AFAIK, there is not such class coupon in QuantLib. But you can always create you’re a coupon with hard coded fixed date, like:
https://github.com/lballabio/QuantLib/blob/master/ql/cashflows/indexedcashflow.hpp
发件人: fagoal [mailto:[hidden email]]
发送时间: 2017年7月3日 17:48
收件人: [hidden email]
主题: [Quantlib-users] 回复：答复: Adjustable Rate Bonds Pricing
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
发自我的iPhone
------------------ 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？
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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
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