答复: Adjustable Rate Bonds Pricing

Posted by cheng li on Jul 02, 2017; 2:42pm
URL: http://quantlib.414.s1.nabble.com/Adjustable-Rate-Bonds-Pricing-tp5756p18374.html

Hi Fagoal,

Floating rate bond class under the instruments folder should partially meets
your requirements:

https://github.com/lballabio/QuantLib/blob/master/ql/instruments/bonds/float
ingratebond.hpp

This is a bond with variable rate linked to a ibor index.

According to your further description, you are looking forward to the sub
period coupon class under QuantLib experimental folder:

https://github.com/lballabio/QuantLib/blob/master/ql/experimental/coupons/su
bperiodcoupons.hpp

Peter Casper has another similar version of  this in his open risk engine
project:

https://github.com/OpenSourceRisk/Engine/blob/master/QuantExt/qle/cashflows/
subperiodscoupon.hpp

also based on QuantLib.

It should be easy for yourself to extend QuantLib with a new type of bond
class based on sub period coupon. It will be very similar to floating rate
bond class.

Regards,
Cheng

-----邮件原件-----
发件人: fagoal [mailto:[hidden email]]
发送时间: 2017年7月1日 15:24
收件人: [hidden email]
主题: Re: [Quantlib-users] Adjustable Rate Bonds Pricing

Does quantlib 1.9 support this non-trival case?  like fixing rate frequency
is quarterly and payment frequency is semiannual.



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