Posted by
Piter Dias-4 on
Sep 15, 2009; 5:19pm
URL: http://quantlib.414.s1.nabble.com/I-need-some-tips-about-Coercion-tp12907p12914.html
Nando,
> and Frequency. While Simple and Annual might be sensible default
> values for Compounding and Frequency, a default value for DayCount is
> implausible.
You are right. My problem was not just understand but make it get DayCount
from somewhere but it seems this technic should be used when we are sure
about defaults (for most of markets Compounding = Simple and Frequency =
Annual solves the problem), right?
Find below some samples I got from Central Bank page. Sadly the technical
documents are all in Portuguese but you would be able to check them using
Bloomberg (BNTNF code).
Selic Maturity Referece Date Issue Date Term Coupon Rate ISIN
950199 01/01/2010 02/02/2005 02/02/2005 1794 10.000000 BRSTNCNTF055
950199 01/07/2010 09/02/2007 09/02/2007 1238 10.000000 BRSTNCNTF0H7
950199 01/01/2011 06/07/2007 06/07/2007 1275 10.000000 BRSTNCNTF0I5
950199 01/01/2012 01/06/2005 01/06/2005 2405 10.000000 BRSTNCNTF063
950199 01/01/2013 06/07/2007 06/07/2007 2006 10.000000 BRSTNCNTF0J3
950199 01/01/2014 05/05/2006 05/05/2006 2798 10.000000 BRSTNCNTF071
950199 01/01/2017 05/01/2007 05/01/2007 3649 10.000000 BRSTNCNTF0G9
Let's do this way. As soon as I come home I send some samples using
regular Excel functions and how I did it using QuantLibXL (I created a
qlnewFixedRateBond function). The QuantLib samples (using Bonds, not
FixedRateBond) are already available in the current testsuite version.
I am pretty that sharing the current code and spreadsheet I have would
help everyone.
Regards,
-------------------------
Piter Dias
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