Bond classes doesn´t allow compounded coupon rates

[Piter Dias-3]

People,

Here in Brazil we have (NTN-F is a example) some bond coupon generation based
on compounded rates.

I modeled NTN-F in Reuters Kondor+, for example, using Semiannual payments,
compounded rates and 30/360 day count.

It means that 10% nominal is actually (1+0.01)^0.5-1 each semester.

What is the easiest way to implement such behavior in QuantLib?

I thought about creating a new constructor including compounded parameter.
The old constructor would be kept and would call the new one using "Simple"
as compounded parameter.

FixedRateCoupon class would have compounded logic. I did´t check for other
Bonds classes (Floating, for example).

What you guys think about that?

Regards.

Piter Dias
[hidden email]

[Luigi Ballabio]

On Tue, 2006-10-03 at 23:20 -0300, Piter Dias wrote:
> Here in Brazil we have (NTN-F is a example) some bond coupon generation based
> on compounded rates.
>
> I thought about creating a new constructor including compounded parameter.
> The old constructor would be kept and would call the new one using "Simple"
> as compounded parameter.

Piter,
        it seems sensible. Why don't you try implementing it and send a patch?

Later,
        Luigi


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