Posted by
FORNAROLA CHIARA on
URL: http://quantlib.414.s1.nabble.com/Issue-Amount-tp803p806.html
Hi Enrico
In QuantLib you don't need to set any issue price to create a bond object.
In general, there's no need to specify the issue price of a bond unless in the bond's prospectus it is stated that the bond's yield is floored to a minimum yield which is set depending on the issue price.
In your case, since the bond you mentioned is BTPS 3 06/01/07, which is a vanilla fixed rate bond, you just need to construct a schedule given the following static bond data:
Interest Accrual Date: Tue, 01-Jun-2004
Maturity Date: Fri, 01-Jun-2007
Tenor: 6M
Calendar: Target
AccrualBDC: Unadjusted
Termination Adjustment: Unadjusted
Backward Generation: TRUE
EOM: FALSE
First Date: #N/A
Next to Last Date: #N/A
and to pass all the other require input data which are:
settlementDays: 3
paymentBDC: "Following" (is not specified in the bond prospectus I read)
FaceAmount: 100
Schedule: see above
Coupons: 3%
dayCounter: Actual/Actual (ISMA)
Redemption: 100
issueDate: If omitted, default = bond schedule first date
YieldCurve: discounting yield term structure
You construct a fixedratebond object as illustrated above and price correctly the bond in assetswap (I've checked my result against BBG's ASW <go>).
Chiara
Ps please let me know if you have a more detailed prospectus of the bond which gives you more information on its static data.
-----Original Message-----
From:
[hidden email] [mailto:
[hidden email]] On Behalf Of Enrico Gargiulo
Sent: Wednesday, May 02, 2007 4:10 PM
To: 'Ferdinando Ametrano'
Cc:
[hidden email]
Subject: Re: [Quantlib-users] Issue Amount
-----Original Message-----
From:
[hidden email] [mailto:
[hidden email]]
On Behalf Of Ferdinando Ametrano
Sent: mercoledì 2 maggio 2007 14.25
To: Enrico Gargiulo
Cc:
[hidden email]
Subject: Re: [Quantlib-users] Issue Amount
On 5/2/07, Enrico Gargiulo <
[hidden email]> wrote:
> I need to create a FixedCouponBond with issue amount = 100,27. How can
> I set the value in that object?
what exactly do you mean? issue price? face amount? what is the bond ISIN so
I can check?
ciao -- Nando
Ciao Nando,
The isin code is IT0003674238. I need to set the issue price.
Thanks
Ciao
Enrico
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