>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: Tue, 24 Jul 2007 17:51:24 +0200
>
>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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