The problem is to calculate the cash flow schedule for a simple fixed rate loan where principal amortization periodicity is not equal to interest payment periodicity. For example, amortization is every 6 months and interest is paid every month. The key difficulty in implementing this via TradeType = Bond is that the ORE will pay interest on each amortization date

Has anyone solved a similar task?

  • $\begingroup$ I'm a little confused by your question: are there some dates where some principal is paid, but not interest - this happens in practice, and is hard to do in many libraries - or just some dates where interest is paid and zero principal is paid? $\endgroup$ Sep 27 at 12:52
  • $\begingroup$ The first case - there are some dates where some principal is paid, but not interest $\endgroup$
    – SergeyS
    Sep 27 at 13:12
  • $\begingroup$ OK, it wasn't clear. Yes, it's pretty common with loans, but many libraries, including Quantlib, which ORE uses heavily,don't bother implementing this feature because it's tricky: the interest accrued over a period duing which the outstanding principal varies. I mentioned it here quant.stackexchange.com/questions/58919/… $\endgroup$ Sep 27 at 13:23
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    $\begingroup$ @DimitriVulis thank you for the answer. It's very sad $\endgroup$
    – SergeyS
    Sep 27 at 13:34
  • $\begingroup$ You may find these earlier discussions helpful quant.stackexchange.com/questions/72029 quant.stackexchange.com/questions/48613 $\endgroup$ Sep 27 at 14:45


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