Posted by
cheng li on
URL: http://quantlib.414.s1.nabble.com/How-to-fix-future-unknown-coupons-of-a-FRN-tp16484p16485.html
Hi MDecau,
As far as I know, there is no obvious way to do the same as BBG do in
quantlib. However you can adjust the QL source code to meet your requirement
anyway.
Some thoughts about the idea:
1. To make coupon fix at a given date (e.g. in your case, the spot date) is
to adjust the behavior of the member function ``fixingDate``of
``FloatingRateCoupon``. IMO you can added a stored member of flag or a known
date in ``FloatingRateCoupon``to indicate that you want the coupon to be
fixed at that given date.
2. Most of pricing logic is done in a specific pricing engine for a specific
product. After you have finished the above change, you can write up your own
pricing engine to leverage the feature you have added. The template engine
you can consult to is the ``DiscountingBondEngine``.
Regards,
Cheng
-----邮件原件-----
发件人: MDecau [mailto:
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发送时间: 2015年4月15日 16:24
收件人:
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主题: [Quantlib-users] How to fix future (unknown) coupons of a FRN?
Hello everyone,
I have a floating rate bond that I am trying to price. I did it with
Quantlib first, and then with Bloomberg to check my results (it is a real
bond, not just an example). I don't find the same results at all: the
coupons are very different.
That's because Quantlib calculates the future coupons based on the forward
rates implied by the term structure, while Bloomberg uses the spot
underlying index value as the assumed rate for the second and future index
fixings.
To illustrate, let me show you the cash flows I get.
With Quantlib :
Coupons_Quantlib.PNG
<
http://quantlib.10058.n7.nabble.com/file/n16484/Coupons_Quantlib.PNG>
With Bloomberg :
Coupons_bloom.JPG
<
http://quantlib.10058.n7.nabble.com/file/n16484/Coupons_bloom.JPG>
I know that using the forward rates is a good way to do it, but I'd still
like to give the user the choice between the two methods. Is there any way
in Quantlib to set my future (undetermined) floating coupons to a fixed
value like Bloomberg does (= (underlying spot rate + spread)*coupon
frequency)?
If not, how should I do it?
Thank you for your help
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