Re: [Quantlib-dev] help with amortizing notionals

[Simon I. <s.i...@gm...>]

Hi Pepe,

I'm afraid that I'm on holiday at the moment - won't be back at my desk for
about 10 days. Also, after I wrote the code, Luigi did some modifications -
so I can't be certain that the code in the library will work.
As the code that uses a simple sinking schedule also doesn't work (and
therefore has nothing to do with how you've input the notional schedule) I'd
guess that there is a problem with the code.
Can you send me the full file - I can't get to the repository on this PC?
Thanks,
Simon

On Wed, Nov 5, 2008 at 7:01 AM, Jose Aparicio-Navarro <ja...@fr...>wrote:

>
> Hi all, I am failing to create an amortizing notional bond schedule and I
> am not
> sure whether I am misinterpreting the way I have to pass the data or a
> REQUIRE
> is written with the test condition in the reverse direction.
>
> I create the bond:
>
>    DayCounter dayCtr = ActualActual();
>
>    Real bondFaceVal = 1000000.0;
>    Real redemption  = 100.0;
>    Date bondMaturity(todaysDate + Period(3, Years));
>
>    Schedule scheFix(todaysDate,
>                     bondMaturity,
>                     Period(3,TimeUnit::Months),
>                     TARGET(),
>                     ModifiedFollowing,
>                     ModifiedFollowing,
>                     DateGeneration::Backward,
>                     false);
>
>    std::vector<Real> notionls(5, bondFaceVal);
>    notionls.insert(notionls.end(), 4, bondFaceVal/10.);
>    notionls.insert(notionls.end(), 4, bondFaceVal/100.);
>
>    boost::shared_ptr<AmortizingFixedRateBond> amortFix(
>      new AmortizingFixedRateBond(0,
>        notionls, scheFix, std::vector<Rate>(1, 0.05),
>        dayCtr, ModifiedFollowing,
>        std::vector<Real>(1, 100.)));
>
>
> I fail the REQUIRE (line 508 in bond.cpp) at the second notional insertion
> in
>
> void Bond::calculateNotionalsFromCashflows()
>
>
> When constructing the bond with a sinking freq I get the same test failure:
>
>    boost::shared_ptr<AmortizingFixedRateBond> amortFix(
>      new AmortizingFixedRateBond(0,
>        TARGET(), bondFaceVal, todaysDate,
>        Period(3, Months), Frequency::Monthly, 0.05,
>        dayCtr, ModifiedFollowing, todaysDate));
>
>
> Regards
> Pepe
>
>