bondsExample.cpp

This example show how to build different kinds of bonds.

Printing fixed income bond

Name: fixed_bond
Object: FixedIncomeBond
StartDate: 2018-05-31
Maturity: 2022-06-06
CouponFrequency: Semiannually
Notional:  1'000.00
Coupon: 5.0000% (ACT365_Simple)

Valuation of fixed income bond

2018-06-04         -1'000.00       0.9995071         -999.51
2018-12-04             25.07       0.9774648           24.50
2019-06-04             24.93       0.9564864           23.85
2019-12-04             25.07       0.9362816           23.47
2020-06-04             25.07       0.9169126           22.99
2020-12-04             25.07       0.8983289           22.52
2021-06-04             24.93       0.8805790           21.95
2021-12-06             25.34       0.8632413           21.88
2022-06-06          1'024.93       0.8468383          867.95

Price  29.60

Printing floating rate bond

Name: floating_bond
Object: FloatingRateBond
StartDate: 2018-05-31
Maturity: 2022-06-06
CouponFrequency: Semiannually
Notional:  1'000.00
Margin 1.0000% (ACT365_Simple)

Valuation of floating rate bond

2018-06-04         -1'000.00       0.9995071         -999.51
2019-06-04             37.42       0.9564864           35.80
2019-12-04             37.58       0.9362816           35.18
2020-06-04             37.58       0.9169126           34.45
2020-12-04             37.58       0.8983289           33.76
2021-06-04             37.42       0.8805790           32.96
2021-12-06             37.88       0.8632413           32.70
2022-06-06          1'037.42       0.8468383          878.53

Price  83.86

Printing zero-coupon bond

Name: zcbond
Object: ZeroCouponBond
StartDate: 2018-05-31
Maturity: 2024-05-31
Notional:  100'000.00

Valuation of zero-coupon bond

2024-05-31        100'000.00       0.7872487       78'724.87

Price  78'724.87

#include <juliant.hpp>
using namespace julian;

int main () {
  //
  // Creating interest rates: default values are ACT365 and simple compounding
  //
  InterestRate rate;

  //
  // Building calendar
  //
  PLNHoliday holiday;  
  Calendar calendar = BuildCalendar()
    .withConvention(MODIFIEDFOLLOWING)
    .addHoliday(holiday)
    .withSpotLag(2);
  
  //
  // Building two curves: one for discounting and another for projection
  //  
  ir::FlatCurve discounting_curve = ir::BuildCurve()
    .asOfDate(20180531)
    .withCalendar(calendar)
    .withInterestRate(rate)
    .withZeroCouponRate(0.045);

  ir::FlatCurve projection_curve = ir::BuildCurve()
    .asOfDate(20180531)
    .withCalendar(calendar)
    .withInterestRate(rate)
    .withZeroCouponRate(0.055);

  //
  // Fixed income bond
  //  
  FixedIncomeBond fixed_bond = BuildBond()
    .usingCalendar(calendar)
    .withNotional(1000)
    .withStartDate(20180531)
    .withTenor(4*YEAR)
    .withFrequencyOfPayment(SEMIANNUALLY)
    .withCoupon(0.05)
    .withInterestRate(rate);

  std::cout << "Printing fixed income bond" << std::endl;   
  SHOW(fixed_bond);
  std::cout << "Valuation of fixed income bond" << std::endl<< std::endl; 
  fixed_bond.valuation(discounting_curve);   

  std::cout << std::endl << std::endl;

  //
  // Floating rate bond
  //  
  FloatingRateBond floating_bond = BuildBond()
    .usingCalendar(calendar)
    .withNotional(1000)
    .withStartDate(20180531)
    .withTenor(4*YEAR)
    .withFrequencyOfPayment(SEMIANNUALLY)
    .withMargin(0.01)
    .withInterestRate(rate);


  std::cout << "Printing floating rate bond" << std::endl; 
  SHOW(floating_bond);
  std::cout << "Valuation of floating rate bond" << std::endl << std::endl; 
  floating_bond.valuation(discounting_curve, projection_curve);

  std::cout << std::endl << std::endl;

  //
  // Zero coupon bond
  //  
  ZeroCouponBond zcbond = BuildBond()
    .usingCalendar(calendar)
    .withNotional(100000)
    .withStartDate(20180531)
    .withMaturityDate(20240531)
    .withFaceValue(0.995);

  std::cout << "Printing zero-coupon bond" << std::endl; 
  SHOW(zcbond);
  std::cout << "Valuation of zero-coupon bond" << std::endl << std::endl; 
  zcbond.valuation(discounting_curve);
}