http://quantlib.414.s1.nabble.com/Coupons-and-Fixed-Rate-Legs-Take-Two-tp1186p1201.html
As this function takes reference dates as input parameters. We can now read
>From: "Toyin Akin" <
[hidden email]>
>To:
[hidden email],
[hidden email],
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>CC:
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>Subject: RE: [Quantlib-users] Coupons and Fixed Rate Legs, Take Two...
>Date: Tue, 24 Jul 2007 11:46:29 +0100
>
>Hi,
>
>There is a small bug in the bond cashflow cpp file. You need to rename the
>class name from ctBondLeg to BondLeg in order to compile it.
>
>Toy out.
>
>>From: "Toyin Akin" <
[hidden email]>
>>To:
[hidden email],
[hidden email]
>>CC:
[hidden email]
>>Subject: [Quantlib-users] Coupons and Fixed Rate Legs, Take Two...
>>Date: Tue, 24 Jul 2007 11:36:38 +0100
>>
>>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.
>>
>>_________________________________________________________________
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>
>><< bondcashflowvectors.cpp >>
>
>
>><< bondcashflowvectors.hpp >>
>
>
>><< schedule.cpp >>
>
>
>><< schedule.hpp >>
>
>
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