Re: 答复: Adjustable Rate Bonds Pricing

Posted by Peter Caspers-4 on Jul 02, 2017; 7:09pm
URL: http://quantlib.414.s1.nabble.com/Adjustable-Rate-Bonds-Pricing-tp5756p18375.html

Hi Cheng, Fagoal,

I think you can also make do without creating a new class, simply set up a leg of sub period coupons (which you can take from QuantLib or ORE / QuantExt, the latter being a bit more general, if needed) and then pass this leg into the generic Bond constructor (see bond.hpp)

        Bond(Natural settlementDays,
             const Calendar& calendar,
             const Date& issueDate = Date(),
             const Leg& coupons = Leg());

The leg only needs to contain the coupons, amortisation and redemption flows are added automatically based on the notional information that comes with the coupons.

Best Regards
Peter

> On 02 Jul 2017, at 16:42, cheng li <[hidden email]> wrote:
>
> 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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> 73.html
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