>>Hello, I found QuantLib on the net and thought I would give it a try to do some bond related stuff - it"s a great project! It"s a bit difficult to get started though - I didn"t find any sample code involving bond stuff - any pointers? I have a specific question regarding the FixedCouponBond class, maybe someone can help me with this: I have some bonds that do not pay a coupon on maturity (only the principal). Specifically, I have date for the first coupon paid, and a date for the last coupon paid (which might be different from maturity). Am I correct in assuming that I cannot replicate this with the FixedCouponBond class? I had a poke around in the code, and it looks as if I might want to make a new class were I replace the coupon rate argument in the definition of cash flows with a vector that is set to zero after my last (and before my first) interest date (and equal to the coupon rate at the other dates). Would that work? Thanks, Max
Max,
I am unable to get your email address as it is not shown from the archive. So I reply this to the whole group, hope it's ok.
The key characteristic of FixedCouponBond is to use Schedule and CashFlow to save the coupon dates/coupon payments into a vector, and assuming the coupon would be paid regularly.
In your case, I am not sure if the frequency is fixed. Before we come up a business object for the type of instrument of your concern, you can always use the Schedule object and CashFlow object to generate the cash flow, manipulate it as you see fit, then discount them ....
The present value calculated by FixedCouponBond for Government securities are as good as you can see on Blooomberg. However, you should include the proper credit spread otherwise.
Hope this helps,
Jeff
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