Fixed Coupon Bond coupon payments-an issue?
Locked
Fixed Coupon Bond coupon payments-an issue?
 
|
Hello All,
I wonder if anyone encountered the following issue: the FixedRateBond's coupon payments seem to be determined based on the length of the coupon period, say on a 5% semiannual coupon, some payments may be $2.5, some may be $2.48611 or $2.52778. This makes logical sense but may be different from actual market conventions; for example, US Treasuries pay exact coupon amounts, in the above case always $2.5, no matter how long the coupon period (with an exception of long/short first/last coupon). Is this something that might need to be addressed in QuantLib? best, Juraj ------------------------------------------------------------------------- This SF.net email is sponsored by DB2 Express Download DB2 Express C - the FREE version of DB2 express and take control of your XML. No limits. Just data. Click to get it now. http://sourceforge.net/powerbar/db2/ _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users |
Re: Fixed Coupon Bond coupon payments-an issue?
|
|
Hi Juraj, As of my knowledge, the payments may vary because the scheduled payment date may be a holiday. Then the coupon will be paid at different day, for example, the next business day. Regards, Guowen
Hello All, I wonder if anyone encountered the following issue: the FixedRateBond's coupon payments seem to be determined based on the length of the coupon period, say on a 5% semiannual coupon, some payments may be $2.5, some may be $2.48611 or $2.52778. This makes logical sense but may be different from actual market conventions; for example, US Treasuries pay exact coupon amounts, in the above case always $2.5, no matter how long the coupon period (with an exception of long/short first/last coupon). Is this something that might need to be addressed in QuantLib? best, Juraj------------------------------------------------------------------------- This SF.net email is sponsored by DB2 Express Download DB2 Express C - the FREE version of DB2 express and take control of your XML. No limits. Just data. Click to get it now. http://sourceforge.net/powerbar/db2/_______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users ________________________________________________________ DTCC DISCLAIMER: This email and any files transmitted with it are confidential and intended solely for the use of the individual or entity to whom they are addressed. If you have received this email in error, please notify us immediately and delete the email and any attachments from your system. The recipient should check this email and any attachments for the presence of viruses. The company accepts no liability for any damage caused by any virus transmitted by this email. ------------------------------------------------------------------------- This SF.net email is sponsored by DB2 Express Download DB2 Express C - the FREE version of DB2 express and take control of your XML. No limits. Just data. Click to get it now. http://sourceforge.net/powerbar/db2/ _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users |
Re: Fixed Coupon Bond coupon payments-an issue?
|
|
In reply to this post by JURAJ HUSKA
On Wed, 2007-06-27 at 08:58 -0500, JURAJ HUSKA wrote:
> I wonder if anyone encountered the following issue: the > FixedRateBond's coupon payments seem to be determined based on the > length of the coupon period, say on a 5% semiannual coupon, some > payments may be $2.5, some may be $2.48611 or $2.52778. > This makes logical sense but may be different from actual market > conventions; for example, US Treasuries pay exact coupon amounts, in > the above case always $2.5, no matter how long the coupon period > (with an exception of long/short first/last coupon). The amount paid by the coupon depends on the day counter passed to the bond. To obtain the US Treasury convention you outlined in your post, use the ActualActual(ActualActual::ISMA) day counter. If you use ActualActual without specifying ISMA, you'll get the ISDA convention (which behaves as you observed.) Luigi -- Olmstead's Law: After all is said and done, a hell of a lot more is said than done. ------------------------------------------------------------------------- This SF.net email is sponsored by DB2 Express Download DB2 Express C - the FREE version of DB2 express and take control of your XML. No limits. Just data. Click to get it now. http://sourceforge.net/powerbar/db2/ _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users |
«
Return to quantlib-users
|
1 view|%1 views
| Free forum by Nabble | Edit this page |