Re: [Quantlib-dev] I need some tips about Coercion

[Piter D. <pit...@pi...>]

Nando/Eric,

> Could you provide an example: ISIN and expected cash flow schedule?

Find attached a spreadsheet that replicates schedule and pricing given the
ISIN, yield and calculation date. The QuantLib patch file is included as
well.

> btw I'm going to commit a fix removing the unused dayCounter parameter
> in the FixedRateCoupon InterestRate-based constructor, which should
> make my point above more evident.

We were working in the same direction but I included a FixedRateBond
constructor that accepts a vector of QuantLib::InterestRate as well. The
Brazilian bonds test was changed to use it because it is much more clear
than the old one (using QuantLib::Bond class).

I included a patch for QuantLibXL just in case you are interest in my
experiments. I created qlnewFixedRateBond (includes Compounding and
Frequency qlFixedRateBond) and qlnew2FixedRateBond (changes the coupon
paramenter of qlFixedRateBond ot accept a vector of
QuantLib::InterestRate).

The qlnew2FixedRateBond is pretty cool but should have the DayCounter
parameter removed once it is implicit in the coupons (it is proof of
concept). I have no idea how it could be included in QuantLibXL. There is a
spreadsheet included showing how the function perform well generating the
cash flows.

Regards,


-------------------------

Piter Dias
pit...@pi...