Posted by
Luigi Ballabio on
Jun 29, 2011; 3:24pm
URL: http://quantlib.414.s1.nabble.com/Adjustable-Rate-Bonds-Pricing-tp5756p5767.html
On Sun, 2011-06-19 at 20:55 -0700, d0tc0mguy wrote:
> Thanks mudcrab. Yes, I am trying to price an bond whose floating rate resets
> quarterly and pays semiannually.
You can try and see if the classes defined in
<ql/experimental/coupons/subperiodcoupons.hpp> work for you. There's
still some work to do: for instance, there still is no function to build
a vector of them. You'll have to adapt one of the existing functions,
such as those in <ql/cashflows/cashflowvectors.hpp>. Once you have it,
you can build a bond by using the Bond class directly and passing a
vector of cashflows to its constructor.
Luigi
>
>
>
> 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
> >>
> >>
> >> --
> >>
> >> If you can't convince them, confuse them.
> >> -- Harry S. Truman
> >>
> >>
> >>
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