/>
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<SettlementDays>2</SettlementDays>
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<Calendar>TARGET</Calendar>
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<IssueDate>23.06.2015</IssueDate>
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<LegData>
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<LegType>Fixed</LegType>
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<Payer>false</Payer>
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<Currency>EUR</Currency>
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<Notionals>
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<Notional>1.0</Notional>
56+
</Notionals>
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<DayCounter>30/360</DayCounter>
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<PaymentConvention>F</PaymentConvention>
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<FixedLegData>
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<Rates>
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<Rate>0.012</Rate>
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</Rates>
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</FixedLegData>
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<ScheduleData>
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<Rules>
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<StartDate>23.06.2015</StartDate>
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<EndDate>20.10.2025</EndDate>
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<Rule>Backward</Rule>
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<Tenor>1Y</Tenor>
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<Calendar>TARGET</Calendar>
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<Convention>F</Convention>
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<TermConvention>F</TermConvention>
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</Rules>
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</ScheduleData>
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</LegData>
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</BondReferenceData>
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</ReferenceDatum>
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<ReferenceDatum id="SECURITY_4">
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<Type>Bond</Type>
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<BondReferenceData>
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<IssuerId></IssuerId>
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<CreditCurveId></CreditCurveId>
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<ReferenceCurveId>EUR-EURIBOR-6M</ReferenceCurveId>
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<SettlementDays>2</SettlementDays>
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<Calendar>TARGET</Calendar>
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<IssueDate>23.02.2016</IssueDate>
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<LegData>
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<LegType>Fixed</LegType>
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<Payer>false</Payer>
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<Currency>EUR</Currency>
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<Notionals>
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<Notional>1.0</Notional>
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</Notionals>
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<DayCounter>30/360</DayCounter>
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<PaymentConvention>F</PaymentConvention>
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<FixedLegData>
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<Rates>
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<Rate>0.0075</Rate>
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</Rates>
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</FixedLegData>
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<ScheduleData>
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<Rules>
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<StartDate>23.02.2016</StartDate>
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<EndDate>20.10.2026</EndDate>
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<Rule>Backward</Rule>
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<Tenor>1Y</Tenor>
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<Calendar>TARGET</Calendar>
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<Convention>F</Convention>
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<TermConvention>F</TermConvention>
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</Rules>
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</ScheduleData>
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</LegData>
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</BondReferenceData>
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</ReferenceDatum>
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<ReferenceDatum id="SECURITY_5">
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<Type>Bond</Type>
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<BondReferenceData>
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<IssuerId></IssuerId>
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<CreditCurveId></CreditCurveId>
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<ReferenceCurveId>EUR-EURIBOR-6M</ReferenceCurveId>
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<IncomeCurveId/>
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<SettlementDays>2</SettlementDays>
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<Calendar>TARGET</Calendar>
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<IssueDate>23.02.2016</IssueDate>
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<LegData>
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<LegType>Fixed</LegType>
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<Payer>false</Payer>
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<Currency>EUR</Currency>
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<Notionals>
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<Notional>1.0</Notional>
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</Notionals>
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<DayCounter>30/360</DayCounter>
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<PaymentConvention>F</PaymentConvention>
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<FixedLegData>
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<Rates>
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<Rate>0.015</Rate>
137+
</Rates>
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</FixedLegData>
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<ScheduleData>
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<Rules>
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<StartDate>23.02.2016</StartDate>
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<EndDate>20.02.2047</EndDate>
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<Rule>Backward</Rule>
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<Tenor>1Y</Tenor>
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<Calendar>TARGET</Calendar>
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<Convention>F</Convention>
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<TermConvention>F</TermConvention>
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</Rules>
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</ScheduleData>
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</LegData>
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</BondReferenceData>
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</ReferenceDatum>
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</ReferenceData>

‎Examples/Example_18/Readme.txt‎

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(needs QuantLib 1.10, virtual amount() method the Coupon class)
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- bond with fixed amount amortisation followed by percentage
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amortisation relative to previous notional
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- fixed rate bond using a benchmark bond curve (consisting of 4 bonds) for pricing
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2) Market
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Flat 6m Euribor Swap curve at 2%
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Fake Benchmark Bond Prices as of analysis date
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3) Pricing
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Discounted cash flows with discounting risky bond engine taking
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a benchmark yield curve, a default term structure and an individual
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security spread into account
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security spread into account. Alternatively a benchmark bond curve containing 4 bonds is used
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4) Analytics
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