Re: Questions about Schedule and FixedRateBond
Posted by
Chris Rohlfs on
URL: http://quantlib.414.s1.nabble.com/Questions-about-Schedule-and-FixedRateBond-tp7683p7686.html
Luigi,
Thank you very much for your response! That's good to know. I just wanted to make sure that there wasn't some reason that I was missing for doing it the other way.
Best regards,
Chris
On Mon, May 28, 2012 at 8:35 AM, Luigi Ballabio
<[hidden email]> wrote:
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?
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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