Posted by
FORNAROLA CHIARA on
URL: http://quantlib.414.s1.nabble.com/Coupons-and-Fixed-Rate-Legs-tp1151p1158.html
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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