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Bond coupon reset schedule

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Hrishikesh Pippadipally

Bond coupon reset schedule

Hi,

I am using quantlib to calculate accrued interest and now stuck with
few floating bonds which has coupon resets between payments. I am not
able to find a place where we can specify coupon resets in current
API. Does the current quant support this feature? I tried searching
the mail archives but did not find a solution.

Please advise.

Thanks,

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Hrishikesh Pippadipally

Bond coupon reset schedule

Hi,

I am using quantlib to calculate accrued interest and now stuck with
few floating bonds which has coupon resets between payments. I am not
able to find a place where we can specify coupon resets in current
API. Does the current quant support this feature? I tried searching
the mail archives but did not find a solution.

Please advise.

Thanks,
Hrishi.

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Dell EqualLogic storage and VMware View: A highly scalable, end-to-end
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Ferdinando M. Ametrano-3

Re: Bond coupon reset schedule

In reply to this post by Hrishikesh Pippadipally

On Thu, Nov 11, 2010 at 5:13 PM, <[hidden email]> wrote:
> I am using quantlib to calculate accrued interest and now stuck with
> few floating bonds which has coupon resets between payments. I am not
> able to find a place where we can specify coupon resets in current
> API. Does the current quant support this feature? I tried searching
> the mail archives but did not find a solution.

please provide a concrete example with dates

ciao -- Nando

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Hrishikesh Pippadipally

Re: Bond coupon reset schedule

In reply to this post by Hrishikesh Pippadipally

Nando

I have floating bond with following details:

Issue Date: 09/15/1988
Maturity Date: <a href="x-apple-data-detectors://1" x-apple-data-detectors="true">08/15/2048
Frequency: Semi Annual
First Coupon Date: 02/15/1989
Prev Coupon Date: 08/15/2010
Next Coupon Date: <a href="x-apple-data-detectors://4" x-apple-data-detectors="true">02/15/2011

Coupon Rate Schedules: I am mentioning coupon resets only after prev coupon date but this bond has monthly coupon resets from issue date.
.......
07/15/2010 0.76
08/15/2010 0.68
09/15/2010 0.77
10/15/2010 0.72

How do i provide these rate schedules in quantlib FRN to calculate accrued interest on this bond for a trade with settlement date of 11/09/2010.

Let me know if you need more details.

Thanks,
Hrishi.

Internet
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Sent by: [hidden email][hidden email]
11/11/2010 11:42 AM

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Subject
Re: [Quantlib-users] Bond coupon reset schedule

On Thu, Nov 11, 2010 at 5:13 PM, <[hidden email]> wrote: > I am using quantlib to calculate accrued interest and now stuck with > few floating bonds which has coupon resets between payments. I am not > able to find a place where we can specify coupon resets in current > API. Does the current quant support this feature? I tried searching > the mail archives but did not find a solution. please provide a concrete example with dates ciao -- Nando
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Ferdinando M. Ametrano-3

Re: Bond coupon reset schedule

it's probably non feasible with the current analitics, but it's not
hard to code if you're familiar with C++ and QuantLib.

anyway it would help to have the ISIN, since you didn't specify what
is the bond's indexation and it's not clear what it has monthly reset
for

ciao -- Nando

On Thu, Nov 11, 2010 at 10:51 PM, Hrishikesh Pippadipally
<[hidden email]> wrote:

>
> Nando
> I have floating bond with following details:
>
> Issue Date: 09/15/1988
> Maturity Date: 08/15/2048
> Frequency: Semi Annual
> First Coupon Date: 02/15/1989
> Prev Coupon Date: 08/15/2010
> Next Coupon Date: 02/15/2011
>
> Coupon Rate Schedules: I am mentioning coupon resets only after prev coupon date but this bond has monthly coupon resets from issue date.
> .......
> 07/15/2010 0.76
> 08/15/2010 0.68
> 09/15/2010 0.77
> 10/15/2010 0.72
>
> How do i provide these rate schedules in quantlib FRN to calculate accrued interest on this bond for a trade with settlement date of 11/09/2010.
> Let me know if you need more details.
> Thanks,
> Hrishi.
>
> Internet
> [hidden email]
>
> Sent by: [hidden email]
>
> 11/11/2010 11:42 AM
>
> To
> [hidden email]
> cc
> [hidden email]
> Subject
> Re: [Quantlib-users] Bond coupon reset schedule
>
>
>
>
> On Thu, Nov 11, 2010 at 5:13 PM, <[hidden email]> wrote:
> > I am using quantlib to calculate accrued interest and now stuck with
> > few floating bonds which has coupon resets between payments. I am not
> > able to find a place where we can specify coupon resets in current
> > API. Does the current quant support this feature? I tried searching
> > the mail archives but did not find a solution.
>
> please provide a concrete example with dates
>
> ciao -- Nando
>
> This message and any attachments (the "message") is intended solely for
> the addressees and is confidential. If you receive this message in error,
> please delete it and immediately notify the sender. Any use not in accord
> with its purpose, any dissemination or disclosure, either whole or partial,
> is prohibited except formal approval. The internet can not guarantee the
> integrity of this message. BNP PARIBAS (and its subsidiaries) shall (will)
> not therefore be liable for the message if modified. Please note that certain
> functions and services for BNP Paribas may be performed by BNP Paribas RCC, Inc.
>
> ------------------------------------------------------------------------------
> Centralized Desktop Delivery: Dell and VMware Reference Architecture
> Simplifying enterprise desktop deployment and management using
> Dell EqualLogic storage and VMware View: A highly scalable, end-to-end
> client virtualization framework. Read more!
> http://p.sf.net/sfu/dell-eql-dev2dev
> _______________________________________________
> QuantLib-users mailing list
> [hidden email]
> https://lists.sourceforge.net/lists/listinfo/quantlib-users
>