Posted by
John Maiden on
URL: http://quantlib.414.s1.nabble.com/Coupons-and-Fixed-Rate-Legs-Take-Two-tp1186p1192.html
Ok, this is something that I haven't understood about bonds. Assuming that I can
buy a bond at any time, then shouldn't there be two different frequencies to
consider (and thus two different date schedules)? One frequency is tied to the
bond itself, the actual dates the coupon is paid. Yet there is also the
frequency, let's say daily for the sake of example, of the purchaser. I can buy
a bond on any day, which means that the loss of coupon for the person who sold
it to me has been been considered in the sale. The true value of the next coupon
will have already been adjusted so that I will only really receive accrued
between today and the next coupon dates, rather than the full amounts between
coupon dates. Please tell me if I'm off here and the legs already account for
this in some way. If not, wouldn't it make sense to have a schedule with two
frequencies, one for the bond coupon schedule and one for the potential holder
of the bond?
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