http://quantlib.414.s1.nabble.com/FixedRateBond-question-tp5985.html
I am calculating the cashflow for a FixedRateBond which start paying coupons 2,37222 years after its issue date. After that period the coupons are semiannual. During the 2,37222 years period, I would like my bond to accrue Compounding interests (1.06)^2,37222-1 and not Simple interests (0,06)*2,37222 - which seems to be the Default for FixedRateBonds.
My question is, how do I make my FixedRateBond calculate Compounding interests instead of Simple??
#include <ql/quantlib.hpp>
#include <iostream>
using namespace QuantLib;
using namespace std;
int main(int, char* [])
{
Date interestFromDate(Date(1, Jun, 2011)), issueDate(Date(1, Jun, 2011)),
firstInstallmentDate(Date(15, Oct, 2016)), maturityDate(Date(15, Oct, 2016)),
firstCouponDate(Date(15, Oct, 2013));
Rate rate(0.06);
Frequency freq(Semiannual);
DayCounter dayCounter(Thirty360(Thirty360::European));
Compounding compounding(Compounded);
Schedule *schedule = new Schedule(interestFromDate,
maturityDate,
Period(freq),
Iceland(),
Unadjusted,
Unadjusted,
DateGeneration::Backward,
false,
firstCouponDate);
FixedRateBond* bond = new FixedRateBond(0,
100.0,
*schedule,
vector<Rate>(1, Rate(rate)),
dayCounter,
Unadjusted,
Real(100.0),
issueDate);
boost::shared_ptr<YieldTermStructure>
flatTermStructure(
new FlatForward(
issueDate,
Handle<Quote>(boost::shared_ptr<Quote>(new SimpleQuote(rate))),
dayCounter,
compounding,
freq));
RelinkableHandle<YieldTermStructure> discountingTermStructure(flatTermStructure);
discountingTermStructure.linkTo(flatTermStructure);
boost::shared_ptr<PricingEngine> bondEngine(new DiscountingBondEngine(discountingTermStructure));
bond->setPricingEngine(bondEngine);
std::vector <boost::shared_ptr<QuantLib::CashFlow>, std::allocator<boost::shared_ptr<QuantLib::CashFlow> > > leg = bond->cashflows();
for (unsigned i = 0; i < leg.size(); i++) {
cout<<"day["<<i<<"] is "<<leg[i]->date()<<" "<<setprecision(15)
<<dayCounter.yearFraction(Date(1, Jun, 2011), leg[i]->date())<<", cashflow["<<i<<"] is "<<leg[i]->amount()<<endl;
}
}
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