QuantlibXL: how to create Leg object?
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QuantlibXL: how to create Leg object?
 
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Re: QuantlibXL: how to create Leg object?
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Re: QuantlibXL: how to create Leg object?
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Thank you Ferdinando for your help and suggestions!
You are right, I missed the definition of qlFixedRateLeg in the manual. Unfortunately I am still struggling with the qlFixedRateLeg. My goal is to calculate duration of a bond (and possible even KRD - i.e. duration of all cash-flows flows in certain period). I try to perform the following steps: 1. Create Leg form the Schedule and bond coupons 2. Use qlLegDuration(..) I have run into the following problems: - It seems that the leg contains only the coupon payments and not the final face value redemption. I haven't found out how to add it there. How do you create leg including both coupons and face value payment? - What should I pass as "InterestRate" object in qlLegDuration? Should it be qlPiecewiseYieldCurve? It would be of great help if somebody could post a simple example with Leg construction (including the nominal payment at maturity) and duration calculations. Please find attached my simple attempt to perform the above calculations. The leg is constructed on row 2 and analyzed using qlLegAnalysis. It clearly misses the face value payment at maturity date (see D29). Thank you for your help and time! /Marek On Fri, Nov 21, 2008 at 11:39 AM, Ferdinando Ametrano <[hidden email]> wrote: > Hi Marek > > On Wed, Nov 19, 2008 at 8:50 PM, Marek Ozana <[hidden email]> wrote: >> I am reading through the 'Leg' help section of QuantlibXL and I fail >> to understand how to construct a Leg object. Which function is used? > qlFixedRateLeg, qlIborLeg, qlDigitalIborLeg, qlCmsLeg, etc > >> It seems like if all qlLeg... functions work on already existing Leg >> object. > right. Leg is the base class, so every qlLegXXX is just XXX base class > method call > >> Is there any simple way to construct Leg object from already existing >> qlFixedRateBond object? > Probably not. try the other way: build the leg, then use it for > instantiating the bond. This way you'll have both in a coherent way. > > hope it helps > > ciao -- Nando > ------------------------------------------------------------------------- This SF.Net email is sponsored by the Moblin Your Move Developer's challenge Build the coolest Linux based applications with Moblin SDK & win great prizes Grand prize is a trip for two to an Open Source event anywhere in the world http://moblin-contest.org/redirect.php?banner_id=100&url=/ _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users |
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