Cash flow treatment of range accrual notes

Posted by Haoyun XU on Jan 03, 2014; 10:21am
URL: http://quantlib.414.s1.nabble.com/Cash-flow-treatment-of-range-accrual-notes-tp14812.html

Hi All,

I have a question on pricing equity-linked range accrual notes. For each period, the coupon is accrued daily and the accumulated payment is delivered at the end of each period. That means the real cash flow only happens on period ends. Either we can price the cash flow on a accrual basis - assume coupon is payed on a daily basis with proper discounting, or we can price it on the real cash flow - one lump sum coupon payment at period end. 

I wonder which one is the common practice. 

Regards & Thanks!

Henry

------------------------------------------------------------------------------
Rapidly troubleshoot problems before they affect your business. Most IT
organizations don't have a clear picture of how application performance
affects their revenue. With AppDynamics, you get 100% visibility into your
Java,.NET, & PHP application. Start your 15-day FREE TRIAL of AppDynamics Pro!
http://pubads.g.doubleclick.net/gampad/clk?id=84349831&iu=/4140/ostg.clktrk
_______________________________________________
QuantLib-users mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-users