Posted by
Toyin Akin on
URL: http://quantlib.414.s1.nabble.com/Coupons-and-Fixed-Rate-Legs-Take-Two-tp1186p1188.html
Hi Luigi,
Okay, it's becoming clearer now.
The only issue I had/have is that most Bonds when quoting for the yield do
not apply adjusted dates, thus naturally, the calendar passed in will be the
Null Calendar. However when one wants to report True yield (where a calendar
is needed), it seems like you have to rebuild the bond from scratch using
the correct calendar.
Thus (from the last time I checked), it's not possible to request yield and
true yield from the same bond object.
When a calendar object is passed in, (as I understand it), you are
requesting true yield.
Is this your understanding too?
It would be nice to be able to request true yield and regular (unadjusted)
yield without building two bond objects.
Best Regards,
Toyin Akin.
>From: Luigi Ballabio <
[hidden email]>
>To: Toyin Akin <
[hidden email]>
>CC:
[hidden email],
[hidden email],
>
[hidden email]
>Subject: Re: [Quantlib-users] Coupons and Fixed Rate Legs, Take Two...
>Date: Wed, 01 Aug 2007 11:10:54 +0200
>
>On Tue, 2007-07-24 at 11:36 +0100, Toyin Akin wrote:
> > 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'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.
>
>Toyin,
> it should not be necessary to modify the actual code. Bonds take both a
>schedule and a payment-adjustment convention. If you build your schedule
>without adjustment, the start and end dates for the coupon should remain
>unadjusted and only the payment date will be affected by
>holidays---unless, of course, the coupon-building code does some other
>adjustment; and unless, of course, I'm missing something...
>
>Luigi
>
>
>--
>
>I am extraordinarily patient, provided I get my own way in the end.
>-- Margaret Thatcher
>
>
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