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FixedRateCoupon question

Posted by Slava Mazur on Jun 02, 2008; 4:05pm
URL: http://quantlib.414.s1.nabble.com/FixedRateCoupon-question-tp6093.html

Greetings,

 

I’m new to QuantLib, so if my question has already been discussed please point me to the answer.

 

I noticed that the amount of a fixed rate coupon bond is always calculated using day count convention for such a bond

(see FixedRateCoupon::amount() function for details). In reality however, many bond contracts are set up in such a way that the issuer of the bond doesn’t care about how many days passed since the previous coupon payment. For example, 10% semi-annual would pay $5 per $100 no matter what, so the cash flow amount is $5 for each coupon. In QuanLib however, the function that calculates coupon amount would give the result that slightly deviates from $5 depending on day count convention and a calendar.

 

And here is my question. Is there any way to setup a bond pricer in such a way that cash flows from coupons would be fixed (and equal to nominal / coupon frequency) and day count conventions would affect only calculation of discount factors?

 

Thanks,

 

Slava

 


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