qlFixedCouponBond
Posted by
miriam.remondini on
Jul 20, 2007; 10:31am
URL: http://quantlib.414.s1.nabble.com/qlFixedCouponBond-tp1170.html
Hello,
I'm constructing an object ID with the
function qlFixedCouponBond of the Quantlib version 0.3.14.
I would like to know if, as I suppose,
the parameter "First Coupon Date" is the date in which the coupon
starts maturing instead of the date in which it is paid.
The problem is that I'm using this object
ID for the function qlBondCleanPrice and if the first coupon has not been
paid yet I don't get the first coupon.
Infact the cash flows calculated with
the function qlBondFlowAnalysis for the bond JAPTOB 4,5 04/02/14 are:
Date
Amount
Accrual Start Date
Accrual End Date
04/02/2009 4,4907
04/02/2008
04/02/2009
04/02/2010 4,5493
04/02/2009
04/02/2010
....
but the first coupon is paid on the
04/02/2008.
The values that I insert in the function
qlFixedCouponBond are:
Object ID:
XS0269190533
Face amount:
100
Issue Date:
38992 (10/02/2006)
First Coupon Date:
39540 (04/02/2008)
Maturity Date:
41731 (04/02/2014)
Settlement Days:
3
Coupons:
0,045
Redemption:
100
Frequenct:
Annual
Day Counter:
Actual/Actual
Accrual BDC:
Following
Accrual BDC:
Following
Calendar:
TARGET
Start From End:
0
Long Final:
0
Term Structure ID:
Permanent:
0
Trigger:
I also tried to modify the parameter
Start From End but the result is the same.
I can resolve this problem modifing
the First Coupon Date, but I think I have some others problems.
Infact inserting in the function qlBondCleanPrice
the following values:
Object ID:
XS0269190533
Yield:
0,04902
Compounding:
Compounded
Settlement Date:
39272 (07/09/2007)
Trigger:
the difference with the price in Bloomberg
is less but remains.
Thanks
Miriam Remondini
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