Posted by
laotze00 on
URL: http://quantlib.414.s1.nabble.com/strange-bond-behavior-tp4348p4353.html
Thank for pointing that out. I might misunderstood the convention
here. I was just following the example in
/QuantLib/test-suite/bonds.cpp:
FixedCouponBond bond(issue, dated, maturity, settlementDays,
std::vector<Rate>(1, coupons[k]),
frequencies[l], bondDayCount,
calendar, convention, redemption);
How would I set the convention if I want it to refer to the "1" to
refer to dates? Thanks a lot!
On 1/13/06, Luigi Ballabio <
[hidden email]> wrote:
> On 1/12/06,
[hidden email] <
[hidden email]> wrote:
> > Hi, I noticed some strange behavior with the bond FixedCouponBond
> > class. When outputing the cashflows, the first coupon is wrong.
> > Here is my simple python code that demonstrate the problem. Thanks a lot
> > for your attention!
> >
> > from QuantLib import *
> >
> > calendar = UnitedStates()
> > settlementDays = 1
> > issue = Date(15,11,2005)
> > d1 = Date(1,12,2005)
> > mat = Date(15,11, 2010)
> > coupon = [1, 0.1]
> > bond = FixedCouponBond(issue, d1, mat, settlementDays, coupon, Annual,
> > Thirty360(), calendar)
> > flows = bond.cashflows()
> > for item in flows:
> > print item.date(), item.amount()
> >
> > output:
> >
> > November 15th, 2006 95.5555555556
> > November 15th, 2007 10.0
> > November 17th, 2008 10.0555555556
> > November 16th, 2009 9.97222222222
> > November 15th, 2010 9.97222222222
>
> In what sense is wrong? If you're referring to the large amount, it's
> because you defined the coupons as:
>
> > coupon = [1, 0.1]
>
> which means that the first coupon is 100% and the following are 10%.
> If it's referring to dates or day counts, it might be some convention
> to set. what did you expect?
>
> Later,
> Luigi
>