Fornarola,
I had access to those weird bonds in a financial risk project for a new
Securities Clearing in Brazil at 2001. I would have to look at
www.debentures.com.br to see a current example for you.
Nowadays we have CDs where you have to generate cashflows (principal +
interest) in the issued term.
Think about a Swap fixed leg and we will see what we have here.
The main issue is the FixedRateCoupon, that calculates only linear coupons.
The patch I sent include a constructor where "Rate rate" becomes
"InterestRate rate" that is more generic.
The first class where I used the new constructor was FixedRateBond because I
would like to have at least NTN-F in QuantLib. It is one of simplest public
bonds here (simpler one is LTN, that is just discounted) but QuantLib
couldn't generate its cashflows in a simple way.
NTN-F is issued for R$1000,00 and pays semi-annual coupons of 10% compounded
annually. So each semester you receive R$48.808848 of interest
1000*((1+0.10)^(1/2)-1).
Once FixedRateCoupon was only linear I could not generate that.
Think about. If there are another way to make this in QuantLib let me know,
once I don't know the library in its full capabilities.
Piter Dias
[hidden 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
Locked
