Bonds sample

[Florent Grenier]

Hi all,

I rewrote the bond sample I sent a few weeks ago in order to include a treasury curve built on some fixed bonds. The shape & value of the curves look fine. There's only a small adjustment I'll add a little bit later, which consists in adding a corporate curve to price the floating bond.

Do not hesitate to give me the suggestions you may have to improve that sample. I don't promiss I'll be able to do the changes quickly, but I can tell that I'll look at them one day or another :)

Thanks,
Florent

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[Luigi Ballabio]

On Wed, 2008-10-08 at 12:16 +0200, Florent Grenier wrote:
> I rewrote the bond sample I sent a few weeks ago in order to include a
> treasury curve built on some fixed bonds. The shape & value of the
> curves look fine.

Ok, I've added it to the repository.

Thanks,
        Luigi


--

All generalizations are false, including this one.
-- Mark Twain



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[N_Lassesen]

Regarding the quantlib bond classes, what is the reasoning behind the fact that one has to create a schedule (for coupons) and provide it to the bond constructor, instead of providing the necessary information to the bond constructor and then have it construct the needed schedule?

Furthermore when you need the bond yield, the way to get it is (assuming an existing fixedRateBond object with semiannual coupon payments):

Real price = 73.27;
Rate yld = fixedRateBond.yield(price,Thirty360(Thirty360::EurobondBasis),Compounded,Semiannual);

where especially the need to provide the Frequency parameter troubles me, because that frequency was allready provided when the coupon schedule was created. The need to provide this frequency here also is, in my opinion, quite confusing.

/Nicolai

[Guowen Han]

This frequency will be used for discount factor.

N_Lassesen <[hidden email]>

10/22/2008 10:52 AM

To	[hidden email]
cc
Subject	Re: [Quantlib-dev] Bonds sample

Regarding the quantlib bond classes, what is the reasoning behind the fact
that one has to create a schedule (for coupons) and provide it to the bond
constructor, instead of providing the necessary information to the bond
constructor and then have it construct the needed schedule?

Furthermore when you need the bond yield, the way to get it is (assuming an
existing fixedRateBond object with semiannual coupon payments):

Real price = 73.27;
Rate yld =
fixedRateBond.yield(price,Thirty360(Thirty360::EurobondBasis),Compounded,Semiannual);

where especially the need to provide the Frequency parameter troubles me,
because that frequency was allready provided when the coupon schedule was
created. The need to provide this frequency here also is, in my opinion,
quite confusing.

/Nicolai

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View this message in context: http://www.nabble.com/Bonds-sample-tp19876099p20112443.html
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[Ferdinando M. Ametrano-3]

Hi Nicolai

> what is the reasoning behind the fact
> that one has to create a schedule (for coupons) and provide it to the bond
> constructor, instead of providing the necessary information to the bond
> constructor and then have it construct the needed schedule?
I would reverse the question and ask what would be the reason to have
multiple input parameters used for Schedule construction instead of
just passing a Schedule, that is a single parameter.

Besides it is not rare the case in which the schedule used for the
bond might have been originated from a swap, or viceversa

> Furthermore when you need the bond yield [...] the need to provide the
> Frequency parameter troubles me, because that frequency was allready
> provided when the coupon schedule was created.
I don't have access to the code right now, but if I remember right the
input frequency is used in order to calculate the actual coupon
payment from the coupon rate, and it might be different from the
frequency used to calculate the yield, e.g. when you want to compare
the yield of 2 bonds with different coupon rate frequency and/or
schedule

hope it helps

ciao -- Nando

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[Piter Dias-3]

Nicolai,

>> what is the reasoning behind the fact 
>> that one has to create a schedule (for coupons) and provide it to the bond 
>> constructor, instead of providing the necessary information to the bond 
>> constructor and then have it construct the needed schedule? 

It is more generic and make easy to implement non regular cashflows. I could use  it in a securitization product we had in my last job, for example. 

> I don't have access to the code right now, but if I remember right the 
> input frequency is used in order to calculate the actual coupon 
> payment from the coupon rate, and it might be different from the 
> frequency used to calculate the yield,

This is the case for Brazil. We have the NTN-F public bond quoted at Annual Business/252 but whose coupon generation follows Annual 30/360.

Regards,

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[N_Lassesen]

Nando and Piter,

Thank you very much for your replies. Fortunately in my job I have yet to come accross such a bond :-).

However, I do suggest that someone puts a note about this in the documentation for the bond::yield function.

/Nicolai