Posted by
John Maiden on
Nov 16, 2007; 1:58pm
URL: http://quantlib.414.s1.nabble.com/Redemption-vs-Face-Value-tp5218p5221.html
Don't know what you mean by fixed settlement date. As far as I know, I set
the settlement date to today. The code looks a little confusing because it's
been parsed from a longer version, but it's a working version that returns the
values I've been talking about. Either the code is wacky (which I fully admit is
highly likely), or something is hard coded that I'm not accounting for. I tried
four different combinations of values for face value and redemption yesterday,
and I received the following four values:
Face Redemption Present Value
50 50 62.328
50 100 65.308
100 50 62.328
100 100 65.306
When I used this code earlier I had made the redemption and face value the same
value. I then used a separate function to separate the coupon values from the
bond, and found that these increments scaled like I expected to, i.e. the bond
with a $10 face value/redemption had coupons that were 1/10 of a bond with a
$100 face value/redemption. Yet the final values were only a few dollars away
from each other.
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