Posted by
FORNAROLA CHIARA on
URL: http://quantlib.414.s1.nabble.com/Coupons-and-Fixed-Rate-Legs-Take-Two-tp1186p1190.html
Hi Toyin,
The dates you have to pass to the schedule should be unadjusted.
Then the dates used buy the coupon are adjusted or not, depending on
what kind of input you pass to the schedule for accrualConvention and
for accrualConventionTermination.
If you have a look at the testsuite in assetswap.cpp you can find the
examples you're looking for.
I don't have fincad installed on my workstation so I can't replicate
your test, but I've tested market prices in asset swap with Bloomberg
and checked the bond's cashflow analysis QL vs Bloomberg, it was
correct.
In Bloomberg the function SWPM -ASW applies the default "unadjusted" for
the accrual dates, but you of course can change the payment convention
according to the bond's prospectus.
Unadjusted accrual dates is the standard for bonds and structured bonds
denominated in Euro, but it has also happened to me to see some bond's
prospectus, where accrual period is mentioned to be adjusted. This I
believe occurs sporadically.
Regarding bond's price given the yield I think it should be reviewed. At
the moment, I don't use it since I calculate bonds' market price given
asset swap spread or given Z-spread.
Anyway I've in my todo list to work at the bond class so to make it more
flexible...You'll see the changes in the next days I think (I hope)...
Chiara
>-----Original Message-----
>From: Toyin Akin [mailto:
[hidden email]]
>Sent: Tuesday, July 24, 2007 12:37 PM
>To: FORNAROLA CHIARA;
[hidden email]
>Cc:
[hidden email]
>Subject: Coupons and Fixed Rate Legs, Take Two...
>
>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.
>
>_________________________________________________________________
>Win tickets to the sold out Live Earth concert!
>
http://liveearth.uk.msn.com-------------------------------------------------------------------------
This SF.net email is sponsored by: Splunk Inc.
Still grepping through log files to find problems? Stop.
Now Search log events and configuration files using AJAX and a browser.
Download your FREE copy of Splunk now >>
http://get.splunk.com/_______________________________________________
QuantLib-users mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-users