Re: cashflow question for the fixed coupon bond

Posted by Luigi Ballabio on Aug 25, 2005; 1:15am
URL: http://quantlib.414.s1.nabble.com/cashflow-question-for-the-fixed-coupon-bond-tp10855p10856.html

On 08/25/2005 01:00:13 AM, Vladimir Goldenberg wrote:

> I created a fixed coupon bond as follows:
>
> . . .
>
> it brings back following cashflows:
>
>  Show cashflow:
> 12 15th, 2005: 2.696918
> 6 15th, 2006: 3.926712
> 12 15th, 2006: 3.948288
> 6 15th, 2007: 3.926712
> 12 17th, 2007: 3.991438
> 6 16th, 2008: 3.926712
> 12 15th, 2008: 3.926712
> 6 15th, 2009: 3.926712
> 12 15th, 2009: 3.948288
> 6 15th, 2010: 3.926712
>
> Horever, it was my understanding that for fixed coupon bond I should
> have nine cashflows of 3.9375 (based on coupon 7.875 / 2) plus one
> last cashflow of 103.9375 (face 100 + last half of coupon). Instead I
> got cashflows as above.

Vlad,
        the missing 100 are returned by the redemption() method.
Given that---for a number of reasons---the last coupon and the  
redemption will continue to be stored internally as separate objects,  
do you (and the others reading this) think that they should be returned  
together by the cashflows() method? It can be done, but it might take a  
bit of work.

Later,
        Luigi

----------------------------------------

Westheimer's Discovery:
        A couple of months in the laboratory can frequently save a
        couple of hours in the library.