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Results tagged with floating-rate
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user 3058
6
votes
1
answer
2k
views
Pricing Fixed-To-Floater bond in QuantLib
Wandering through QuantLib's Financial instruments documentation, I noticed no class for fixed-to-floater bonds exist.
Then I was wondering what a suitable way to price such an instrument would be wi …
- 2,056
4
votes
Accepted
Automatic fixing of missing floating rate in QuantLib's addFixing()
I think to have the answer:
use qlBondPreviousCashFlowDate() pointing at your FloatingRateBond object to get the last date of payment;
use qlInterestRateIndexFixingDate() to get the fixing date refe …
- 2,056
2
votes
1
answer
2k
views
Automatic fixing of missing floating rate in QuantLib's addFixing()
Due to the periodic fixing of floating rate bonds's coupon rates, in order to calculate the bond clean price one must tell the pricing engine to account for previous LIBOR rate fixing.
If I am right …
- 2,056
7
votes
1
answer
874
views
Definition of gearings, spreads and curve in RQuantLib's Floating Rate Bond function
Consider the RQuantLib package function FloatingRateBond().
This takes as inputs gearings and spreads, whose correct definition is unknown to me.
Let I have a floating rate bond, e.g. the BACRED Flo …
- 2,056
4
votes
1
answer
2k
views
How to price a bond at specified dates in QuantLib
I am wondering what's the most efficient way (i.e. the method which involves the fewest arguments) to price a bond at a specified date, e.g. a future date (as instance, 6 months from now) in QuantLib. …
- 2,056