[Quantlib-dev] Questions regarding amortizing bonds

[snovik <sn...@gm...>]

First of all, sorry for the long post. I might be looking at the problem from
my own castle and therefore miss some points. 

I can not understand why implementation of amortiting bonds is so complex
and unfriendly. 

All bond constructors use some leg helper to produce coupon cashflows of
some arbitrary notional schedule plus again some arbitrary final redemption.
I see it being as flexbile as it could be. However if I want to have an
amortizing bond I used to use a single original (not current) notional to
produce "full" coupon cash flows which where then wrapped and adjusted for
factor on each given factor date. Here factor is the bond paydown schedule,
starting from 1 at issue and going to 0 at maturity or final paydown date.

Current implementation of amortizing bond requires me to pre-calculate
already amortized (current) notionals and then send them to the bond
constructor which then uses a leg helper and so on... and at the end still
extracts amortized amounts from provided notionals.

My questions are:

First, I do not understand why I have to pre-calculate current notionals.
Factors allow for basic bond comparision and if I need to model amortisation
of bonds I am modelling factors which means that I am going to stick with my
wrapper and avoid pre-calculation currently required. If I am using historic
information to construct an amortizing bond, then factor information of much
more readily available than current notionals which again leaves me with the
wrapper.

Second, when I am looking into the code, I fail to "wrap" ;) my head around
it. Calculation of amortisation cash-flows is very straightforward if one
uses factors that there is no need to store notionals, cashflows, schedules
and redemptions and do any magic with them. I know memory if cheap these
days and should be a low concern but only if it makes code easier or faster,
not more complex ;)

Finally, I do not understand why notionals are not allowed to increase (or
be greater than final payment). There are plenty of in general amortizing
instruments which are PIK-able, i.e. when interest can be capitalized (CLOs
are like this to start with).

I hope I am not missing some major point here and would be happy to get
clarifications. Most of bonds I work with are amortizing and I find current
implementation in general useless or at minimum overly complex and
unfriendly.
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