Coupons and Fixed Rate Legs, Take Two...

Posted by Toyin Akin on
URL: http://quantlib.414.s1.nabble.com/Coupons-and-Fixed-Rate-Legs-Take-Two-tp1186.html

Hi Chiara,

As you are the "THE EXPERT" regarding Bonds in my opinion...

I've been playing around with some of the Bond classes (FixedCouponBond in
particular) trying to match the prices within FinCad.

This really leads me onto the issue that I mentioned some months before
regarding the fact that the way reference dates are passed to coupon objects
for regular coupon periods were, I think, incorrect.

The coupons simply take their reference Dates from the adjusted start/end
dates when in fact I beleive that refDates should be the unadjusted dates
for the period. The same unadjusted dates that the schedule class internally
builds just before adjusting them.

In a nutshell, the refdates should be unaffected by holiday calendars.

I'm not sure what your take on this is, but with my limited testing, I've
found that I can match the prices of bonds priced within FinCad when I use
unadjusted reference dates.

I've included a modified schedule class (really exposing the unadjusted
dates array) and a new bondcashflowvectors class that uses the extra
information exposed from the schedule class.

Can you take a look and tell me what you think?

Is it also your understanding that the unadjusted reference dates should be
unadjusted dates for bonds? This I believe becomes very important once you
start playing with different daycounters.

There is also the issue of bond specifications where you may have a
different pricing algo for the first coupon period if there is only one
coupon period left to maturity.

Thus if I am pricing a 10 year bond and I require ISMA for the Yield
calculation type, but Simple if the calculation date is moved in such a
fashion that there is only one coupon period left to Bond maturity.

Any thoughts on this...?

Thanks in advance,
Toy out.

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