Posted by
Chris Rohlfs on
URL: http://quantlib.414.s1.nabble.com/Questions-about-Schedule-and-FixedRateBond-tp7683.html
Dear QuantLib Users,
I'm new to C++, QuantLib, and finance generally, and I apologize for asking some fairly simple questions. They are about institutional details with bonds and the following code in Bonds.cpp:
// Fixed 4.5% US Treasury Note
Schedule fixedBondSchedule(Date(15, May, 2007),
Date(15,May,2017), Period(Semiannual),
UnitedStates(UnitedStates::GovernmentBond),
Unadjusted, Unadjusted, DateGeneration::Backward, false);
FixedRateBond fixedRateBond(
settlementDays,
faceAmount,
fixedBondSchedule,
std::vector<Rate>(1, 0.045),
ActualActual(ActualActual::Bond),
ModifiedFollowing,
100.0, Date(15, May, 2007));
Why are the business day corrections "Unadjusted" for the Schedule class and "ModifiedFollowing" for the FixedRateBond class? Do these differences have to do with to the interest accrual versus delivery dates?
Also, I've seen a treasury note that was issued on April 30th and had a coupon date of October 31st (even though 10/30 was a weekday), and I imagine that it's standard for notes issued at the end of the month to deliver coupons at the end of the month, even if the day of month doesn't match up--is that right? Does this payment schedule take that end of month feature into account?
Finally, could anyone recommend sources that describe (a) the exact role of each input in the Schedule & other classes and (b) exactly what the date conventions are for T-notes?
Thank you very much for your time,
Chris
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