Patches item #2727178, was opened at 2009-04-02 20:41
Message generated for change (Comment added) made by lballabio
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Category: None
Group: None
Status: Open
Resolution: None
Priority: 5
Private: No
Submitted By: Nathan Abbott (ultrium)
Assigned to: Luigi Ballabio (lballabio)
Summary: add Delay Days to FixedRateLeg
Initial Comment:
We have a need to create a FixedRateCoupon with the payment date that is different from the end date. For example, we created a mortgage bond with a starting coupon that has a start date of March 1st, 2009, a end date of April 1st, 2009, and a payment date of April 15th, 2009. The rest of the coupons of the bond follow the same pattern for its dates. To create the coupons, I had to added a delayDays_ variable to the FixedRateLeg class. delayDays_ is set to zero by default. Also, a withDelayDays method was added to the class. I also change the Leg() operator to take advance of the delayDays_ variable.
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>Comment By: Luigi Ballabio (lballabio)
Date: 2009-04-06 17:41
Message:
Is a number of days enough? For instance, in your example (end date = April
1st, payment date = April 15th) shouldn't the delay be 2 weeks instead to
keep following the pattern in later years? If you were to write it as 8
days (which are those required to get from the 1st to the 15th this year,
due to Easter) you'd find yourself going from April 1st to April 13th in
2011.
Shouldn't we use a Period instead?
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