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Using FixedCouponBondHelper

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Sao1979

Using FixedCouponBondHelper

Hello,

Did someone use the object FixedCouponBondHelper (Quantlib-0.8.1) in order to create a market curve?

I would like to know what will be the condition regarding the Clean Price level to put in this object in order to create a curve that will generate Discount Factor.

Thanks a lot.

Saïd.

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Ferdinando Ametrano-4

Re: Using FixedCouponBondHelper

Hi Said

> Did someone use the object FixedCouponBondHelper (Quantlib-0.8.1) in order
> to create a market curve?
I just did it using the current trunk version, which can also use a
generic Bond not being limited to FixedRateBond

> I would like to know what will be the condition regarding the Clean Price
> level to put in this object in order to create a curve that will generate
> Discount Factor.

you have to input the market clean price, as double or as Quote. If
you go the Quote way, the curve will update to reflect any change in
the bond price

ciao -- Nando

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Apps built with the Adobe(R) Flex(R) framework and Flex Builder(TM) are
powering Web 2.0 with engaging, cross-platform capabilities. Quickly and
easily build your RIAs with Flex Builder, the Eclipse(TM)based development
software that enables intelligent coding and step-through debugging.
Download the free 60 day trial. http://p.sf.net/sfu/www-adobe-com
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Simon Ibbotson

Re: Using FixedCouponBondHelper

Hi Said,

The quote is normally close to 100 (if that's what you're asking). So quotes of anywhere between 90 and 105 are common.

Simon

On Tue, Mar 17, 2009 at 9:34 AM, Ferdinando Ametrano <[hidden email]> wrote:

Hi Said

> Did someone use the object FixedCouponBondHelper (Quantlib-0.8.1) in order
> to create a market curve?

I just did it using the current trunk version, which can also use a
generic Bond not being limited to FixedRateBond

> I would like to know what will be the condition regarding the Clean Price
> level to put in this object in order to create a curve that will generate
> Discount Factor.

you have to input the market clean price, as double or as Quote. If
you go the Quote way, the curve will update to reflect any change in
the bond price

ciao -- Nando

------------------------------------------------------------------------------
Apps built with the Adobe(R) Flex(R) framework and Flex Builder(TM) are
powering Web 2.0 with engaging, cross-platform capabilities. Quickly and
easily build your RIAs with Flex Builder, the Eclipse(TM)based development
software that enables intelligent coding and step-through debugging.
Download the free 60 day trial. http://p.sf.net/sfu/www-adobe-com
_______________________________________________
QuantLib-users mailing list
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Sao1979

Re: Using FixedCouponBondHelper

In reply to this post by Ferdinando Ametrano-4

Thanks Nando.

So using a dirty price of a bond will lead to bug the bootstrap methodology if i create a curve using piecewiseyieldcurve?

Thanks!

Saïd.

On Tue, Mar 17, 2009 at 10:34 AM, Ferdinando Ametrano <[hidden email]> wrote:

Hi Said

> Did someone use the object FixedCouponBondHelper (Quantlib-0.8.1) in order
> to create a market curve?
I just did it using the current trunk version, which can also use a
generic Bond not being limited to FixedRateBond

> I would like to know what will be the condition regarding the Clean Price
> level to put in this object in order to create a curve that will generate
> Discount Factor.

you have to input the market clean price, as double or as Quote. If
you go the Quote way, the curve will update to reflect any change in
the bond price

ciao -- Nando

Ferdinando Ametrano-4

Re: Using FixedCouponBondHelper

On Tue, Mar 17, 2009 at 11:21 AM, Said Djebbar <[hidden email]> wrote:
> So using a dirty price of a bond will lead to bug the bootstrap methodology
> if i create a curve using piecewiseyieldcurve?

to use dirty price would be wrong, since the code is expecting the
clean price and will add up the accrued coupon in order to get the
correct dirty price. The choice of clean price is because the common
market practice is to quote clean price.

In order to make this clearer in the current trunk version a few input
and method names have already been changed to avoid generic "price"
always specifying "dirty price" or "clean price". anyway wherever you
read price without further specification you should always imply clean
price, as this is the common practice.

ciao -- Nando

PS don't remember in 0.8.1, but in recent releases (and on the trunk)
there is an example workbook:
QuantLibXL\Workbooks\StandaloneExamples\BondCurve

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Apps built with the Adobe(R) Flex(R) framework and Flex Builder(TM) are
powering Web 2.0 with engaging, cross-platform capabilities. Quickly and
easily build your RIAs with Flex Builder, the Eclipse(TM)based development
software that enables intelligent coding and step-through debugging.
Download the free 60 day trial. http://p.sf.net/sfu/www-adobe-com
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