Hi Piter,
Could you please send to me an example of the Brazilian bond you're
talking, pls? (just an Isin of a bond which I can easily find on BBG)
I'm not familiar with those NTN-F Brazilian public bonds, but if they
are step up or step down for example they FixedRateBond is flexible
enough to construct them. If it's the case of a fix-to-floater, Floating
Rate Bond and
Cms Rate Bond are flexible enough to manage the mixed vector of coupons.
Thx
Chiara
>-----Original Message-----
>From:
[hidden email]
[mailto:quantlib-users-
>
[hidden email]] On Behalf Of Piter Dias
>Sent: Thursday, June 28, 2007 4:24 AM
>To:
[hidden email]
>Subject: [Quantlib-users] Fixed Coupon Bond coupon payments-an issue?
>
>Juraj,
>
>I sent a patch to QuantLib where you will be able to set compounding
>frequency and day count basis for coupon calculation.
>In Brazil, for example, you can have a semi-annual payment who is based
in
>actual days. That means that coupon amount really changes each period.
>If you look at QuantLib patches page you can see it (I think it is not
in
>SVN
>yet).
>
>I plan to make the same in Floating ones but doesn~t have a schedule
for
>that.
>
>Regards,
>
>
>
>
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