RE: bond class

[Jeff Yu-3]

The previous message was returned to me because of the zip file.

 

Here are the individual file….

 

All should be placed inside of QuantLib/ql/Instruments.

 

 

 

-----Original Message-----
From: Jeff Yu [mailto:[hidden email]]
Sent: Thursday, August 12, 2004 8:09 PM
To: 'QuantLib users'; 'Luigi Ballabio'; 'Ferdinando Ametrano'
Subject: bond class

 

Hello all,

 

Attached please find the draft of the bond tree hierarchy.  You can unzip the file and place it under ql directory.

 

A quick description of this Bond class: 

 

1.       Bond class is the toplevel object, it should not be used directly;

2.       I have finished the FixedCouponBond object, and the basic price-yield calculation;

3.       On my to-do list, I will fine tune the price-yield calculation so it can handle the spread too, then followed by duration, convexity, dv01, key rate duration …. Well, the actual path to get there might be different when I start working on them….

4.       Further down the road, we should be able to create the framework to handle other fixed income instruments like mbs products.  If we want to go beyond the framework level, we might need to interact with interest model / prepayment model …..

 

I have compared the results from price-yield calculation to the one from Excel, and Bloomberg,  they are arithmetically close.

 

If you run into issue in using these classes, feel free to submit the question to the mailing list.

 

Cheers,

Jeff