For some bonds I work with the last coupon date is not equal to bond's maturity date. E.g. the last coupon date is April 25th, 2020 and maturity date is April 25th, 2021. I looked at Schedule class and MakeSchedule() and I don't see a clear way to reflect this. I feel it can't be that hard, though. Would appreciate if someone gives me a hint. Thank you!
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$\begingroup$ To check that I understand: do you mean that the last coupon is paid in 2020 and only the redemption is paid upon maturity in 2021? $\endgroup$– Luigi BallabioCommented Apr 29, 2014 at 7:37
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You can obtain the desired effect by tweaking the bond construction.
For instance, let's say you're creating a 4-years bond with semiannual coupons paying 3%, but missing the last. This makes for 7 coupons. Instead, you'll create the schedule as usual (so you have 8 periods), but specify a null last coupon when creating the bond. So:
Schedule schedule = ...; // as for a "normal" bond;
std::vector<Rate> coupons(8, 0.03); // 8 coupons...
coupons.back() = 0.0; // but the last one pays 0%.
FixedRateBond bond(settlementDays, faceAmount,
schedule, coupon,
accrualDayCounter);
This will give you the correct price; the disadvantage is that you'll have a coupon paying 0%, which is less clean than having just the ones that actually exist. If this turns out to be a problem, you can inherit from FixedRateCouponBond and delete the coupon in the constructor. But I would guess it's way easier to just filter out null cash flows in your client code.
You can use the same trick for most kinds of bond; e.g., for floating-rate bonds you can cancel the last coupon by passing a null gearing.
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$\begingroup$ Thank you! I did not quite get the idea about inheriting from FixedRateCouponBond, but the first method should work. By the way -- is there an easy way to calculate the number of coupon payments given the issue and maturity dates? For now I just use maturityDate.year() - issueDate.year() and then adjust depending on maturityDate.month() - issueDate.month() value. I wonder if there is more elegant way to calculate the # of coupon payments. $\endgroup$– user7922Commented Apr 30, 2014 at 20:32
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$\begingroup$ Once you have build the schedule, you can retrieve the number of coupons as
schedule.size()-1. $\endgroup$ Commented Apr 30, 2014 at 20:58 -
$\begingroup$ I wonder if there is another way to implement this? One shortcoming of this approach is that, if the settlement date falls between last coupon date and maturity date, when I call accruedDays(bond, settlementDate), it will return a non-zero accrued days (while the accrued days should be zero) $\endgroup$– user15519Commented Mar 3, 2015 at 13:56
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$\begingroup$ @LauraLe I converted your answer to a comment as it was not really an answer to the question asked. If you want to, you can elaborate a bit more and ask a new question. $\endgroup$– Bob Jansen ♦Commented Mar 3, 2015 at 14:17
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$\begingroup$ As I mentioned, another way to implement this would be to inherit from
FixedRateCouponBondand delete the coupon in the constructor. $\endgroup$ Commented Mar 5, 2015 at 10:35