Posted by
Luigi Ballabio on
URL: http://quantlib.414.s1.nabble.com/Questions-about-Schedule-and-FixedRateBond-tp7683p7685.html
On Wed, May 23, 2012 at 2:44 PM, Chris Rohlfs <
[hidden email]> wrote:
> Dear QuantLib users,
>
> Am I correct that a typical U.S. Treasury note would require the following
> modifications to the Schedule from the example in Bonds.cpp?:
>
> BusinessDayConvention convention=Following,
> BusinessDayConvention terminationDateConvention=Following, and
> bool endOfMonth = true
>
> and also BusinessDayConvention paymentConvention=Following in the
> FixedRateBond definition?
Hi Chris,
I'm not familiar with the typical U.S. Treasury rules, but the
above do match those you sketched better than the ones in the example.
Let me know if you get confirmation so I can fix it.
As for the input for schedule and other classes, you're right about
the lack of documentation but I'm afraid I don't have much time to
cover them now. Is there anything in particular that it's not clear?
Luigi
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