http://quantlib.414.s1.nabble.com/Coupons-and-Fixed-Rate-Legs-tp1151p1168.html
Also, John is construting a fixed leg leg object and not a Bond object. With
additional stub dates. These should be considered optional.
>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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