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Irregular Coupon Payment Dates

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hps

Irregular Coupon Payment Dates

Hi,

I tried to use qlSchedulFromDateVector and got the "full interface not available" error when using it in the context of creating a fixed rate bond.

From searching around the web, I found out that an irregular coupon schedule has not implemented yet, see e.g. http://quantlib.10058.n7.nabble.com/Schedule-Class-constructors-td545.html. Is this still correct and is there a workaround this?

Best regards,

Hans-Peter Schrei

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Luigi Ballabio

Re: Irregular Coupon Payment Dates

Hello,
still correct. We'd have to extend the irregular-schedule
constructor so that is takes at least the "is regular" information
that the bond tries to use when generating the coupons.

Luigi

On Mon, Jun 16, 2014 at 10:01 AM, Hans-Peter Schrei
<[hidden email]> wrote:

> Hi,
>
> I tried to use qlSchedulFromDateVector and got the "full interface not
> available" error when using it in the context of creating a fixed rate bond.
>
> From searching around the web, I found out that an irregular coupon schedule
> has not implemented yet, see e.g.
> http://quantlib.10058.n7.nabble.com/Schedule-Class-constructors-td545.html.
> Is this still correct and is there a workaround this?
>
> Best regards,
> Hans-Peter Schrei
>
> ------------------------------------------------------------------------------
> HPCC Systems Open Source Big Data Platform from LexisNexis Risk Solutions
> Find What Matters Most in Your Big Data with HPCC Systems
> Open Source. Fast. Scalable. Simple. Ideal for Dirty Data.
> Leverages Graph Analysis for Fast Processing & Easy Data Exploration
> http://p.sf.net/sfu/hpccsystems
> _______________________________________________
> QuantLib-users mailing list
> [hidden email]
> https://lists.sourceforge.net/lists/listinfo/quantlib-users
>

--
<https://implementingquantlib.blogspot.com>
<https://twitter.com/lballabio>

------------------------------------------------------------------------------
HPCC Systems Open Source Big Data Platform from LexisNexis Risk Solutions
Find What Matters Most in Your Big Data with HPCC Systems
Open Source. Fast. Scalable. Simple. Ideal for Dirty Data.
Leverages Graph Analysis for Fast Processing & Easy Data Exploration
http://p.sf.net/sfu/hpccsystems
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hps

Re: Irregular Coupon Payment Dates

To follow up on this, I tried to mimick the irregulare coupon payments by constructing a qlLeg for a qlBond, where I specified the payment amounts of the qlLeg to be equal to the respective coupon payments. But that does not work either, as I get wildly unrealistic results when calculating the asset swap spread on that bond.

Why isn't qlLeg a workaround, as it does allow for irregular payment dates?

On Mon, Jun 16, 2014 at 10:11 AM, Luigi Ballabio <[hidden email]> wrote:

Hello,
still correct. We'd have to extend the irregular-schedule
constructor so that is takes at least the "is regular" information
that the bond tries to use when generating the coupons.

Luigi

On Mon, Jun 16, 2014 at 10:01 AM, Hans-Peter Schrei
<[hidden email]> wrote:
> Hi,
>
> I tried to use qlSchedulFromDateVector and got the "full interface not
> available" error when using it in the context of creating a fixed rate bond.
>
> From searching around the web, I found out that an irregular coupon schedule
> has not implemented yet, see e.g.
> http://quantlib.10058.n7.nabble.com/Schedule-Class-constructors-td545.html.
> Is this still correct and is there a workaround this?
>
> Best regards,
> Hans-Peter Schrei
>
> ------------------------------------------------------------------------------
> HPCC Systems Open Source Big Data Platform from LexisNexis Risk Solutions
> Find What Matters Most in Your Big Data with HPCC Systems
> Open Source. Fast. Scalable. Simple. Ideal for Dirty Data.
> Leverages Graph Analysis for Fast Processing & Easy Data Exploration
> http://p.sf.net/sfu/hpccsystems
> _______________________________________________
> QuantLib-users mailing list
> [hidden email]
> https://lists.sourceforge.net/lists/listinfo/quantlib-users
>

--
<https://implementingquantlib.blogspot.com>
<https://twitter.com/lballabio>

igitur

Re: Irregular Coupon Payment Dates

In reply to this post by Luigi Ballabio

This is on my todo list, but if you want to collaborate, I'll appreciate the help, Hans-Peter.

Francois Botha

On 16 June 2014 10:11, Luigi Ballabio <[hidden email]> wrote:

Hello,
still correct. We'd have to extend the irregular-schedule
constructor so that is takes at least the "is regular" information
that the bond tries to use when generating the coupons.

Luigi

On Mon, Jun 16, 2014 at 10:01 AM, Hans-Peter Schrei
<[hidden email]> wrote:
> Hi,
>
> I tried to use qlSchedulFromDateVector and got the "full interface not
> available" error when using it in the context of creating a fixed rate bond.
>
> From searching around the web, I found out that an irregular coupon schedule
> has not implemented yet, see e.g.
> http://quantlib.10058.n7.nabble.com/Schedule-Class-constructors-td545.html.
> Is this still correct and is there a workaround this?
>
> Best regards,
> Hans-Peter Schrei
>

> ------------------------------------------------------------------------------
> HPCC Systems Open Source Big Data Platform from LexisNexis Risk Solutions
> Find What Matters Most in Your Big Data with HPCC Systems
> Open Source. Fast. Scalable. Simple. Ideal for Dirty Data.
> Leverages Graph Analysis for Fast Processing & Easy Data Exploration
> http://p.sf.net/sfu/hpccsystems
> _______________________________________________
> QuantLib-users mailing list
> [hidden email]
> https://lists.sourceforge.net/lists/listinfo/quantlib-users
>

--
<https://implementingquantlib.blogspot.com>
<https://twitter.com/lballabio>

------------------------------------------------------------------------------
HPCC Systems Open Source Big Data Platform from LexisNexis Risk Solutions
Find What Matters Most in Your Big Data with HPCC Systems
Open Source. Fast. Scalable. Simple. Ideal for Dirty Data.
Leverages Graph Analysis for Fast Processing & Easy Data Exploration
http://p.sf.net/sfu/hpccsystems
_______________________________________________
QuantLib-users mailing list
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