On Wed, 2011-03-30 at 13:42 -0700, gigifaye29 wrote:
> Hi, is there a reference paper this AmortizingFixedRateBond class is based
> on?
No, sorry. I'm afraid your best option is reading the code.
> I have different concepts of "amortization" in mind, but not sure which one
> exactly this class performs...thank you!
If you use the constructor taking a vector of notionals, that's it---at
each payment date, the bond pays interest based on the current notional
and an amortization payment given by the difference between the current
notional and the next. If you use the other constructor, I think it
calculates a sequence of notionals such that the sum of interest and
amortization is constant; but you'll better check with the code.
Luigi
--
There is no opinion so absurd that some philosopher will not
express it.
-- Marcus Tullius Cicero, "Ad familiares"
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