Issue Amount
Locked
 
|
Hi
all,
I need to create a
FixedCouponBond with issue amount = 100,27. How can I set the value in that
object?
Thanks to
all.
Enrico
------------------------------------------------------------------------- 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 |
|
|
On 5/2/07, Enrico Gargiulo <[hidden email]> wrote:
> I need to create a FixedCouponBond with issue amount = 100,27. How can I set > the value in that object? what exactly do you mean? issue price? face amount? what is the bond ISIN so I can check? ciao -- Nando ------------------------------------------------------------------------- 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 |
|
|
-----Original Message----- From: [hidden email] [mailto:[hidden email]] On Behalf Of Ferdinando Ametrano Sent: mercoledì 2 maggio 2007 14.25 To: Enrico Gargiulo Cc: [hidden email] Subject: Re: [Quantlib-users] Issue Amount On 5/2/07, Enrico Gargiulo <[hidden email]> wrote: > I need to create a FixedCouponBond with issue amount = 100,27. How can > I set the value in that object? what exactly do you mean? issue price? face amount? what is the bond ISIN so I can check? ciao -- Nando Ciao Nando, The isin code is IT0003674238. I need to set the issue price. Thanks Ciao Enrico ------------------------------------------------------------------------- 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 |
|
|
In reply to this post by Enrico Gargiulo
Hi Enrico
In QuantLib you don't need to set any issue price to create a bond object. In general, there's no need to specify the issue price of a bond unless in the bond's prospectus it is stated that the bond's yield is floored to a minimum yield which is set depending on the issue price. In your case, since the bond you mentioned is BTPS 3 06/01/07, which is a vanilla fixed rate bond, you just need to construct a schedule given the following static bond data: Interest Accrual Date: Tue, 01-Jun-2004 Maturity Date: Fri, 01-Jun-2007 Tenor: 6M Calendar: Target AccrualBDC: Unadjusted Termination Adjustment: Unadjusted Backward Generation: TRUE EOM: FALSE First Date: #N/A Next to Last Date: #N/A and to pass all the other require input data which are: settlementDays: 3 paymentBDC: "Following" (is not specified in the bond prospectus I read) FaceAmount: 100 Schedule: see above Coupons: 3% dayCounter: Actual/Actual (ISMA) Redemption: 100 issueDate: If omitted, default = bond schedule first date YieldCurve: discounting yield term structure You construct a fixedratebond object as illustrated above and price correctly the bond in assetswap (I've checked my result against BBG's ASW <go>). Chiara Ps please let me know if you have a more detailed prospectus of the bond which gives you more information on its static data. -----Original Message----- From: [hidden email] [mailto:[hidden email]] On Behalf Of Enrico Gargiulo Sent: Wednesday, May 02, 2007 4:10 PM To: 'Ferdinando Ametrano' Cc: [hidden email] Subject: Re: [Quantlib-users] Issue Amount -----Original Message----- From: [hidden email] [mailto:[hidden email]] On Behalf Of Ferdinando Ametrano Sent: mercoledì 2 maggio 2007 14.25 To: Enrico Gargiulo Cc: [hidden email] Subject: Re: [Quantlib-users] Issue Amount On 5/2/07, Enrico Gargiulo <[hidden email]> wrote: > I need to create a FixedCouponBond with issue amount = 100,27. How can > I set the value in that object? what exactly do you mean? issue price? face amount? what is the bond ISIN so I can check? ciao -- Nando Ciao Nando, The isin code is IT0003674238. I need to set the issue price. Thanks Ciao Enrico ------------------------------------------------------------------------- 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 ------------------------------------------------------------------------- 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 |
|
|
-----Original Message-----
From: FORNAROLA CHIARA [mailto:[hidden email]] Sent: giovedì 3 maggio 2007 12.58 To: Enrico Gargiulo Cc: [hidden email] Subject: RE: [Quantlib-users] Issue Amount Hi Enrico In QuantLib you don't need to set any issue price to create a bond object. In general, there's no need to specify the issue price of a bond unless in the bond's prospectus it is stated that the bond's yield is floored to a minimum yield which is set depending on the issue price. In your case, since the bond you mentioned is BTPS 3 06/01/07, which is a vanilla fixed rate bond, you just need to construct a schedule given the following static bond data: Interest Accrual Date: Tue, 01-Jun-2004 Maturity Date: Fri, 01-Jun-2007 Tenor: 6M Calendar: Target AccrualBDC: Unadjusted Termination Adjustment: Unadjusted Backward Generation: TRUE EOM: FALSE First Date: #N/A Next to Last Date: #N/A and to pass all the other require input data which are: settlementDays: 3 paymentBDC: "Following" (is not specified in the bond prospectus I read) FaceAmount: 100 Schedule: see above Coupons: 3% dayCounter: Actual/Actual (ISMA) Redemption: 100 issueDate: If omitted, default = bond schedule first date YieldCurve: discounting yield term structure You construct a fixedratebond object as illustrated above and price correctly the bond in assetswap (I've checked my result against BBG's ASW <go>). Chiara Ps please let me know if you have a more detailed prospectus of the bond which gives you more information on its static data. First of all many thanks for your reply. I don't understand some things: first of all I cannot find a fixedratebond class in the quantlib library. I tried using fixedcouponbond, but I don't know how to pass it the scheduler object. I've seen in the source code fixedcouponbond.cpp that is created a schedule passing it some parameters from the constructor. Sorry for my elementary questions, but I'm a beginner user of Quantlib. Thanks Enrico ------------------------------------------------------------------------- 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 |
|
|
On Thu, 2007-05-03 at 15:39 +0200, Enrico Gargiulo wrote:
> I don't understand some things: first of all I cannot find a fixedratebond > class in the quantlib library. What version of the library are you using? Later, Luigi ---------------------------------------- Vin: It's like this fellow I knew in El Paso. One day, he just took all his clothes off and jumped in a mess of cactus. I asked him that same question, "Why?" Calvera: And? Vin: He said, "It seemed like a good idea at the time." -- The Magnificent Seven ------------------------------------------------------------------------- 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 |
|
|
In reply to this post by Enrico Gargiulo
Ok Enrico,
I understand we're talking of different releases. Which is the release you're currently using? I've just checked the lastest available on quantlib.org, if you're using it, it's correct that you see: fixedcouponbond.cpp instead of fixedratebond.cpp (this is a new version of fixedcouponbond.cpp that hasn't been released yet). So talking of fixedcouponbond.cpp, if I remember correctly, you don't have to pass a schedule but in the case of BTPS 3 06/01/07 you should pass the following: FaceAmount: 100 issueDate: Tue, 01-Jun-2004 datedDate: Tue, 01-Jun-2004 (this is important is the first accrual date) maturityDate: Fri, 01-Jun-2007 settlementDays: 3 coupons: 3% couponFrequency: SemiAnnual calendar: TARGET dayCounter: Actual/Actual (ISMA) accrualConvention: Unadjusted paymentConvention: Following redemption: 100 discountCurve: handle to the yield curve you're using to valuate the bond stub: #N/A backward generation: TRUE The parameters above will give you the bond object you want to construct..... Hope this will help. Chiara -----Original Message----- From: Enrico Gargiulo [mailto:[hidden email]] Sent: Thursday, May 03, 2007 3:39 PM To: FORNAROLA CHIARA Cc: [hidden email] Subject: RE: [Quantlib-users] Issue Amount -----Original Message----- From: FORNAROLA CHIARA [mailto:[hidden email]] Sent: giovedì 3 maggio 2007 12.58 To: Enrico Gargiulo Cc: [hidden email] Subject: RE: [Quantlib-users] Issue Amount Hi Enrico In QuantLib you don't need to set any issue price to create a bond object. In general, there's no need to specify the issue price of a bond unless in the bond's prospectus it is stated that the bond's yield is floored to a minimum yield which is set depending on the issue price. In your case, since the bond you mentioned is BTPS 3 06/01/07, which is a vanilla fixed rate bond, you just need to construct a schedule given the following static bond data: Interest Accrual Date: Tue, 01-Jun-2004 Maturity Date: Fri, 01-Jun-2007 Tenor: 6M Calendar: Target AccrualBDC: Unadjusted Termination Adjustment: Unadjusted Backward Generation: TRUE EOM: FALSE First Date: #N/A Next to Last Date: #N/A and to pass all the other require input data which are: settlementDays: 3 paymentBDC: "Following" (is not specified in the bond prospectus I read) FaceAmount: 100 Schedule: see above Coupons: 3% dayCounter: Actual/Actual (ISMA) Redemption: 100 issueDate: If omitted, default = bond schedule first date YieldCurve: discounting yield term structure You construct a fixedratebond object as illustrated above and price correctly the bond in assetswap (I've checked my result against BBG's ASW <go>). Chiara Ps please let me know if you have a more detailed prospectus of the bond which gives you more information on its static data. First of all many thanks for your reply. I don't understand some things: first of all I cannot find a fixedratebond class in the quantlib library. I tried using fixedcouponbond, but I don't know how to pass it the scheduler object. I've seen in the source code fixedcouponbond.cpp that is created a schedule passing it some parameters from the constructor. Sorry for my elementary questions, but I'm a beginner user of Quantlib. Thanks Enrico ------------------------------------------------------------------------- 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 |
|
|
In reply to this post by Luigi Ballabio
-----Original Message----- From: Luigi Ballabio [mailto:[hidden email]] Sent: giovedì 3 maggio 2007 15.52 To: Enrico Gargiulo Cc: 'FORNAROLA CHIARA'; [hidden email] Subject: Re: [Quantlib-users] Issue Amount On Thu, 2007-05-03 at 15:39 +0200, Enrico Gargiulo wrote: > I don't understand some things: first of all I cannot find a > fixedratebond class in the quantlib library. What version of the library are you using? Later, Luigi ---------------------------------------- Vin: It's like this fellow I knew in El Paso. One day, he just took all his clothes off and jumped in a mess of cactus. I asked him that same question, "Why?" Calvera: And? Vin: He said, "It seemed like a good idea at the time." -- The Magnificent Seven Version 0.4.0 Bye Enrico ------------------------------------------------------------------------- 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 |
|
|
In reply to this post by FORNAROLA CHIARA
-----Original Message----- From: FORNAROLA CHIARA [mailto:[hidden email]] Sent: giovedì 3 maggio 2007 16.14 To: Enrico Gargiulo Cc: [hidden email] Subject: RE: [Quantlib-users] Issue Amount Ok Enrico, I understand we're talking of different releases. Which is the release you're currently using? I've just checked the lastest available on quantlib.org, if you're using it, it's correct that you see: fixedcouponbond.cpp instead of fixedratebond.cpp (this is a new version of fixedcouponbond.cpp that hasn't been released yet). So talking of fixedcouponbond.cpp, if I remember correctly, you don't have to pass a schedule but in the case of BTPS 3 06/01/07 you should pass the following: FaceAmount: 100 issueDate: Tue, 01-Jun-2004 datedDate: Tue, 01-Jun-2004 (this is important is the first accrual date) maturityDate: Fri, 01-Jun-2007 settlementDays: 3 coupons: 3% couponFrequency: SemiAnnual calendar: TARGET dayCounter: Actual/Actual (ISMA) accrualConvention: Unadjusted paymentConvention: Following redemption: 100 discountCurve: handle to the yield curve you're using to valuate the bond stub: #N/A backward generation: TRUE The parameters above will give you the bond object you want to construct..... Hope this will help. Chiara I tried with your parameters, but with no discountCurve and it seems ok! Thanks a lot. Bye Enrico ------------------------------------------------------------------------- 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 |
«
Return to quantlib-users
|
1 view|%1 views
| Free forum by Nabble | Edit this page |