Posted by
FORNAROLA CHIARA on
URL: http://quantlib.414.s1.nabble.com/Coupons-and-Fixed-Rate-Legs-tp1151p1152.html
Sorry, I believe I don't have enough skills in writing English so to
make myself be understood.
>-----Original Message-----
>From: Toyin Akin [mailto:
[hidden email]]
>Sent: Friday, July 20, 2007 4:56 PM
>To: FORNAROLA CHIARA;
[hidden email]
>Cc:
[hidden email];
[hidden email]
>Subject: Re: [Quantlib-users] Coupons and Fixed Rate Legs
>
>Hi,
>
>So we are concluding that the schedule sent by John with the daily
>frequency
>in his code was indeed incorrect.
>
>> >> >> >>>>>Aug 1, 2007
>> >> >> >>>>>Sept 1, 2007
>> >> >> >>>>>Nov 1, 2007
>> >> >> >>>>>Jan 1, 2008
>> >> >> >>>>>Feb 1, 2008
>> >> >> >>>>>Apr 1, 2008
>> >> >> >>>>>Jun 1, 2008
>> >> >> >>>>>Aug 1, 2008
>> >> >> >>>>>Sept 1, 2008
>> >> >> >>>>>Nov 1, 2008
>> >> >> >>>>>Jan 1, 2009
>> >> >> >>>>>Feb 1, 2009
>
>Toy out...
>
>
>>From: "FORNAROLA CHIARA" <
[hidden email]>
>>To: "Toyin Akin" <
[hidden email]>, <
[hidden email]>
>>CC:
[hidden email],
[hidden email]
>>Subject: Re: [Quantlib-users] Coupons and Fixed Rate Legs
>>Date: Fri, 20 Jul 2007 16:46:24 +0200
>>
>> >Hi Toyin,
>> >
>> >to be honest I've obtained the right schedule using QuantLibXL (to
be
>> >quick) and all the parameters passed by John...
>> >The "1D" period works both if you pass it as it is or as
period(daily).
>>
>> >-----Original Message-----
>> >From: Toyin Akin [mailto:
[hidden email]]
>> >Sent: Friday, July 20, 2007 4:35 PM
>> >To: FORNAROLA CHIARA;
[hidden email]
>> >Cc:
[hidden email];
[hidden email]
>> >Subject: RE: [Quantlib-users] Coupons and Fixed Rate Legs
>> >
>> >
>> >Hi,
>> >
>> >I was refering to John's original code (email).
>> >
>> >There is a frequency of daily, but yet the schedule (from the Fixed
>>leg)
>> >produced is not... hence the bug.
>> >
>> >Unless of course John only provided only a snapshot of the generated
>> >schedule, but they are certainly not daily. Whether the bug is in
the
>> >schedule or the FixedLeg object is the issue I was raising.
>> >
>> >There could also be the possibility that the schedule that John
>>provided
>> >didn't really come from the code snippet he posted.
>> >
>> >If you are saying that when you run his code you get daily periods,
>>then
>> >all
>> >is well, but that is not what John originally reported...
>> >
>> >I noticed in the latest code of his, he has changed the frequency to
>> >semi-annual.
>> >
>> >John, did the schedule you posted actually come from the code
snippet
>> >posted
>> >too? This is important because there are cases where one would like
to
>> >price
>> >averging legs (OIS swaps for example) where pricing via a Bond is
not
>>the
>> >way to go.
>> >
>> >Toy out.
>> >
>> >>From: "FORNAROLA CHIARA" <
[hidden email]>
>> >>To: "Toyin Akin" <
[hidden email]>, <
[hidden email]>
>> >>CC: <
[hidden email]>, <
[hidden email]>
>> >>Subject: RE: [Quantlib-users] Coupons and Fixed Rate Legs
>> >>Date: Fri, 20 Jul 2007 14:30:09 +0200
>> >>
>> >>Hi Toyin,
>> >>
>> >>to be honest I've obtained the right schedule using QuantLibXL (to
be
>> >>quick) and all the parameters passed by John...
>> >>The "1D" period works both if you pass it as it is or as
>>period(daily).
>> >>So I can't replicate what you mentioned to be a "bug".
>> >>For me it isn't a bug since I can replicate the correct schedule...
>> >>
>> >>Chiara
>> >>
>> >>Ps may I ask what release are you using?
>> >>
>> >> >-----Original Message-----
>> >> >From: Toyin Akin [mailto:
[hidden email]]
>> >> >Sent: Friday, July 20, 2007 1:53 PM
>> >> >To: FORNAROLA CHIARA;
[hidden email]
>> >> >Cc:
[hidden email];
[hidden email]
>> >> >Subject: RE: [Quantlib-users] Coupons and Fixed Rate Legs
>> >> >
>> >> >
>> >> >Hi,
>> >> >
>> >> >So if this version works with the "1D" tenor, then there must be
a
>>bug
>> >>in
>> >> >converting from a frequency type to a period object.
>> >> >
>> >> >I understand though, that you guys are advocating the use of
Period
>> >>objects
>> >> >as the way to go thus one should not go through a Frequency type.
>> >> >
>> >> >Can someone let us know if the "1D" period type actually works?
>> >> >
>> >> >Toy out.
>> >> >
>> >> >>From: "FORNAROLA CHIARA" <
[hidden email]>
>> >> >>To: "Stefan Johansson" <
[hidden email]>
>> >> >>CC: "Toyin Akin" <
[hidden email]>,
>> >> >><
[hidden email]>,<
[hidden email]>
>> >> >>Subject: RE: [Quantlib-users] Coupons and Fixed Rate Legs
>> >> >>Date: Fri, 20 Jul 2007 11:47:55 +0200
>> >> >>
>> >> >>Thanks Stefan for the example!
>> >> >>Anyway the schedule object in quantlib can be created also with
>> >> >>period=1d.
>> >> >>Chiara
>> >> >>
>> >> >> >-----Original Message-----
>> >> >> >From: Stefan Johansson [mailto:
[hidden email]]
>> >> >> >Sent: Friday, July 20, 2007 11:43 AM
>> >> >> >To: FORNAROLA CHIARA
>> >> >> >Cc: Toyin Akin;
[hidden email];
>> >> >>
[hidden email]
>> >> >> >Subject: Re: [Quantlib-users] Coupons and Fixed Rate Legs
>> >> >> >
>> >> >> >Hi,
>> >> >> >
>> >> >> >Synthetic discount bonds with daily coupons may very well be
>> >>components
>> >> >> >in "structured products", so support for it may be useful and
may
>> >> >> >broaden the field of applications for quantlib, if not yet
>>included.
>> >> >> >
>> >> >> >BR,
>> >> >> >Stefan
>> >> >> >
>> >> >> >FORNAROLA CHIARA wrote:
>> >> >> >
>> >> >> >>Hi Toyin
>> >> >> >>
>> >> >> >>I was answering to John's question....I didn't meant to say
>> >>anything
>> >> >> >>about your email..
>> >> >> >>Anyway John in his email mentioned:
>> >> >> >>" a 4.75 fixed rate bond that goes from
>> >> >> >>
>> >> >> >>
>> >> >> >>>>today
>> >> >> >>>>
>> >> >> >>>>
>> >> >> >>>>>(July 19, 2007) to February 1, 2008."
>> >> >> >>>>>
>> >> >> >>>>>
>> >> >> >>(I'm just quoting his email)
>> >> >> >>The schedule behaves as I described replying to John's email
>>also
>> >>for
>> >> >> >>fixed rate, floating rate, cms rate leg not just for bonds.
>> >> >> >>FirstDate and Next to last date are optional parameters, you
>>need
>> >>them
>> >> >> >>only if the deal you have as an odd coupon.
>> >> >> >>Now I'm sorry I can't think of a deal which has daily
payments
>>(I
>> >>will
>> >> >> >>appreciate an input from you since I believe you see
different
>> >> >>markets).
>> >> >> >>I always dealt with Euro denominated bonds and Swaps so
usually
>>the
>> >> >> >>period is 3m, 6m and 1y.
>> >> >> >>
>> >> >> >>Chiara
>> >> >> >>
>> >> >> >>
>> >> >> >>
>> >> >> >>
>> >> >> >>>-----Original Message-----
>> >> >> >>>From: Toyin Akin [mailto:
[hidden email]]
>> >> >> >>>Sent: Friday, July 20, 2007 10:52 AM
>> >> >> >>>To: FORNAROLA CHIARA;
[hidden email]; quantlib-
>> >> >> >>>
[hidden email]
>> >> >> >>>Subject: Re: [Quantlib-users] Coupons and Fixed Rate Legs
>> >> >> >>>
>> >> >> >>>
>> >> >> >>>Hi,
>> >> >> >>>
>> >> >> >>>I'm a bit confused.
>> >> >> >>>
>> >> >> >>>This does not answer the question of why a daily frequency
>>builds
>> >>an
>> >> >> >>>
>> >> >> >>>
>> >> >> >>output
>> >> >> >>
>> >> >> >>
>> >> >> >>>of non-daily periods.
>> >> >> >>>
>> >> >> >>>Are you saying the schedule constructor used before is
>>incorrect
>> >>for
>> >> >> >>>
>> >> >> >>>
>> >> >> >>daily
>> >> >> >>
>> >> >> >>
>> >> >> >>>frequencies and that the one you propose with the additional
>> >> >>parameters
>> >> >> >>>does?
>> >> >> >>>
>> >> >> >>>Also, John is construting a fixed leg leg object and not a
Bond
>> >> >>object.
>> >> >> >>>With
>> >> >> >>>fixed leg objects, you should be able to construct legs
without
>> >>the
>> >> >> >>>additional stub dates. These should be considered optional.
>> >> >> >>>
>> >> >> >>>Best Regards,
>> >> >> >>>Toyin Akin.
>> >> >> >>>
>> >> >> >>>
>> >> >> >>>
>> >> >> >>>>From: "FORNAROLA CHIARA" <
[hidden email]>
>> >> >> >>>>To: "John Maiden"
>> >> >> >>>><
[hidden email]>,<
[hidden email]>
>> >> >> >>>>Subject: Re: [Quantlib-users] Coupons and Fixed Rate Legs
>> >> >> >>>>Date: Fri, 20 Jul 2007 10:06:13 +0200
>> >> >> >>>>
>> >> >> >>>>Hi John,
>> >> >> >>>>
>> >> >> >>>>In order to correctly reproduce the schedule of: fixed rate
>>bond,
>> >> >> >>>>floating rate bond, and cms rate bond, you have pass the
>> >>following
>> >> >> >>>>parameters to the schedule:
>> >> >> >>>>
>> >> >> >>>>datedDate_ i.e. the first interest accrual date of the
bond;
>> >> >> >>>>
>> >> >> >>>>maturityDate_, i.e. the maturity date of the bond;
>> >> >> >>>>
>> >> >> >>>>Period(frequency_), i.e. 3m, 6m, 1y depending on the
payment
>> >> >>frequency
>> >> >> >>>>of the bonds (quarterly, semiannual, annual);
>> >> >> >>>>
>> >> >> >>>>calendar_, i.e. the calendar quoted in the prospectus of
the
>> >>bond;
>> >> >> >>>>
>> >> >> >>>>accrualConvention, i.e. the adjustment applied to accrual
>>start
>> >>and
>> >> >> >>>>
>> >> >> >>>>
>> >> >> >>end
>> >> >> >>
>> >> >> >>
>> >> >> >>>>dates of the bond (usually for Euro denominated bonds is
>> >> >> >>>>
>> >> >> >>>>
>> >> >> >>"unadjusted");
>> >> >> >>
>> >> >> >>
>> >> >> >>>>accrualConventionTermination, i.e. the adjustment applied
to
>>the
>> >> >> >>>>maturity date (usually "unadjusted" if not differently
>>specified
>> >>in
>> >> >> >>>>
>> >> >> >>>>
>> >> >> >>the
>> >> >> >>
>> >> >> >>
>> >> >> >>>>prospectus);
>> >> >> >>>>
>> >> >> >>>>fromEnd, i.e. TRUE if you want to build the schedule
backward,
>> >>FALSE
>> >> >> >>>>
>> >> >> >>>>
>> >> >> >>if
>> >> >> >>
>> >> >> >>
>> >> >> >>>>you want to start building the schedule rolling from the
first
>> >> >>payment
>> >> >> >>>>date (uasually the schedule is generated BACKWARD unless
you
>>have
>> >> >>odd
>> >> >> >>>>last or first coupon).
>> >> >> >>>>EOM, i.e. TRUE if you have a payment date which falls for
>>example
>> >>on
>> >> >> >>>>
>> >> >> >>>>
>> >> >> >>the
>> >> >> >>
>> >> >> >>
>> >> >> >>>>28th of February and, lets say pays semiannually, you want
>>that
>> >>the
>> >> >> >>>>
>> >> >> >>>>
>> >> >> >>next
>> >> >> >>
>> >> >> >>
>> >> >> >>>>nominal date is 31st August (i.e. the last day of the
month)
>> >>rather
>> >> >> >>>>
>> >> >> >>>>
>> >> >> >>than
>> >> >> >>
>> >> >> >>
>> >> >> >>>>the 28th of August. Usually this parameter is equal to
FALSE
>> >>unless
>> >> >> >>>>differently specified in the bond's prospectus;
>> >> >> >>>>
>> >> >> >>>>firstDate, i.e. the nominal date in which the first coupon
>>date
>> >>is
>> >> >> >>>>scheduled (unless you have odd cpn you don't need to pass
this
>> >> >> >>>>parameter, but if you input this information you have to
input
>>a
>> >> >>date
>> >> >> >>>>without business adjustment);
>> >> >> >>>>
>> >> >> >>>>nextToLastDate, i.e. the nominal date in which the next to
>>last
>> >> >>coupon
>> >> >> >>>>date is schedule (unless you have odd cpn you don't need to
>>pass
>> >> >>this
>> >> >> >>>>parameter but if you input this information you have to
input
>>a
>> >>date
>> >> >> >>>>without business adjustment).
>> >> >> >>>>
>> >> >> >>>>So your correct schedule will be:
>> >> >> >>>>
>> >> >> >>>> Schedule schedule(datedDate_, maturityDate_,
>> >>Period(frequency_),
>> >> >> >>>> calendar_, accrualConvention,
>> >> >> >>>>accrualConvention,
>> >> >> >>>> fromEnd, EOM, firstDate,
>> >>nextToLastDate);
>> >> >> >>>>
>> >> >> >>>>In the example you mentioned, since the first accrual date
of
>> >>your
>> >> >> >>>>
>> >> >> >>>>
>> >> >> >>bond
>> >> >> >>
>> >> >> >>
>> >> >> >>>>is 19 july 2007 and the maturity date is February 1, 2008
or
>> >> >>February
>> >> >> >>>>
>> >> >> >>>>
>> >> >> >>1,
>> >> >> >>
>> >> >> >>
>> >> >> >>>>2009 (I don't know which is the actual date), there should
be
>>an
>> >>odd
>> >> >> >>>>coupon (you should read all the prospectus to see if it
occurs
>>at
>> >> >>the
>> >> >> >>>>beginning or at the end), so you have to use the proper
>>schedule
>> >> >> >>>>generation (backward or forward) and input the correct next
to
>> >>last
>> >> >> >>>>
>> >> >> >>>>
>> >> >> >>date
>> >> >> >>
>> >> >> >>
>> >> >> >>>>and/or first date.
>> >> >> >>>>Regarding zero coupon bond, you don't need to generate the
>> >>schedule,
>> >> >> >>>>
>> >> >> >>>>
>> >> >> >>you
>> >> >> >>
>> >> >> >>
>> >> >> >>>>can just use zerocouponbond class.
>> >> >> >>>>
>> >> >> >>>>Hope this will help.
>> >> >> >>>>
>> >> >> >>>>Chiara
>> >> >> >>>>
>> >> >> >>>>
>> >> >> >>>>
>> >> >> >>>>
>> >> >> >>>>
>> >> >> >>>>>-----Original Message-----
>> >> >> >>>>>From:
[hidden email]
>> >> >> >>>>>
>> >> >> >>>>>
>> >> >> >>>>[mailto:quantlib-users-
>> >> >> >>>>
>> >> >> >>>>
>> >> >> >>>>>
[hidden email]] On Behalf Of John Maiden
>> >> >> >>>>>Sent: Thursday, July 19, 2007 9:37 PM
>> >> >> >>>>>To:
[hidden email]
>> >> >> >>>>>Subject: [Quantlib-users] Coupons and Fixed Rate Legs
>> >> >> >>>>>
>> >> >> >>>>>How exactly does the fixed rate leg work? I'm asking
because
>>I'd
>> >> >> >>>>>
>> >> >> >>>>>
>> >> >> >>like
>> >> >> >>
>> >> >> >>
>> >> >> >>>>to
>> >> >> >>>>
>> >> >> >>>>
>> >> >> >>>>>know
>> >> >> >>>>>how it determines a coupon date (and set up my own coupon
>> >>dates).
>> >> >> >>>>>
>> >> >> >>>>>
>> >> >> >>For
>> >> >> >>
>> >> >> >>
>> >> >> >>>>>example, I
>> >> >> >>>>>get a weird coupon schedule for a 4.75 fixed rate bond
that
>>goes
>> >> >> >>>>>
>> >> >> >>>>>
>> >> >> >>from
>> >> >> >>
>> >> >> >>
>> >> >> >>>>today
>> >> >> >>>>
>> >> >> >>>>
>> >> >> >>>>>(July 19, 2007) to February 1, 2008. Weird as in I don't
>> >>understand
>> >> >> >>>>>
>> >> >> >>>>>
>> >> >> >>the
>> >> >> >>
>> >> >> >>
>> >> >> >>>>>logic of
>> >> >> >>>>>how it was set up. Assuming that a zero coupon amount
means a
>> >> >>coupon
>> >> >> >>>>>payment,
>> >> >> >>>>>the code below gives me the following coupon dates:
>> >> >> >>>>>
>> >> >> >>>>>Aug 1, 2007
>> >> >> >>>>>Sept 1, 2007
>> >> >> >>>>>Nov 1, 2007
>> >> >> >>>>>Jan 1, 2008
>> >> >> >>>>>Feb 1, 2008
>> >> >> >>>>>Apr 1, 2008
>> >> >> >>>>>Jun 1, 2008
>> >> >> >>>>>Aug 1, 2008
>> >> >> >>>>>Sept 1, 2008
>> >> >> >>>>>Nov 1, 2008
>> >> >> >>>>>Jan 1, 2009
>> >> >> >>>>>Feb 1, 2009
>> >> >> >>>>>
>> >> >> >>>>>Here's the code:
>> >> >> >>>>>
>> >> >> >>>>>// TestQuantLib.cpp : Defines the entry point for the
console
>> >> >> >>>>>
>> >> >> >>>>>
>> >> >> >>>>application.
>> >> >> >>>>
>> >> >> >>>>
>> >> >> >>>>>//
>> >> >> >>>>>#include "stdafx.h"
>> >> >> >>>>>#include <ql/quantlib.hpp>
>> >> >> >>>>>#include <boost/timer.hpp>
>> >> >> >>>>>
>> >> >> >>>>>using namespace std;
>> >> >> >>>>>using namespace QuantLib;
>> >> >> >>>>>
>> >> >> >>>>>int _tmain(int argc, _TCHAR* argv[])
>> >> >> >>>>>{
>> >> >> >>>>> try{
>> >> >> >>>>>
>> >> >> >>>>> std::vector<Real> coupons(1, 0.0475);
>> >> >> >>>>> std::vector<Real> faceAmount_(1, 100);
>> >> >> >>>>>
>> >> >> >>>>> Calendar calendar =
>> >> >> >>>>>
>> >> >> >>>>>
>> >> >> >>>>UnitedStates(UnitedStates::Market::NYSE);
>> >> >> >>>>
>> >> >> >>>>
>> >> >> >>>>> Date today =
>> >>calendar.adjust(Date::todaysDate());
>> >> >> >>>>>
>> >> >> >>>>> BusinessDayConvention convention = Unadjusted;
>> >> >> >>>>>
>> >> >> >>>>> Frequency frequency = Daily;
>> >> >> >>>>>
>> >> >> >>>>> Date exerciseDate = Date(2, February, 2009);
>> >> >> >>>>>
>> >> >> >>>>> Schedule schedule_(today, exerciseDate,
>> >> >> >>>>>
>> >> >> >>>>>
>> >> >> >>>>Period(frequency),
>> >> >> >>>>
>> >> >> >>>>
>> >> >> >>>>>calendar,
>> >> >> >>>>>convention, convention,
>> >> >> >>>>> true, false);
>> >> >> >>>>>
>> >> >> >>>>> DayCounter dayCount = Thirty360();
>> >> >> >>>>>
>> >> >> >>>>> Leg cashFlows_ = FixedRateLeg(faceAmount_,
>> >>schedule_,
>> >> >> >>>>>
>> >> >> >>>>>
>> >> >> >>>>coupons,
>> >> >> >>>>
>> >> >> >>>>
>> >> >> >>>>>dayCount,
>> >> >> >>>>> schedule_.businessDayConvention());
>> >> >> >>>>>
>> >> >> >>>>> for(int i = 0; i < cashFlows_.size(); i++){
>> >> >> >>>>> cout << cashFlows_[i]->amount() << endl;
>> >> >> >>>>> if(i % 10 == 0)
>> >> >> >>>>> system("PAUSE");
>> >> >> >>>>> }
>> >> >> >>>>>
>> >> >> >>>>> } catch (std::exception& e) {
>> >> >> >>>>> cout << e.what() << endl;
>> >> >> >>>>> }
>> >> >> >>>>>
>> >> >> >>>>> system("PAUSE");
>> >> >> >>>>> return 0;
>> >> >> >>>>>}
>> >> >> >>>>>
>> >> >> >>>>>Thanks in advance for any help.
>> >> >> >>>>>
>> >> >> >>>>>
>> >> >> >>>>>
>> >> >> >>>>>
>> >> >> >>>>>
>> >> >>
>> >>
>>
>>>---------------------------------------------------------------------
>> >> >>--
>> >> >> >>>
>> >> >> >>>
>> >> >> >>>>--
>> >> >> >>>>
>> >> >> >>>>
>> >> >> >>>>>This SF.net email is sponsored by: Microsoft
>> >> >> >>>>>Defy all challenges. Microsoft(R) Visual Studio 2005.
>> >> >> >>>>>
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>> >> >> >>>>>
[hidden email]
>> >> >>
>>>>>
https://lists.sourceforge.net/lists/listinfo/quantlib-users>> >> >> >>>>>
>> >> >> >>>>>
>> >> >>
>> >>
>>
>>>>--------------------------------------------------------------------
>> >> >>--
>> >> >> >>>>
>> >> >> >>>>
>> >> >> >>---
>> >> >> >>
>> >> >> >>
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>> >> >> >>>>
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>> >> >> >>>>
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>> >> >> >>>>
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>> >> >> >>>>
>> >> >>
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>> >> >>
>> >>
>>
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>> >> >> >>
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>> >> >>
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