Posted by
Enrico Gargiulo on
URL: http://quantlib.414.s1.nabble.com/Issue-Amount-tp803p807.html
-----Original Message-----
From: FORNAROLA CHIARA [mailto:
[hidden email]]
Sent: giovedì 3 maggio 2007 12.58
To: Enrico Gargiulo
Cc:
[hidden email]
Subject: RE: [Quantlib-users] Issue Amount
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.
First of all many thanks for your reply.
I don't understand some things: first of all I cannot find a fixedratebond
class in the quantlib library. I tried using fixedcouponbond, but I don't
know how to pass it the scheduler object. I've seen in the source code
fixedcouponbond.cpp that is created a schedule passing it some parameters
from the constructor.
Sorry for my elementary questions, but I'm a beginner user of Quantlib.
Thanks
Enrico
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