http://quantlib.414.s1.nabble.com/Coupons-and-Fixed-Rate-Legs-tp1151p1155.html
>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.
> >> >> >>>>>
> >> >> >>>>>
> >> >> >>>>>
> >> >> >>>>>
> >> >> >>>>>
> >> >>
> >>
> >>>---------------------------------------------------------------------
> >> >>--
> >> >> >>>
> >> >> >>>
> >> >> >>>>--
> >> >> >>>>
> >> >> >>>>
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> >> >> >>>>>
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> >> >> >>>>>
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> >> >> >>>>>
> >> >>
> >>
> >>>>--------------------------------------------------------------------
> >> >>--
> >> >> >>>>
> >> >> >>>>
> >> >> >>---
> >> >> >>
> >> >> >>
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> >> >>
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> >> >> >>
> >> >> >>
> >> >> >>
> >> >> >
> >> >>
> >> >
> >> >_________________________________________________________________
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