How to price a bond at specified dates

[Lisa Ann]

I am wondering what's the most efficient way (i.e. the method which involves the fewest arguments) to price a bond at a specified date, e.g. a future date (as instance, 6 months from now).

Let the object of class Bond is then priced using BondSetCouponPricer() and InstrumentSetPricingEngine() with a non-flat object of YieldTermStructure class (like a zero yield curve): does this take into account the whole shape of the yield term structure, considering the bond is not priced today but at a "new" tenor due to the fact that in this simulation six months have passed?

What if the Bond object is of FloatingRateBond class, thus having an IborIndex made up by an additional object of class YieldTermStructure?

Does this take into consideration the "new" tenor due to the fact that in this simulation six months have passed?

Thanks,

[Luigi Ballabio]

Hi all,
    just for reference: this was also asked and answered on
StackExchange at
<http://quant.stackexchange.com/questions/8891/how-to-price-a-bond-at-specified-dates-in-quantlib/8895#8895>

Luigi


On Thu, Sep 5, 2013 at 6:25 PM, Lisa Ann <[hidden email]> wrote:

> I am wondering what's the most efficient way (i.e. the method which involves
> the fewest arguments) to price a bond at a specified date, e.g. a future
> date (as instance, 6 months from now).
>
> Let the object of class *Bond *is then priced using *BondSetCouponPricer()*
> and *InstrumentSetPricingEngine()* with a non-flat object of
> *YieldTermStructure *class (like a zero yield curve): does this take into
> account the whole shape of the yield term structure, considering the bond is
> not priced today but at a "new" tenor due to the fact that in this
> simulation six months have passed?
>
> What if the *Bond *object is of *FloatingRateBond* class, thus having an
> *IborIndex *made up by an additional object of class *YieldTermStructure*?
>
> Does this take into consideration the "new" tenor due to the fact that in
> this simulation six months have passed?
>
> Thanks,
>
>
>
>
>
>
> --
> View this message in context: http://quantlib.10058.n7.nabble.com/How-to-price-a-bond-at-specified-dates-tp14511.html
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<https://twitter.com/lballabio>

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