Re: Adjustable Rate Bonds Pricing

Posted by d0tc0mguy on Jun 16, 2011; 8:31am
URL: http://quantlib.414.s1.nabble.com/Adjustable-Rate-Bonds-Pricing-tp5756p5761.html

Hi Luigi,

Thanks for the reply.

So, if I have cashflows on 21th October 2010 and 21th October 2011 for a floating rate bonds. And, the floating coupon would be fixed on 20th October 2010 and 20th October 2011. how should i pass this information? (by setting the fixingdays = -1. Is it?)

Best,
Das

<quote author="Luigi Ballabio">
On Wed, 2011-06-15 at 22:31 -0700, d0tc0mguy wrote:
> If I just set the fixingdates as -1  would it work the same way.

That's because the coupon won't look for fixings in the timeseries for
future dates.  It sees they're in the future and forecasts the fixing on
the risk-free curve.  If you want the bond to have predetermined rates,
why not use a fixed-rate bond?

Luigi