Perpetual Bond

Posted by Leon Sit on Apr 05, 2011; 4:00pm
URL: http://quantlib.414.s1.nabble.com/Perpetual-Bond-tp8497.html

Hi all

I need to price some perpetual bonds (fixed, floating and step-up) with the assumption that the discount curve will be constant after certain time. I notice that the yieldtermstructure support extrapolation. What is the best way to go about doing it in QuantLib? Can I just move the maturity of the bond long enough to get a good approximation or I should reimplement instruments for perpetuities?

Thanks tons.

Sincerely

Leon

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