回复:答复: Adjustable Rate Bonds Pricing

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回复:答复: Adjustable Rate Bonds Pricing

fagoal
Ok,i will try it. Another question , this solution supports calculation of a coupon which is divided into several parts, for example payment semiannual,fixing 3month,but does it support payment 1month , and fixing 6mont? which means that one rate fixing determines next several coupon payment

发自我的iPhone


------------------ 原始邮件 ------------------
发件人: cheng li <[hidden email]>
发送时间: 2017年7月3日 11:43
收件人: '冬' <[hidden email]>
主题: 回复:答复: 回复:答复: [Quantlib-users] Adjustable Rate Bonds Pricing

FYI. I attached the Peter Casper’s answer which should be an easier solution. It still use sub period coupon. However there is no need to create a new class.

 

Regards,

Cheng

 

发件人: [hidden email] [mailto:[hidden email]代表 
发送时间: 201773 11:00
收件人: cheng li <[hidden email]>
主题: 回复:答复: [Quantlib-users] Adjustable Rate Bonds Pricing

 

I am using floatingratebond to do the job but it does'n work . So what you mean is that  i need to create a new instrument like floatingratebond and using the subperiodcoupon to solve this case

发自我的iPhone

 

------------------ 原始邮件 ------------------

发件人: cheng li <[hidden email]>

发送时间: 201772 22:42

收件人: 'fagoal' <[hidden email]>, quantlib-users <[hidden email]>

主题: 回复:答复: [Quantlib-users] Adjustable Rate Bonds Pricing


Hi Fagoal,

Floating rate bond class under the instruments folder should partially meets
your requirements:

https://github.com/lballabio/QuantLib/blob/master/ql/instruments/bonds/float
ingratebond.hpp

This is a bond with variable rate linked to a ibor index.

According to your further description, you are looking forward to the sub
period coupon class under QuantLib experimental folder:

https://github.com/lballabio/QuantLib/blob/master/ql/experimental/coupons/su
bperiodcoupons.hpp

Peter Casper has another similar version of  this in his open risk engine
project:

https://github.com/OpenSourceRisk/Engine/blob/master/QuantExt/qle/cashflows/
subperiodscoupon.hpp

also based on QuantLib.

It should be easy for yourself to extend QuantLib with a new type of bond
class based on sub period coupon. It will be very similar to floating rate
bond class.

Regards,
Cheng

-----
邮件原件-----
发件人: fagoal [[hidden email]
发送时间: 201771 15:24
收件人[hidden email]
主题: Re: [Quantlib-users] Adjustable Rate Bonds Pricing

Does quantlib 1.9 support this non-trival case?  like fixing rate frequency
is quarterly and payment frequency is semiannual.



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------------------ 原始邮件 ------------------
发件人: Peter Caspers-4 [via QuantLib] <[hidden email]>
发送时间: 2017年7月3日 03:12
收件人: fagoal <[hidden email]>
主题: 回复:答复: Adjustable Rate Bonds Pricing

Hi Cheng, Fagoal,

I think you can also make do without creating a new class, simply set up a leg of sub period coupons (which you can take from QuantLib or ORE / QuantExt, the latter being a bit more general, if needed) and then pass this leg into the generic Bond constructor (see bond.hpp)

        Bond(Natural settlementDays,
             const Calendar& calendar,
             const Date& issueDate = Date(),
             const Leg& coupons = Leg());

The leg only needs to contain the coupons, amortisation and redemption flows are added automatically based on the notional information that comes with the coupons.

Best Regards
Peter

> On 02 Jul 2017, at 16:42, cheng li <[hidden email]> wrote:
>
> Hi Fagoal,
>
> Floating rate bond class under the instruments folder should partially meets
> your requirements:
>
> https://github.com/lballabio/QuantLib/blob/master/ql/instruments/bonds/float
> ingratebond.hpp
>
> This is a bond with variable rate linked to a ibor index.
>
> According to your further description, you are looking forward to the sub
> period coupon class under QuantLib experimental folder:
>
> https://github.com/lballabio/QuantLib/blob/master/ql/experimental/coupons/su
> bperiodcoupons.hpp
>
> Peter Casper has another similar version of  this in his open risk engine
> project:
>
> https://github.com/OpenSourceRisk/Engine/blob/master/QuantExt/qle/cashflows/
> subperiodscoupon.hpp
>
> also based on QuantLib.
>
> It should be easy for yourself to extend QuantLib with a new type of bond
> class based on sub period coupon. It will be very similar to floating rate
> bond class.
>
> Regards,
> Cheng
>
> -----邮件原件-----
> 发件人: fagoal [mailto:[hidden email]]
> 发送时间: 2017年7月1日 15:24
> 收件人: [hidden email]
> 主题: Re: [Quantlib-users] Adjustable Rate Bonds Pricing
>
> Does quantlib 1.9 support this non-trival case?  like fixing rate frequency
> is quarterly and payment frequency is semiannual.
>
>
>
> --
> View this message in context:
> http://quantlib.10058.n7.nabble.com/Adjustable-Rate-Bonds-Pricing-tp5756p183
> 73.html
> Sent from the quantlib-users mailing list archive at Nabble.com.
>
> ----------------------------------------------------------------------------
> --
> Check out the vibrant tech community on one of the world's most engaging
> tech sites, Slashdot.org! http://sdm.link/slashdot
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> [hidden email]
> https://lists.sourceforge.net/lists/listinfo/quantlib-users
>
>
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答复: 回复:答复: Adjustable Rate Bonds Pricing

cheng li

AFAIK, there is not such class coupon in QuantLib. But you can always create youre a coupon with hard coded fixed date, like:

 

https://github.com/lballabio/QuantLib/blob/master/ql/cashflows/indexedcashflow.hpp

 

 

 

发件人: fagoal [mailto:[hidden email]]
发送时间: 201773 17:48
收件人: [hidden email]
主题: [Quantlib-users] 回复:答复: Adjustable Rate Bonds Pricing

 

Oki will try it. Another question , this solution supports calculation of a coupon which is divided into several parts, for example payment semiannualfixing 3monthbut does it support payment 1month , and fixing 6mont? which means that one rate fixing determines next several coupon payment

 

发自我的iPhone

 

------------------ 原始邮件 ------------------

发件人: cheng li <[hidden email]>

发送时间: 201773 11:43

收件人: '' <[hidden email]>

主题: 回复:答复: 回复:答复: [Quantlib-users] Adjustable Rate Bonds Pricing

 

FYI. I attached the Peter Casper’s answer which should be an easier solution. It still use sub period coupon. However there is no need to create a new class.

 

Regards,

Cheng

 

发件人: [hidden email] [mailto:[hidden email]代表 
发送时间: 201773 11:00
收件人: cheng li <[hidden email]>
主题: 回复:答复: [Quantlib-users] Adjustable Rate Bonds Pricing

 

I am using floatingratebond to do the job but it does'n work . So what you mean is that  i need to create a new instrument like floatingratebond and using the subperiodcoupon to solve this case

发自我的iPhone

 

------------------ 原始邮件 ------------------

发件人: cheng li <[hidden email]>

发送时间: 201772 22:42

收件人: 'fagoal' <[hidden email]>, quantlib-users <[hidden email]>

主题: 回复:答复: [Quantlib-users] Adjustable Rate Bonds Pricing


Hi Fagoal,

Floating rate bond class under the instruments folder should partially meets
your requirements:

https://github.com/lballabio/QuantLib/blob/master/ql/instruments/bonds/float
ingratebond.hpp

This is a bond with variable rate linked to a ibor index.

According to your further description, you are looking forward to the sub
period coupon class under QuantLib experimental folder:

https://github.com/lballabio/QuantLib/blob/master/ql/experimental/coupons/su
bperiodcoupons.hpp

Peter Casper has another similar version of  this in his open risk engine
project:

https://github.com/OpenSourceRisk/Engine/blob/master/QuantExt/qle/cashflows/
subperiodscoupon.hpp

also based on QuantLib.

It should be easy for yourself to extend QuantLib with a new type of bond
class based on sub period coupon. It will be very similar to floating rate
bond class.

Regards,
Cheng

-----邮件原件-----
发件人: fagoal [[hidden email]
发送时间: 201771 15:24
收件人[hidden email]
主题: Re: [Quantlib-users] Adjustable Rate Bonds Pricing

Does quantlib 1.9 support this non-trival case?  like fixing rate frequency
is quarterly and payment frequency is semiannual.



--
View this message in context:
http://quantlib.10058.n7.nabble.com/Adjustable-Rate-Bonds-Pricing-tp5756p183
73.html
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发自我的iPhone

 

------------------ 原始邮件 ------------------

发件人: Peter Caspers-4 [via QuantLib] <[hidden email]>

发送时间: 201773 03:12

收件人: fagoal <[hidden email]>

主题: 回复:答复: Adjustable Rate Bonds Pricing


Hi Cheng, Fagoal,

I think you can also make do without creating a new class, simply set up a leg of sub period coupons (which you can take from QuantLib or ORE / QuantExt, the latter being a bit more general, if needed) and then pass this leg into the generic Bond constructor (see bond.hpp)

        Bond(Natural settlementDays,
             const Calendar& calendar,
             const Date& issueDate = Date(),
             const Leg& coupons = Leg());

The leg only needs to contain the coupons, amortisation and redemption flows are added automatically based on the notional information that comes with the coupons.

Best Regards
Peter


> On 02 Jul 2017, at 16:42, cheng li <[hidden email]> wrote:
>
> Hi Fagoal,
>
> Floating rate bond class under the instruments folder should partially meets
> your requirements:
>
> https://github.com/lballabio/QuantLib/blob/master/ql/instruments/bonds/float
> ingratebond.hpp
>
> This is a bond with variable rate linked to a ibor index.
>
> According to your further description, you are looking forward to the sub
> period coupon class under QuantLib experimental folder:
>
> https://github.com/lballabio/QuantLib/blob/master/ql/experimental/coupons/su
> bperiodcoupons.hpp
>
> Peter Casper has another similar version of  this in his open risk engine
> project:
>
> https://github.com/OpenSourceRisk/Engine/blob/master/QuantExt/qle/cashflows/
> subperiodscoupon.hpp
>
> also based on QuantLib.
>
> It should be easy for yourself to extend QuantLib with a new type of bond
> class based on sub period coupon. It will be very similar to floating rate
> bond class.
>
> Regards,
> Cheng
>
> -----邮件原件-----
> 发件人: fagoal [mailto:[hidden email]]
> 发送时间: 201771 15:24
> 收件人: [hidden email]
> 主题: Re: [Quantlib-users] Adjustable Rate Bonds Pricing
>
> Does quantlib 1.9 support this non-trival case?  like fixing rate frequency
> is quarterly and payment frequency is semiannual.
>
>
>
> --
> View this message in context:
> http://quantlib.10058.n7.nabble.com/Adjustable-Rate-Bonds-Pricing-tp5756p183
> 73.html
> Sent from the quantlib-users mailing list archive at Nabble.com.
>
> ----------------------------------------------------------------------------
> --
> Check out the vibrant tech community on one of the world's most engaging
> tech sites, Slashdot.org! http://sdm.link/slashdot
> _______________________________________________
> QuantLib-users mailing list
> [hidden email]
> https://lists.sourceforge.net/lists/listinfo/quantlib-users
>
>
> ------------------------------------------------------------------------------
> Check out the vibrant tech community on one of the world's most
> engaging tech sites, Slashdot.org! http://sdm.link/slashdot
> _______________________________________________
> QuantLib-users mailing list
> [hidden email]
> https://lists.sourceforge.net/lists/listinfo/quantlib-users

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Re: 答复: 回复:答复: Adjustable Rate Bonds Pricing

Peter Caspers-4
I am not aware of such a class either. You can try to use the fixingDays parameter in IborCoupon to match the desired fixing date, but that is obviously not a good solution. I’d like to support a fixing date given as a date instead of fixing days in FloatingRateCoupon and deduced coupon classes. Luigi would that make sense?

Also note that there is a convexity adjustment involved for averaged coupons (because of delayed payments), it looks this is ignored in the sub periods coupon pricer. I guess this is easy to fix (a possible, Black-stlye adjustment is already implemented in the ibor coupon pricer). 

On 03 Jul 2017, at 18:51, cheng li <[hidden email]> wrote:

AFAIK, there is not such class coupon in QuantLib. But you can always create youre a coupon with hard coded fixed date, like:
 
 
 
 
发件人: fagoal [[hidden email]] 
发送时间: 201773 17:48
收件人: [hidden email]
主题: [Quantlib-users] 回复:答复: Adjustable Rate Bonds Pricing
 
Oki will try it. Another question , this solution supports calculation of a coupon which is divided into several parts, for example payment semiannualfixing 3monthbut does it support payment 1month , and fixing 6mont? which means that one rate fixing determines next several coupon payment
 
发自我的iPhone

 

------------------ 原始邮件 ------------------
发件人: cheng li <<a href="x-msg://644/user/SendEmail.jtp?type=node&amp;node=18376&amp;i=0" target="_top" style="color: purple; text-decoration: underline;" class="">[hidden email]>
发送时间: 201773 11:43
收件人: '' <<a href="x-msg://644/user/SendEmail.jtp?type=node&amp;node=18376&amp;i=1" target="_top" style="color: purple; text-decoration: underline;" class="">[hidden email]>
主题: 回复:答复: 回复:答复: [Quantlib-users] Adjustable Rate Bonds Pricing
 
FYI. I attached the Peter Casper’s answer which should be an easier solution. It still use sub period coupon. However there is no need to create a new class.
 
Regards,
Cheng
 
发件人: <a href="x-msg://644/user/SendEmail.jtp?type=node&amp;node=18376&amp;i=2" target="_top" style="color: purple; text-decoration: underline;" class="">[hidden email] [mailto:<a href="x-msg://644/user/SendEmail.jtp?type=node&amp;node=18376&amp;i=3" target="_top" style="color: purple; text-decoration: underline;" class="">[hidden email]] 代表 
发送时间: 201773 11:00
收件人: cheng li <<a href="x-msg://644/user/SendEmail.jtp?type=node&amp;node=18376&amp;i=4" target="_top" style="color: purple; text-decoration: underline;" class="">[hidden email]>
主题: 回复:答复: [Quantlib-users] Adjustable Rate Bonds Pricing
 
I am using floatingratebond to do the job but it does'n work . So what you mean is that  i need to create a new instrument like floatingratebond and using the subperiodcoupon to solve this case
发自我的iPhone

 

------------------ 原始邮件 ------------------
发件人: cheng li <<a href="x-msg://644/user/SendEmail.jtp?type=node&amp;node=18376&amp;i=5" target="_top" style="color: purple; text-decoration: underline;" class="">[hidden email]>
发送时间: 201772 22:42
收件人: 'fagoal' <<a href="x-msg://644/user/SendEmail.jtp?type=node&amp;node=18376&amp;i=6" target="_top" style="color: purple; text-decoration: underline;" class="">[hidden email]>, quantlib-users <<a href="x-msg://644/user/SendEmail.jtp?type=node&amp;node=18376&amp;i=7" target="_top" style="color: purple; text-decoration: underline;" class="">[hidden email]>
主题: 回复:答复: [Quantlib-users] Adjustable Rate Bonds Pricing


Hi Fagoal,

Floating rate bond class under the instruments folder should partially meets
your requirements:

https://github.com/lballabio/QuantLib/blob/master/ql/instruments/bonds/float
ingratebond.hpp

This is a bond with variable rate linked to a ibor index.

According to your further description, you are looking forward to the sub
period coupon class under QuantLib experimental folder:

https://github.com/lballabio/QuantLib/blob/master/ql/experimental/coupons/su
bperiodcoupons.hpp

Peter Casper has another similar version of  this in his open risk engine
project:

https://github.com/OpenSourceRisk/Engine/blob/master/QuantExt/qle/cashflows/
subperiodscoupon.hpp

also based on QuantLib.

It should be easy for yourself to extend QuantLib with a new type of bond
class based on sub period coupon. It will be very similar to floating rate
bond class.

Regards,
Cheng

-----邮件原件-----
发件人: fagoal [<a href="x-msg://644/user/SendEmail.jtp?type=node&amp;node=18376&amp;i=8" target="_top" style="color: purple; text-decoration: underline;" class="">[hidden email]] 
发送时间: 201771 15:24
收件人: <a href="x-msg://644/user/SendEmail.jtp?type=node&amp;node=18376&amp;i=9" target="_top" style="color: purple; text-decoration: underline;" class="">[hidden email]
主题: Re: [Quantlib-users] Adjustable Rate Bonds Pricing

Does quantlib 1.9 support this non-trival case?  like fixing rate frequency
is quarterly and payment frequency is semiannual.



--
View this message in context:
http://quantlib.10058.n7.nabble.com/Adjustable-Rate-Bonds-Pricing-tp5756p183
73.html
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发自我的iPhone

 

------------------ 原始邮件 ------------------
发件人: Peter Caspers-4 [via QuantLib] <<a href="x-msg://644/user/SendEmail.jtp?type=node&amp;node=18376&amp;i=11" target="_top" style="color: purple; text-decoration: underline;" class="">[hidden email]>
发送时间: 201773 03:12
收件人: fagoal <<a href="x-msg://644/user/SendEmail.jtp?type=node&amp;node=18376&amp;i=12" target="_top" style="color: purple; text-decoration: underline;" class="">[hidden email]>
主题: 回复:答复: Adjustable Rate Bonds Pricing

Hi Cheng, Fagoal, 

I think you can also make do without creating a new class, simply set up a leg of sub period coupons (which you can take from QuantLib or ORE / QuantExt, the latter being a bit more general, if needed) and then pass this leg into the generic Bond constructor (see bond.hpp) 

        Bond(Natural settlementDays, 
             const Calendar& calendar, 
             const Date& issueDate = Date(), 
             const Leg& coupons = Leg()); 

The leg only needs to contain the coupons, amortisation and redemption flows are added automatically based on the notional information that comes with the coupons. 

Best Regards 
Peter 

> On 02 Jul 2017, at 16:42, cheng li <<a href="x-msg://644/user/SendEmail.jtp?type=node&amp;node=18375&amp;i=0" target="_top" style="color: purple; text-decoration: underline;" class="">[hidden email]> wrote: 
> 
> Hi Fagoal, 
> 
> Floating rate bond class under the instruments folder should partially meets 
> your requirements: 
> 
> https://github.com/lballabio/QuantLib/blob/master/ql/instruments/bonds/float
> ingratebond.hpp 
> 
> This is a bond with variable rate linked to a ibor index. 
> 
> According to your further description, you are looking forward to the sub 
> period coupon class under QuantLib experimental folder: 
> 
> https://github.com/lballabio/QuantLib/blob/master/ql/experimental/coupons/su
> bperiodcoupons.hpp 
> 
> Peter Casper has another similar version of  this in his open risk engine 
> project: 
> 
> https://github.com/OpenSourceRisk/Engine/blob/master/QuantExt/qle/cashflows/
> subperiodscoupon.hpp 
> 
> also based on QuantLib. 
> 
> It should be easy for yourself to extend QuantLib with a new type of bond 
> class based on sub period coupon. It will be very similar to floating rate 
> bond class. 
> 
> Regards, 
> Cheng 
> 
> -----邮件原件----- 
> 发件人: fagoal [mailto:<a href="x-msg://644/user/SendEmail.jtp?type=node&amp;node=18375&amp;i=1" target="_top" style="color: purple; text-decoration: underline;" class="">[hidden email]] 
> 发送时间: 201771 15:24 
> 收件人: <a href="x-msg://644/user/SendEmail.jtp?type=node&amp;node=18375&amp;i=2" target="_top" style="color: purple; text-decoration: underline;" class="">[hidden email] 
> 主题: Re: [Quantlib-users] Adjustable Rate Bonds Pricing 
> 
> Does quantlib 1.9 support this non-trival case?  like fixing rate frequency 
> is quarterly and payment frequency is semiannual. 
> 
> 
> 
> -- 
> View this message in context: 
> http://quantlib.10058.n7.nabble.com/Adjustable-Rate-Bonds-Pricing-tp5756p183
> 73.html 
> Sent from the quantlib-users mailing list archive at Nabble.com. 
> 
> ---------------------------------------------------------------------------- 
> -- 
> Check out the vibrant tech community on one of the world's most engaging 
> tech sites, Slashdot.org! http://sdm.link/slashdot
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> 
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