Skip to content

Commit 0ce4488

Browse files
mgronckimgroncki
committed
Revert "Merge branch 'github-208' into 'master'"
This reverts merge request !33
1 parent efb4036 commit 0ce4488

11 files changed

Lines changed: 46 additions & 316 deletions

File tree

‎Docs/UserGuide/curve_configurations/yieldcurves.tex‎

Lines changed: 1 addition & 1 deletion
Original file line numberDiff line numberDiff line change
@@ -457,7 +457,7 @@ \subsubsection*{Fitted Bond Segment}
457457
</Quotes>
458458
<!-- mapping of Ibor curves used in the bonds from which the curve is built -->
459459
<IborIndexCurves>
460-
<IborIndexCurve iborIndex="EUR-EURIBOR-6M">EUR6M</IborIndexCurve>
460+
<IborIndexCurve iborIndex="EUR-EURIBOR-6M">EUR-EURIBOR-6M</IborIndexCurve>
461461
</IborIndexCurves>
462462
<!-- flat extrapolation before first and after last bond maturity -->
463463
<ExtrapolateFlat>true</ExtrapolateFlat>

‎Docs/UserGuide/marketdata.tex‎

Lines changed: 0 additions & 25 deletions
Original file line numberDiff line numberDiff line change
@@ -1443,31 +1443,6 @@ \subsection{Bond Yield Spreads}
14431443
\item BOND/YIELD\_SPREAD/SECURITY\_1
14441444
\end{itemize}
14451445

1446-
%- - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - -
1447-
\subsection{Bond Prices}
1448-
%- - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - -
1449-
1450-
\begin{table}[H]
1451-
\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
1456-
Quote Type & \emph{PRICE} & \\ \hline
1457-
Name & String & Identifying name of the bond \\ \hline
1458-
\end{tabular}
1459-
\caption{Bond Prices}
1460-
\label{tab:bondprice_quote}
1461-
\end{table}
1462-
1463-
This quote provides the clean price for a specified bond in units.
1464-
1465-
\medskip
1466-
Examples:
1467-
\begin{itemize}
1468-
\item BOND/PRICE/SECURITY\_1
1469-
\end{itemize}
1470-
14711446
%- - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - -
14721447
\subsection{Base Correlations}
14731448
%- - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - -

‎Docs/UserGuide/tradedata/bond.tex‎

Lines changed: 1 addition & 1 deletion
Original file line numberDiff line numberDiff line change
@@ -60,7 +60,7 @@ \subsubsection{Bond}
6060
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}.
6161

6262
For currencies without available ibor indices: \\
63-
An alphanumeric string, matching a benchmark curve set up in the market data configuration in {\tt todaysmarket.xml} Yield curves section.
63+
An alphanumeric string of the form [CCY]BENCHMARK-[CCY]-TERM, matching a benchmark curve set up in the market data configuration.
6464

6565
Examples: IDRBENCHMARK-IDR-3M, EGPBENCHMARK-EGP-3M, UAHBENCHMARK-UAH-3M, NGNBENCHMARK-NGN-3M
6666

‎Docs/UserGuide/userguide.tex‎

Lines changed: 1 addition & 2 deletions
Original file line numberDiff line numberDiff line change
@@ -2132,7 +2132,7 @@ \subsection{Bonds and Amortisation Structures}% Example 18
21322132
%--------------------------------------------------------
21332133

21342134
The example in folder {\tt Examples/Example\_18} computes NPVs and cash flow projections for a vanilla bond portfolio
2135-
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:
2135+
consisting of a range of bond products, in particular demonstrating amortisation features:
21362136
\begin{itemize}
21372137
\item fixed rate bond
21382138
\item floating rate bond linked to Euribor 6M
@@ -2143,7 +2143,6 @@ \subsection{Bonds and Amortisation Structures}% Example 18
21432143
\item bond with fixed annuity amortisation
21442144
\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
2146-
\item fixed rate bond using a benchmark bond price curve instead of the benchmark yield curve
21472146
\end{itemize}
21482147

21492148
After running the example, the results of the computation can be found in the output files {\tt npv.csv} and {\tt

‎Examples/Example_18/Input/ore.xml‎

Lines changed: 0 additions & 1 deletion
Original file line numberDiff line numberDiff line change
@@ -15,7 +15,6 @@
1515
<Parameter name="pricingEnginesFile">../../Input/pricingengine.xml</Parameter>
1616
<Parameter name="portfolioFile">portfolio.xml</Parameter>
1717
<Parameter name="observationModel">Disable</Parameter>
18-
<Parameter name="referenceDataFile">referencedata.xml</Parameter>
1918
</Setup>
2019
<Markets>
2120
<Parameter name="lgmcalibration">libor</Parameter>

‎Examples/Example_18/Input/portfolio.xml‎

Lines changed: 0 additions & 45 deletions
Original file line numberDiff line numberDiff line change
@@ -1125,49 +1125,4 @@
11251125
<LongInForward>true</LongInForward>
11261126
</ForwardBondData>
11271127
</Trade>
1128-
<Trade id="Bond_Fixed_using_BMBond_curve_Pricing">
1129-
<TradeType>Bond</TradeType>
1130-
<Envelope>
1131-
<CounterParty>CPTY_C</CounterParty>
1132-
<NettingSetId/>
1133-
<AdditionalFields/>
1134-
</Envelope>
1135-
<BondData>
1136-
<IssuerId>CPTY_C</IssuerId>
1137-
<SecurityId>SECURITY_1</SecurityId>
1138-
<ReferenceCurveId>BENCHMARK-EUR-6M</ReferenceCurveId>
1139-
<SettlementDays>2</SettlementDays>
1140-
<Calendar>TARGET</Calendar>
1141-
<IssueDate>20160203</IssueDate>
1142-
<LegData>
1143-
<LegType>Fixed</LegType>
1144-
<Payer>false</Payer>
1145-
<Currency>EUR</Currency>
1146-
<Notionals>
1147-
<Notional>10000000.000000</Notional>
1148-
</Notionals>
1149-
<DayCounter>ACT/ACT</DayCounter>
1150-
<PaymentConvention>F</PaymentConvention>
1151-
<FixedLegData>
1152-
<Rates>
1153-
<Rate>0.05</Rate>
1154-
</Rates>
1155-
</FixedLegData>
1156-
<ScheduleData>
1157-
<Rules>
1158-
<StartDate>20160203</StartDate>
1159-
<EndDate>20210203</EndDate>
1160-
<Tenor>1Y</Tenor>
1161-
<Calendar>TARGET</Calendar>
1162-
<Convention>F</Convention>
1163-
<TermConvention>F</TermConvention>
1164-
<Rule>Forward</Rule>
1165-
<EndOfMonth/>
1166-
<FirstDate/>
1167-
<LastDate/>
1168-
</Rules>
1169-
</ScheduleData>
1170-
</LegData>
1171-
</BondData>
1172-
</Trade>
11731128
</Portfolio>

‎Examples/Example_18/Input/referencedata.xml‎

Lines changed: 0 additions & 153 deletions
This file was deleted.

‎Examples/Example_18/Readme.txt‎

Lines changed: 1 addition & 3 deletions
Original file line numberDiff line numberDiff line change
@@ -11,18 +11,16 @@
1111
(needs QuantLib 1.10, virtual amount() method the Coupon class)
1212
- bond with fixed amount amortisation followed by percentage
1313
amortisation relative to previous notional
14-
- fixed rate bond using a benchmark bond curve (consisting of 4 bonds) for pricing
1514

1615
2) Market
1716

1817
Flat 6m Euribor Swap curve at 2%
19-
Fake Benchmark Bond Prices as of analysis date
2018

2119
3) Pricing
2220

2321
Discounted cash flows with discounting risky bond engine taking
2422
a benchmark yield curve, a default term structure and an individual
25-
security spread into account. Alternatively a benchmark bond curve containing 4 bonds is used
23+
security spread into account
2624

2725
4) Analytics
2826

0 commit comments

Comments
 (0)