QuantLib › quantlib-users

回复：答复: Adjustable Rate Bonds Pricing

Classic

List

Threaded

3 messages Options

fagoal

回复：答复: Adjustable Rate Bonds Pricing

Ok，i will try it. Another question , this solution supports calculation of a coupon which is divided into several parts, for example payment semiannual，fixing 3month，but does it support payment 1month , and fixing 6mont? which means that one rate fixing determines next several coupon payment

发自我的iPhone

------------------ 原始邮件 ------------------

发件人: cheng li <[hidden email]>

发送时间: 2017年7月3日 11:43

收件人: '冬' <[hidden email]>

主题: 回复：答复: 回复：答复: [Quantlib-users] Adjustable Rate Bonds Pricing

FYI. I attached the Peter Casper’s answer which should be an easier solution. It still use sub period coupon. However there is no need to create a new class.

Regards,

Cheng

发件人: [hidden email] [mailto:[hidden email]] 代表冬
发送时间: 2017年7月3日 11:00
收件人: cheng li <[hidden email]>
主题: 回复：答复: [Quantlib-users] Adjustable Rate Bonds Pricing

I am using floatingratebond to do the job， but it does'n work . So what you mean is that i need to create a new instrument like floatingratebond and using the subperiodcoupon to solve this case？

发自我的iPhone

------------------ 原始邮件 ------------------

发件人: cheng li <[hidden email]>

发送时间: 2017年7月2日 22:42

收件人: 'fagoal' <[hidden email]>, quantlib-users <[hidden email]>

主题: 回复：答复: [Quantlib-users] Adjustable Rate Bonds Pricing

Hi Fagoal,

Floating rate bond class under the instruments folder should partially meets
your requirements:

https://github.com/lballabio/QuantLib/blob/master/ql/instruments/bonds/float
ingratebond.hpp

This is a bond with variable rate linked to a ibor index.

According to your further description, you are looking forward to the sub
period coupon class under QuantLib experimental folder:

https://github.com/lballabio/QuantLib/blob/master/ql/experimental/coupons/su
bperiodcoupons.hpp

Peter Casper has another similar version of this in his open risk engine
project:

https://github.com/OpenSourceRisk/Engine/blob/master/QuantExt/qle/cashflows/
subperiodscoupon.hpp

also based on QuantLib.

It should be easy for yourself to extend QuantLib with a new type of bond
class based on sub period coupon. It will be very similar to floating rate
bond class.

Regards,
Cheng

-----邮件原件-----
发件人: fagoal [[hidden email]]
发送时间: 2017年7月1日 15:24
收件人: [hidden email]
主题: Re: [Quantlib-users] Adjustable Rate Bonds Pricing

Does quantlib 1.9 support this non-trival case? like fixing rate frequency
is quarterly and payment frequency is semiannual.

--
View this message in context:
http://quantlib.10058.n7.nabble.com/Adjustable-Rate-Bonds-Pricing-tp5756p183
73.html
Sent from the quantlib-users mailing list archive at Nabble.com.

----------------------------------------------------------------------------
--
Check out the vibrant tech community on one of the world's most engaging
tech sites, Slashdot.org! http://sdm.link/slashdot
_______________________________________________
QuantLib-users mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-users

------------------ 原始邮件 ------------------

发件人: Peter Caspers-4 [via QuantLib] <[hidden email]>

发送时间: 2017年7月3日 03:12

收件人: fagoal <[hidden email]>

主题: 回复：答复: Adjustable Rate Bonds Pricing

Hi Cheng, Fagoal,

I think you can also make do without creating a new class, simply set up a leg of sub period coupons (which you can take from QuantLib or ORE / QuantExt, the latter being a bit more general, if needed) and then pass this leg into the generic Bond constructor (see bond.hpp)

Bond(Natural settlementDays,
const Calendar& calendar,
const Date& issueDate = Date(),
const Leg& coupons = Leg());

The leg only needs to contain the coupons, amortisation and redemption flows are added automatically based on the notional information that comes with the coupons.

Best Regards
Peter

> On 02 Jul 2017, at 16:42, cheng li <[hidden email]> wrote:
>
> Hi Fagoal,
>
> Floating rate bond class under the instruments folder should partially meets
> your requirements:
>
> https://github.com/lballabio/QuantLib/blob/master/ql/instruments/bonds/float
> ingratebond.hpp
>
> This is a bond with variable rate linked to a ibor index.
>
> According to your further description, you are looking forward to the sub
> period coupon class under QuantLib experimental folder:
>
> https://github.com/lballabio/QuantLib/blob/master/ql/experimental/coupons/su
> bperiodcoupons.hpp
>
> Peter Casper has another similar version of this in his open risk engine
> project:
>
> https://github.com/OpenSourceRisk/Engine/blob/master/QuantExt/qle/cashflows/
> subperiodscoupon.hpp
>
> also based on QuantLib.
>
> It should be easy for yourself to extend QuantLib with a new type of bond
> class based on sub period coupon. It will be very similar to floating rate
> bond class.
>
> Regards,
> Cheng
>
> -----邮件原件-----
> 发件人: fagoal [mailto:[hidden email]]
> 发送时间: 2017年7月1日 15:24
> 收件人: [hidden email]
> 主题: Re: [Quantlib-users] Adjustable Rate Bonds Pricing
>
> Does quantlib 1.9 support this non-trival case? like fixing rate frequency
> is quarterly and payment frequency is semiannual.
>
>
>
> --
> View this message in context:
> http://quantlib.10058.n7.nabble.com/Adjustable-Rate-Bonds-Pricing-tp5756p183
> 73.html
> Sent from the quantlib-users mailing list archive at Nabble.com.
>
> ----------------------------------------------------------------------------
> --
> Check out the vibrant tech community on one of the world's most engaging
> tech sites, Slashdot.org! http://sdm.link/slashdot
> _______________________________________________
> QuantLib-users mailing list
> [hidden email]
> https://lists.sourceforge.net/lists/listinfo/quantlib-users
>
>
> ------------------------------------------------------------------------------
> Check out the vibrant tech community on one of the world's most
> engaging tech sites, Slashdot.org! http://sdm.link/slashdot
> _______________________________________________
> QuantLib-users mailing list
> [hidden email]
> https://lists.sourceforge.net/lists/listinfo/quantlib-users

------------------------------------------------------------------------------
Check out the vibrant tech community on one of the world's most
engaging tech sites, Slashdot.org! http://sdm.link/slashdot
_______________________________________________
QuantLib-users mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-users

If you reply to this email, your message will be added to the discussion below:

http://quantlib.10058.n7.nabble.com/Adjustable-Rate-Bonds-Pricing-tp5756p18375.html

To unsubscribe from Adjustable Rate Bonds Pricing, click here.
NAML

cheng li

答复: 回复：答复: Adjustable Rate Bonds Pricing

AFAIK, there is not such class coupon in QuantLib. But you can always create you’re a coupon with hard coded fixed date, like:

https://github.com/lballabio/QuantLib/blob/master/ql/cashflows/indexedcashflow.hpp

发件人: fagoal [mailto:[hidden email]]
发送时间: 2017年7月3日 17:48
收件人: [hidden email]
主题: [Quantlib-users] 回复：答复: Adjustable Rate Bonds Pricing

发自我的iPhone

------------------ 原始邮件 ------------------

发件人: cheng li <[hidden email]>

发送时间: 2017年7月3日 11:43

收件人: '冬' <[hidden email]>

主题: 回复：答复: 回复：答复: [Quantlib-users] Adjustable Rate Bonds Pricing

FYI. I attached the Peter Casper’s answer which should be an easier solution. It still use sub period coupon. However there is no need to create a new class.

Regards,

Cheng

I am using floatingratebond to do the job， but it does'n work . So what you mean is that i need to create a new instrument like floatingratebond and using the subperiodcoupon to solve this case？

发自我的iPhone

------------------ 原始邮件 ------------------

发件人: cheng li <[hidden email]>

发送时间: 2017年7月2日 22:42

收件人: 'fagoal' <[hidden email]>, quantlib-users <[hidden email]>

主题: 回复：答复: [Quantlib-users] Adjustable Rate Bonds Pricing

发自我的iPhone

------------------ 原始邮件 ------------------

发件人: Peter Caspers-4 [via QuantLib] <[hidden email]>

发送时间: 2017年7月3日 03:12

收件人: fagoal <[hidden email]>

主题: 回复：答复: Adjustable Rate Bonds Pricing

If you reply to this email, your message will be added to the discussion below:

http://quantlib.10058.n7.nabble.com/Adjustable-Rate-Bonds-Pricing-tp5756p18375.html

To unsubscribe from Adjustable Rate Bonds Pricing, click here.
NAML

View this message in context: 回复：答复: Adjustable Rate Bonds Pricing
Sent from the quantlib-users mailing list archive at Nabble.com.

Peter Caspers-4

Re: 答复: 回复：答复: Adjustable Rate Bonds Pricing

I am not aware of such a class either. You can try to use the fixingDays parameter in IborCoupon to match the desired fixing date, but that is obviously not a good solution. I’d like to support a fixing date given as a date instead of fixing days in FloatingRateCoupon and deduced coupon classes. Luigi would that make sense?

Also note that there is a convexity adjustment involved for averaged coupons (because of delayed payments), it looks this is ignored in the sub periods coupon pricer. I guess this is easy to fix (a possible, Black-stlye adjustment is already implemented in the ibor coupon pricer).

On 03 Jul 2017, at 18:51, cheng li <[hidden email]> wrote:

AFAIK, there is not such class coupon in QuantLib. But you can always create you’re a coupon with hard coded fixed date, like:

https://github.com/lballabio/QuantLib/blob/master/ql/cashflows/indexedcashflow.hpp

发件人: fagoal [[hidden email]]
发送时间: 2017年7月3日 17:48
收件人: [hidden email]
主题: [Quantlib-users] 回复：答复: Adjustable Rate Bonds Pricing

Ok，i will try it. Another question , this solution supports calculation of a coupon which is divided into several parts, for example payment semiannual，fixing 3month，but does it support payment 1month , and fixing 6mont? which means that one rate fixing determines next several coupon payment

发自我的iPhone

------------------ 原始邮件 ------------------
发件人: cheng li <<a href="x-msg://644/user/SendEmail.jtp?type=node&node=18376&i=0" target="_top" style="color: purple; text-decoration: underline;" class="">[hidden email]>
发送时间: 2017年7月3日 11:43
收件人: '冬' <<a href="x-msg://644/user/SendEmail.jtp?type=node&node=18376&i=1" target="_top" style="color: purple; text-decoration: underline;" class="">[hidden email]>
主题: 回复：答复: 回复：答复: [Quantlib-users] Adjustable Rate Bonds Pricing

FYI. I attached the Peter Casper’s answer which should be an easier solution. It still use sub period coupon. However there is no need to create a new class.

Regards,
Cheng

发件人: <a href="x-msg://644/user/SendEmail.jtp?type=node&node=18376&i=2" target="_top" style="color: purple; text-decoration: underline;" class="">[hidden email] [mailto:<a href="x-msg://644/user/SendEmail.jtp?type=node&node=18376&i=3" target="_top" style="color: purple; text-decoration: underline;" class="">[hidden email]] 代表冬
发送时间: 2017年7月3日 11:00
收件人: cheng li <<a href="x-msg://644/user/SendEmail.jtp?type=node&node=18376&i=4" target="_top" style="color: purple; text-decoration: underline;" class="">[hidden email]>
主题: 回复：答复: [Quantlib-users] Adjustable Rate Bonds Pricing

I am using floatingratebond to do the job， but it does'n work . So what you mean is that i need to create a new instrument like floatingratebond and using the subperiodcoupon to solve this case？
发自我的iPhone

------------------ 原始邮件 ------------------
发件人: cheng li <<a href="x-msg://644/user/SendEmail.jtp?type=node&node=18376&i=5" target="_top" style="color: purple; text-decoration: underline;" class="">[hidden email]>
发送时间: 2017年7月2日 22:42
收件人: 'fagoal' <<a href="x-msg://644/user/SendEmail.jtp?type=node&node=18376&i=6" target="_top" style="color: purple; text-decoration: underline;" class="">[hidden email]>, quantlib-users <<a href="x-msg://644/user/SendEmail.jtp?type=node&node=18376&i=7" target="_top" style="color: purple; text-decoration: underline;" class="">[hidden email]>
主题: 回复：答复: [Quantlib-users] Adjustable Rate Bonds Pricing

Hi Fagoal,

Floating rate bond class under the instruments folder should partially meets
your requirements:

https://github.com/lballabio/QuantLib/blob/master/ql/instruments/bonds/float
ingratebond.hpp

This is a bond with variable rate linked to a ibor index.

According to your further description, you are looking forward to the sub
period coupon class under QuantLib experimental folder:

https://github.com/lballabio/QuantLib/blob/master/ql/experimental/coupons/su
bperiodcoupons.hpp

Peter Casper has another similar version of this in his open risk engine
project:

https://github.com/OpenSourceRisk/Engine/blob/master/QuantExt/qle/cashflows/
subperiodscoupon.hpp

also based on QuantLib.

It should be easy for yourself to extend QuantLib with a new type of bond
class based on sub period coupon. It will be very similar to floating rate
bond class.

Regards,
Cheng

-----邮件原件-----
发件人: fagoal [<a href="x-msg://644/user/SendEmail.jtp?type=node&node=18376&i=8" target="_top" style="color: purple; text-decoration: underline;" class="">[hidden email]]
发送时间: 2017年7月1日 15:24
收件人: <a href="x-msg://644/user/SendEmail.jtp?type=node&node=18376&i=9" target="_top" style="color: purple; text-decoration: underline;" class="">[hidden email]
主题: Re: [Quantlib-users] Adjustable Rate Bonds Pricing

Does quantlib 1.9 support this non-trival case? like fixing rate frequency
is quarterly and payment frequency is semiannual.

--
View this message in context:
http://quantlib.10058.n7.nabble.com/Adjustable-Rate-Bonds-Pricing-tp5756p183
73.html
Sent from the quantlib-users mailing list archive at Nabble.com.

----------------------------------------------------------------------------
--
Check out the vibrant tech community on one of the world's most engaging
tech sites, Slashdot.org! http://sdm.link/slashdot
_______________________________________________
QuantLib-users mailing list
<a href="x-msg://644/user/SendEmail.jtp?type=node&node=18376&i=10" target="_top" style="color: purple; text-decoration: underline;" class="">[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-users

发自我的iPhone

------------------ 原始邮件 ------------------
发件人: Peter Caspers-4 [via QuantLib] <<a href="x-msg://644/user/SendEmail.jtp?type=node&node=18376&i=11" target="_top" style="color: purple; text-decoration: underline;" class="">[hidden email]>
发送时间: 2017年7月3日 03:12
收件人: fagoal <<a href="x-msg://644/user/SendEmail.jtp?type=node&node=18376&i=12" target="_top" style="color: purple; text-decoration: underline;" class="">[hidden email]>
主题: 回复：答复: Adjustable Rate Bonds Pricing

Hi Cheng, Fagoal,

I think you can also make do without creating a new class, simply set up a leg of sub period coupons (which you can take from QuantLib or ORE / QuantExt, the latter being a bit more general, if needed) and then pass this leg into the generic Bond constructor (see bond.hpp)

Bond(Natural settlementDays,
const Calendar& calendar,
const Date& issueDate = Date(),
const Leg& coupons = Leg());

The leg only needs to contain the coupons, amortisation and redemption flows are added automatically based on the notional information that comes with the coupons.

Best Regards
Peter

> On 02 Jul 2017, at 16:42, cheng li <<a href="x-msg://644/user/SendEmail.jtp?type=node&node=18375&i=0" target="_top" style="color: purple; text-decoration: underline;" class="">[hidden email]> wrote:
>
> Hi Fagoal,
>
> Floating rate bond class under the instruments folder should partially meets
> your requirements:
>
> https://github.com/lballabio/QuantLib/blob/master/ql/instruments/bonds/float
> ingratebond.hpp
>
> This is a bond with variable rate linked to a ibor index.
>
> According to your further description, you are looking forward to the sub
> period coupon class under QuantLib experimental folder:
>
> https://github.com/lballabio/QuantLib/blob/master/ql/experimental/coupons/su
> bperiodcoupons.hpp
>
> Peter Casper has another similar version of this in his open risk engine
> project:
>
> https://github.com/OpenSourceRisk/Engine/blob/master/QuantExt/qle/cashflows/
> subperiodscoupon.hpp
>
> also based on QuantLib.
>
> It should be easy for yourself to extend QuantLib with a new type of bond
> class based on sub period coupon. It will be very similar to floating rate
> bond class.
>
> Regards,
> Cheng
>
> -----邮件原件-----
> 发件人: fagoal [mailto:<a href="x-msg://644/user/SendEmail.jtp?type=node&node=18375&i=1" target="_top" style="color: purple; text-decoration: underline;" class="">[hidden email]]
> 发送时间: 2017年7月1日 15:24
> 收件人: <a href="x-msg://644/user/SendEmail.jtp?type=node&node=18375&i=2" target="_top" style="color: purple; text-decoration: underline;" class="">[hidden email]
> 主题: Re: [Quantlib-users] Adjustable Rate Bonds Pricing
>
> Does quantlib 1.9 support this non-trival case? like fixing rate frequency
> is quarterly and payment frequency is semiannual.
>
>
>
> --
> View this message in context:
> http://quantlib.10058.n7.nabble.com/Adjustable-Rate-Bonds-Pricing-tp5756p183
> 73.html
> Sent from the quantlib-users mailing list archive at Nabble.com.
>
> ----------------------------------------------------------------------------
> --
> Check out the vibrant tech community on one of the world's most engaging
> tech sites, Slashdot.org! http://sdm.link/slashdot
> _______________________________________________
> QuantLib-users mailing list
> <a href="x-msg://644/user/SendEmail.jtp?type=node&node=18375&i=3" target="_top" style="color: purple; text-decoration: underline;" class="">[hidden email]
> https://lists.sourceforge.net/lists/listinfo/quantlib-users
>
>
> ------------------------------------------------------------------------------
> Check out the vibrant tech community on one of the world's most
> engaging tech sites, Slashdot.org! http://sdm.link/slashdot
> _______________________________________________
> QuantLib-users mailing list
> <a href="x-msg://644/user/SendEmail.jtp?type=node&node=18375&i=4" target="_top" style="color: purple; text-decoration: underline;" class="">[hidden email]
> https://lists.sourceforge.net/lists/listinfo/quantlib-users
------------------------------------------------------------------------------
Check out the vibrant tech community on one of the world's most
engaging tech sites, Slashdot.org! http://sdm.link/slashdot
_______________________________________________
QuantLib-users mailing list
<a href="x-msg://644/user/SendEmail.jtp?type=node&node=18375&i=5" target="_top" style="color: purple; text-decoration: underline;" class="">[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-users

If you reply to this email, your message will be added to the discussion below:
http://quantlib.10058.n7.nabble.com/Adjustable-Rate-Bonds-Pricing-tp5756p18375.html
To unsubscribe from Adjustable Rate Bonds Pricing, click here.
NAML

View this message in context: 回复：答复: Adjustable Rate Bonds Pricing
Sent from the quantlib-users mailing list archive at Nabble.com.
------------------------------------------------------------------------------
Check out the vibrant tech community on one of the world's most
engaging tech sites, Slashdot.org! http://sdm.link/slashdot_______________________________________________
QuantLib-users mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-users