Posted by
FORNAROLA CHIARA on
URL: http://quantlib.414.s1.nabble.com/Coupons-and-Fixed-Rate-Legs-Take-Two-tp1186p1194.html
Hi Toyin,
before telling you my thoughts I'd like to know: what QuantLib release
you are using. Is it 0.8.0? From what you're writing it seems you're
still using the old version of fixedcouponbond which was renamed as
fixedratebond. This latest takes the schedule object as one of the input
for the construction of the bond object, and the schedule must be
constructed according inputing the following parameters:
datedDate i.e. the first interest accrual date (the one quoted in the
bond's prospectus usually isn't adjusted) of the bond;
maturityDate, i.e. the maturity date of the bond (the one quoted in the
bond's prospectus usually isn't adjusted);
Period(frequency), i.e. 0d, 1d, 3m, 6m, 1y depending on the payment
frequency of the bonds (once, daily, quarterly, semiannual, annual);
calendar, i.e. the calendar quoted in the prospectus of the bond;
accrualConvention, i.e. the adjustment applied to accrual start and end
dates of the bond (usually for Euro denominated bonds is "unadjusted");
accrualConventionTermination, i.e. the adjustment applied to the
maturity date (usually "unadjusted" if not differently specified in the
prospectus);
fromEnd, i.e. TRUE if you want to build the schedule backward, FALSE if
you want to start building the schedule rolling from the first payment
date (uasually the schedule is generated BACKWARD unless you have odd
last or first coupon). EOM, i.e. TRUE if you have a payment date which
falls for example on the 28th of February and, lets say pays
semiannually, you want that the next nominal date is 31st August (i.e.
the last day of the month) rather than the 28th of August. Usually this
parameter is equal to FALSE unless differently specified in the bond's
prospectus;
firstDate, i.e. the nominal date in which the first coupon date is
scheduled (unless you have odd cpn you don't need to pass this
parameter, but if you input this information you have to input a date
without business adjustment);
nextToLastDate, i.e. the nominal date in which the next to last coupon
date is schedule (unless you have odd cpn you don't need to pass this
parameter but if you input this information you have to input a date
without business adjustment).
FirstDate and Next to last date are optional parameters, you need them
only if the deal you have as an odd coupon.
With the bond's constructor taking a schedule object properly created
you shouldn't encounter any problem in replicating the bond's schedule
(payments date and start and end accrual dates). So please let me know
quant QuantLib release are you using.
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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