http://quantlib.414.s1.nabble.com/Coupons-and-Fixed-Rate-Legs-Take-Two-tp1186p1191.html
with an exDividendDays parameter attached. I think it's npv() within the
Could this be the beginnings of an exDividend days for bonds... (gotta try
>From: "FORNAROLA CHIARA" <
[hidden email]>
>To: "Toyin Akin" <
[hidden email]>, <
[hidden email]>
>CC: <
[hidden email]>
>Subject: RE: Coupons and Fixed Rate Legs, Take Two...
>Date: Thu, 26 Jul 2007 12:17:45 +0200
>
>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!
> >
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