Re: cashflows in fixedcouponbond

[Piter Dias-3]

People,

Here in Brazil you calculate coupons based on Bonds rules and then adjust the
day of settlement (one day after holidays, for example).

I worked for 5 years in Risk Management project (for Algorithmics) and what I
can say is it depends on bond specification but I don't remember a bond that
accrue an extra day coupon because of holiday.

Usually this effect is captured by yield or price, because your cash flow is
one date in advance.

We had a flag in our software to tell if coupon should be adjusted (accrue
extra days of coupon when you move to a workday) or not. Is there something
similar in QuantLib?

Regards.



Piter Dias
[hidden email]

[Luigi Ballabio]

On 12/10/2005 07:27:45 PM, Piter Dias wrote:
>
> We had a flag in our software to tell if coupon should be adjusted
> (accrue extra days of coupon when you move to a workday) or not. Is  
> there something similar in QuantLib?

Bonds take a rolling convention. You could pass Unadjusted to get the  
effect you're after. However, I'll have to check whether this would  
inhibit payment adjustment.

Later,
        Luigi

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