Posted by
FORNAROLA CHIARA on
URL: http://quantlib.414.s1.nabble.com/Coupons-and-Fixed-Rate-Legs-Take-Two-tp1186p1197.html
Hi John,
You don't need two different schedules.
The bond's NPV already account for the behaviour you described.
Look at bond.cpp when calculating the instrument's npv.
There are specified both settlement's date and npv date.
Chiara
>-----Original Message-----
>From:
[hidden email]
[mailto:quantlib-users-
>
[hidden email]] On Behalf Of John Maiden
>Sent: Tuesday, July 24, 2007 5:22 PM
>To:
[hidden email]
>Subject: Re: [Quantlib-users] Coupons and Fixed Rate Legs, Take Two...
>
>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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