Re: cashflows in fixedcouponbond

Posted by Luigi Ballabio on
URL: http://quantlib.414.s1.nabble.com/cashflows-in-fixedcouponbond-tp4249p4250.html

On 11/23/2005 05:16:23 PM, Brad wrote:
> I was poking around in FixedCouponBond (QL 3.10), and tried to print
> out the cashflows that it generates.
>
> It looks as if when the coupon dates need to be adjusted this affects  
> the amount of the cashflows.
>
> Now here is the (possibly stupid) question: I would have expected  
> that although the date might be adjusted, the actual amount paid is  
> not (that's the impression I got from reading standard textbooks)

Don't trust everything you read in textbooks :)

The amounts are indeed calculated based on the adjusted accrual period.  
However, different day-count conventions can depend in a smaller or a  
larger way from the underlying period. For instance, if you choose  
actual/actual ISMA---which, I think, is the convention for US  
government bonds---you should get 5 for all periods.

Later,
        Luigi

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