Posted by
Ben Watson on
Feb 22, 2016; 12:24pm
URL: http://quantlib.414.s1.nabble.com/ExCouponPeriod-not-available-in-QuantLibXL-function-qFixedRateBond-tp17312.html
Hi,
I asked this a couple of weeks ago. I need to price bonds that have 7D
ex-interest and are quoted in Yield. I see that qlFixedRateBondHelper does
take ExCouponPeriod. However I need to use this for the yield to price
functions.
I see that FixedRateBond has included exCouponPeriod (Sep 9, 2015 @igitur
igitur Add bond test for South African R2048 which requires Schedule from
cu.)
FixedRateBond bond(settlementDays, 100.0,
Schedule(startDate, maturityDate, tenor,
NullCalendar(), Unadjusted, Unadjusted,
DateGeneration::Forward, true,
firstCouponDate),
std::vector<Rate>(1, coupon),
dc, Unadjusted, 100.0,
issueDate, calendar, exCouponPeriod, calendar
However this is not in the QuantLibXL version. Is this something that missed
V1.7.0? If so when would the next release likely to happen. I have to push
on with a project and right now I can't get QuantLib to price the bonds
correctly?
Ben Watson, CEO
Define Analytics
Tel: +61 410 474 984
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