QuantLib - 回复：答复: Adjustable Rate Bonds Pricing

回复：答复: Adjustable Rate Bonds Pricing

Posted by fagoal on Jul 03, 2017; 9:47am
URL: http://quantlib.414.s1.nabble.com/Adjustable-Rate-Bonds-Pricing-tp18376.html

Ok，i will try it. Another question , this solution supports calculation of a coupon which is divided into several parts, for example payment semiannual，fixing 3month，but does it support payment 1month , and fixing 6mont? which means that one rate fixing determines next several coupon payment

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------------------ 原始邮件 ------------------

发件人: cheng li <[hidden email]>

发送时间: 2017年7月3日 11:43

收件人: '冬' <[hidden email]>

主题: 回复：答复: 回复：答复: [Quantlib-users] Adjustable Rate Bonds Pricing

FYI. I attached the Peter Casper’s answer which should be an easier solution. It still use sub period coupon. However there is no need to create a new class.

Regards,

Cheng

发件人: [hidden email] [mailto:[hidden email]] 代表冬
发送时间: 2017年7月3日 11:00
收件人: cheng li <[hidden email]>
主题: 回复：答复: [Quantlib-users] Adjustable Rate Bonds Pricing

I am using floatingratebond to do the job， but it does'n work . So what you mean is that i need to create a new instrument like floatingratebond and using the subperiodcoupon to solve this case？

发自我的iPhone

------------------ 原始邮件 ------------------

发件人: cheng li <[hidden email]>

发送时间: 2017年7月2日 22:42

收件人: 'fagoal' <[hidden email]>, quantlib-users <[hidden email]>

主题: 回复：答复: [Quantlib-users] Adjustable Rate Bonds Pricing

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 [[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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发件人: Peter Caspers-4 [via QuantLib] <[hidden email]>

发送时间: 2017年7月3日 03:12

收件人: fagoal <[hidden email]>

主题: 回复：答复: Adjustable Rate Bonds Pricing

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.
>
>
>
> --
> View this message in context:
> http://quantlib.10058.n7.nabble.com/Adjustable-Rate-Bonds-Pricing-tp5756p183
> 73.html
> Sent from the quantlib-users mailing list archive at Nabble.com.
>
> ----------------------------------------------------------------------------
> --
> Check out the vibrant tech community on one of the world's most engaging
> tech sites, Slashdot.org! http://sdm.link/slashdot
> _______________________________________________
> QuantLib-users mailing list
> [hidden email]
> https://lists.sourceforge.net/lists/listinfo/quantlib-users
>
>
> ------------------------------------------------------------------------------
> Check out the vibrant tech community on one of the world's most
> engaging tech sites, Slashdot.org! http://sdm.link/slashdot
> _______________________________________________
> QuantLib-users mailing list
> [hidden email]
> https://lists.sourceforge.net/lists/listinfo/quantlib-users

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