qlFixedCouponBond
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Hello, I'm constructing an object ID with the function qlFixedCouponBond of the Quantlib version 0.3.14. I would like to know if, as I suppose, the parameter "First Coupon Date" is the date in which the coupon starts maturing instead of the date in which it is paid. The problem is that I'm using this object ID for the function qlBondCleanPrice and if the first coupon has not been paid yet I don't get the first coupon. Infact the cash flows calculated with the function qlBondFlowAnalysis for the bond JAPTOB 4,5 04/02/14 are: Date Amount Accrual Start Date Accrual End Date 04/02/2009 4,4907 04/02/2008 04/02/2009 04/02/2010 4,5493 04/02/2009 04/02/2010 .... but the first coupon is paid on the 04/02/2008. The values that I insert in the function qlFixedCouponBond are: Object ID: XS0269190533 Face amount: 100 Issue Date: 38992 (10/02/2006) First Coupon Date: 39540 (04/02/2008) Maturity Date: 41731 (04/02/2014) Settlement Days: 3 Coupons: 0,045 Redemption: 100 Frequenct: Annual Day Counter: Actual/Actual Accrual BDC: Following Accrual BDC: Following Calendar: TARGET Start From End: 0 Long Final: 0 Term Structure ID: Permanent: 0 Trigger: I also tried to modify the parameter Start From End but the result is the same. I can resolve this problem modifing the First Coupon Date, but I think I have some others problems. Infact inserting in the function qlBondCleanPrice the following values: Object ID: XS0269190533 Yield: 0,04902 Compounding: Compounded Settlement Date: 39272 (07/09/2007) Trigger: the difference with the price in Bloomberg is less but remains. Thanks Miriam Remondini mailto:[hidden email] ************************************************** SoftSolutions! Via S. Francesco d'Assisi, 3b, 24121 Bergamo (BG) Italia Tel: +39 035-22714-1 Fax: +39 035-22714-99 http://www.softsolutions.it ************************************************** This document is strictly confidential and is intended for use by the addressee unless otherwise indicated. If you have received this e-mail in error we would be very grateful if you could please notify us immediately at mailto:[hidden email] and delete this e-mail from your system. SoftSolutions! reserves the right to monitor all email communications through its internal and external networks. SoftSolutions! s.r.l. ------------------------------------------------------------------------- This SF.net email is sponsored by: Microsoft Defy all challenges. Microsoft(R) Visual Studio 2005. http://clk.atdmt.com/MRT/go/vse0120000070mrt/direct/01/ _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users |
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Hi Miriam,
currently I’m not using the QuantlibXL version 0.3.14, but I can remember that for “first coupon date” it was meant first interest accrual date, that in your case is: 10/02/2006 (the bond has a long 1st coupon). In the new QuantlibXL release the signature of the function is clearer and the bond constructor has been modified. So what I personally suggest is to download the latest version of QuantlibXL. There you can find functions which allows you to replicate the bond market prices using z-spread and asset swap spread too. By the way the fixed rate bond function isn’t the right function to use in your case since JAPTOB 4 1/2 04/14 is credit sensitive, it steps up by 125 bps for moody’s/s&P downgrade below baa3/BBB-. Credit Sensitive note aren’t supported in QuantLib yet.
Chiara
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