Re: Adjustable Rate Bonds Pricing

Posted by d0tc0mguy on Jun 20, 2011; 3:55am
URL: http://quantlib.414.s1.nabble.com/Adjustable-Rate-Bonds-Pricing-tp5756p5766.html

Thanks mudcrab. Yes, I am trying to price an bond whose floating rate resets quarterly and pays semiannually.

mudcrab wrote

Perhaps d0tc0mguy refers to a case like the Canadian Swap Convention where
the floating rate resets Quarterly and pays Semiannually -- would this be
non-trivial to implement?

> On Thu, 2011-06-16 at 01:56 -0700, d0tc0mguy wrote:
>>
>> One last question.
>>
>> What if the repricing frequency and the payment frequency are different?
>
> Sorry, I'm probably not familiar with the instrument.  What do you mean
> by repricing frequency?
>
> Luigi
>
>
> --
>
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> -- Harry S. Truman
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