Net yield (after taxes) of a Bond. How to differentiate on cashflow type?

[Martino Fornasa]

Hi all.
I'm trying to build a function to calculate the net yield (after taxes)
of a fixed rate bond. In order to do that, I need to differentiate
between coupon-cashflows and, for example, redemption cashflows.

With a plain-vanilla fixed-rate bond I can assume that only the last
cashflow is a redemption.
In the general case what is my best option? Till now the better option I
can think is to intersect the cashflow vector with the redemption
vector. Any ideas?

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[Luigi Ballabio]

On Tue, 2010-12-14 at 15:20 +0100, Martino Fornasa wrote:
> I'm trying to build a function to calculate the net yield (after taxes)
> of a fixed rate bond. In order to do that, I need to differentiate
> between coupon-cashflows and, for example, redemption cashflows.
>
> With a plain-vanilla fixed-rate bond I can assume that only the last
> cashflow is a redemption.
> In the general case what is my best option? Till now the better option I
> can think is to intersect the cashflow vector with the redemption
> vector. Any ideas?

Yes, it's either that or switching on the type of each cashflow (you can
try casting to Coupon, or use a visitor; <ql/cashflows/cashflows.cpp>
has examples of both approaches.)

Luigi


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[Martino Fornasa]

Yes, it's either that or switching on the type of each cashflow (you can
try casting to Coupon, or use a visitor; <ql/cashflows/cashflows.cpp>
has examples of both approaches.)

Thanks. The casting approach is very straightforward.
Speaking about bond cashflows, coupons are correctly instantiated as QuantLib::Coupon class instances, while redemptions are not instantiated as a specific class. Maybe in the future it could be useful to dedicate a QuantLib::CashFlow subclass to redemptions?

B.R., Martino.

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[Luigi Ballabio]

On Sat, 2011-02-05 at 10:48 +0100, Martino Fornasa wrote:

> Speaking about bond cashflows, coupons are correctly instantiated as
> QuantLib::Coupon class instances, while redemptions are not
> instantiated as a specific class. Maybe in the future it could be
> useful to dedicate a QuantLib::CashFlow subclass to redemptions?

Yes, I have this in the pipeline.

Luigi



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