http://quantlib.414.s1.nabble.com/How-to-fix-future-unknown-coupons-of-a-FRN-tp16484p16488.html
produces the desired forecasts. However this is not as trivial as it
looks, if one wants precise forecasts. Is it ? Finally, you could
inherit from the float index (e.g. Euribor) and overwrite the
> 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:
[hidden email]]
> 发送时间: 2015年4月15日 16:24
> 收件人:
[hidden email]
> 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
>
>
>
> --
> View this message in context:
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http://quantlib.10058.n7.nabble.com/How-to-fix-future-unknown-coupons-of-a-F> RN-tp16484.html
> Sent from the quantlib-users mailing list archive at Nabble.com.
>
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