Hi Miriam,
currently I’m not using the QuantlibXL version 0.3.14, but I can remember that for “first coupon date” it was meant first interest accrual date, that in your case is: 10/02/2006 (the bond has a long 1st coupon). In the new QuantlibXL release the signature of the function is clearer and the bond constructor has been modified. So what I personally suggest is to download the latest version of QuantlibXL. There you can find functions which allows you to replicate the bond market prices using z-spread and asset swap spread too.
By the way the fixed rate bond function isn’t the right function to use in your case since JAPTOB 4 1/2 04/14 is credit sensitive, it steps up by 125 bps for moody’s/s&P downgrade below baa3/BBB-.
Credit Sensitive note aren’t supported in QuantLib yet.
Chiara
-----Original Message-----
From:
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Sent: Friday,
July 20, 2007 11:32
AM
To:
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Subject: [Quantlib-users]
qlFixedCouponBond
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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