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Re: FixedRateCoupon question

Posted by Allen Kuo-2 on Jun 02, 2008; 4:31pm
URL: http://quantlib.414.s1.nabble.com/FixedRateCoupon-question-tp6093p6096.html

Hi: I've used ActualActual(ActualActual::Bond) in the FixedRateBond constructor to get constant cash flows. I believe the DayCounter which you set in the YieldTermStructure (passed in to DiscountingBondEngine) is the one used to calculate the discount factors to those cash flows. Allen

--- On Mon, 6/2/08, Slava Mazur <[hidden email]> wrote:
From: Slava Mazur <[hidden email]>
Subject: [Quantlib-users] FixedRateCoupon question
To: [hidden email]
Date: Monday, June 2, 2008, 12:05 PM

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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