CallableFixedRateBond
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hello, I am modelling a Callable Fixed Rate Bond - The bond has a Frequency of Once and is 20 years to maturity - so it is a bullet loan with one final payment, both coupon and redeption. I do not seem to be able to get the bond to calculate the interests as Compounding, only as Simple, because the constructor to CallableFixedRateBond, only takes a vector<Rate> instead of vector<InterestRate> - is ther any way to force the bond to calculate the interests as Compounding instead of Simple ?? regards Dagur G ------------------------------------------------------------------------------ Download BIRT iHub F-Type - The Free Enterprise-Grade BIRT Server from Actuate! Instantly Supercharge Your Business Reports and Dashboards with Interactivity, Sharing, Native Excel Exports, App Integration & more Get technology previously reserved for billion-dollar corporations, FREE http://pubads.g.doubleclick.net/gampad/clk?id=157005751&iu=/4140/ostg.clktrk _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users |
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A long time ago, when I had the same issue with FixedRateBond class, I implemented it by myself and sent the code to the Quantlib project maintainers.
Perhaps it is the same case... --- Mensagem Original --- De: "Dagur Gunnarsson" <[hidden email]> Enviado: 2 de dezembro de 2014 08:49 Para: [hidden email] Assunto: [Quantlib-users] CallableFixedRateBond hello,
I am modelling a Callable Fixed Rate Bond - The bond has a Frequency of Once and is 20 years to maturity - so it is a bullet loan with one final payment, both coupon and redeption. I do not seem to be able to get the bond to calculate the interests as
Compounding, only as Simple, because the constructor to CallableFixedRateBond, only takes a vector<Rate> instead of vector<InterestRate> - is ther any way to force the bond to calculate the interests as Compounding instead of Simple ??
regards
Dagur G
------------------------------------------------------------------------------ Download BIRT iHub F-Type - The Free Enterprise-Grade BIRT Server from Actuate! Instantly Supercharge Your Business Reports and Dashboards with Interactivity, Sharing, Native Excel Exports, App Integration & more Get technology previously reserved for billion-dollar corporations, FREE http://pubads.g.doubleclick.net/gampad/clk?id=157005751&iu=/4140/ostg.clktrk _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users ------------------------------------------------------------------------------ Download BIRT iHub F-Type - The Free Enterprise-Grade BIRT Server from Actuate! Instantly Supercharge Your Business Reports and Dashboards with Interactivity, Sharing, Native Excel Exports, App Integration & more Get technology previously reserved for billion-dollar corporations, FREE http://pubads.g.doubleclick.net/gampad/clk?id=157005751&iu=/4140/ostg.clktrk _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users |
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Yes, CallableFixedRateBond needs to be extended to deal with this case. Luigi On Tue, Dec 2, 2014 at 1:47 PM, Piter Dias <[hidden email]> wrote:
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