http://quantlib.414.s1.nabble.com/Coupons-and-Fixed-Rate-Legs-tp1151p1165.html
leg rather than a Bond object). However, the two should be equal for non
I believe that the daily frequency is probably where the issues are...
>From: "FORNAROLA CHIARA" <
[hidden email]>
>To: "Toyin Akin" <
[hidden email]>,
><
[hidden email]>,<
[hidden email]>
>Subject: RE: [Quantlib-users] Coupons and Fixed Rate Legs
>Date: Fri, 20 Jul 2007 11:07:51 +0200
>
>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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