FixedRateCoupon contribution

[Piter Dias-2]

Luigi,

I am reviewing the patch I sent some time ago.
My plan is send Bondvpatch again once there was some changes in QuantLib.
However, my changes are based on FixedRateCoupon and FixedRateLeg classes
generalization. I send them attached in this mail.
The idea is be able to construct more complex cash flow structures and allow
rates other than simple.
This patch is backward compatible, tested with QuantLib Test Suite.

This patch has a little correct in BusinessDaysBetween function of Calendar
class.

Let me know what you think about it.

Thanks a lot.


Piter Dias
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[Luigi Ballabio]

On Sun, 2007-09-23 at 15:14 -0300, Piter Dias wrote:
> I am reviewing the patch I sent some time ago.

Piter,
        I committed part of your patch to the repository, namely, the
FixedRateCoupon and FixedRateLeg parts. I'd rather keep the fixed-rate
bond as it is, to keep it simple; it's still possible to instantiate a
bond with InterestRate-based coupons by using the Bond constructor
itself, as done in the test case.
A question though: I had to increase the tolerance of the test case
quite a bit to make it pass. Can you check out the sources and have a
look at them to see if I made some mistake or if it's because of some
other change that might have occurred in the meantime?

Thanks,
        Luigi


--

Call on God, but row away from the rocks.
-- Indian proverb



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[Piter Dias-3]

Luigi,

Thanks for the update.
The problem with tolerance is related to revision 12585 of brazil.cpp.
Black Consciousness Day is not a holiday for Brazilian Payment System
(Central Bank), just a local holiday in some cities.
You should delete
            // Black Consciousness Day
            || (d == 20 && m == November && y >= 2004)
from Brazil::SettlementImpl::isBusinessDay.
Andima prices (where I got data to testsuite) and yields are based on
Brazilian Payment System calendar.

Regards,

Piter Dias
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[Luigi Ballabio]

On Sat, 2007-10-20 at 23:43 -0200, Piter Dias wrote:
> The problem with tolerance is related to revision 12585 of brazil.cpp.
> Black Consciousness Day is not a holiday for Brazilian Payment System
> (Central Bank), just a local holiday in some cities.

Ok. fixed. Thanks for tracking it down.

Luigi


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I am extraordinarily patient, provided I get my own way in the end.
-- Margaret Thatcher



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