Posted by
Luigi Ballabio on
URL: http://quantlib.414.s1.nabble.com/Fixed-rate-bond-tp8450p8452.html
On Mon, Jan 9, 2012 at 11:59 PM, StephenWong <
[hidden email]> wrote:
> Dagur Gunnarsson-2 wrote:
>> Is there a simple way to simulate a bond(fixed rate) that pays a single
>> coupon on the maturity day as well as the principal
>
> Looks like you can do this with a combination of a fixed rate bond with
> regular coupon (at least once a year), then subtract that with a series of
> fixed rate bonds with the same coupon but shorter duration + a series of
> zero coupon bonds with the same maturities as the series of fixed rate bonds
> except the original bond. The combination would be what you want.
Or you could just use a fixed rate bond with all coupons except the
last paying a null rate, or you can create a schedule with null
frequency. It depends on how the final payment accrues. Is the rate
accrued over the whole duration of the bond, or just a subperiod?
Luigi
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