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Re: FixedRateCoupon question

Posted by Piter Dias-3 on Jun 02, 2008; 9:57pm
URL: http://quantlib.414.s1.nabble.com/FixedRateCoupon-question-tp6093p6095.html

Allen,

I had this issue while developing TestSuite for a Brazilian Bond. You can
check "void BondTest::testBrazilianCached()" the way I solved this.

If you change
couponRates[0] = InterestRate(0.1,Thirty360(),Compounded,Annual);
// gives you 4,880885% per semester

to

couponRates[0] = InterestRate(0.1,Thirty360(),Simple,Annual);
// gives you 5% per semester.

You would have the result you want.

There are simpler ways to that for for Simple rates (it wasn`t my case) but
you can get more complex schedules with this approach.

Regards,



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