Re: [Quantlib-users] How to get the payment convention given a FixedRateBond?

[<mat...@gm...>]

Hello Jian,

You probably cannot: The Bond c'tor consumes a Leg, a dynamic array of cash flows. To get those, the payment convention has already been applied. Essentially no reason to keep memorizing it.

Maybe there is even a case where the convention can change over time, say for a bond with two coupon periods: one fixed, one structured. Not sure if it makes sense and it probably needs some extension to actually properly price the structure, but let us leave that aside. I do think, multiple Legs for one bond are possible in ORE though: https://github.com/OpenSourceRisk/Engine/blob/347f7d81b1991b5b88522e6e4793e82ddfe9be09/OREData/ored/portfolio/bond.cpp#L186

Similar can be said for the day counter, which may also be an interesting feature to obtain from a bond instance (and which also may not be unique).

So I suggest to create a wrapper around the QuantLib bond instance and store those properties if required somewhere downstream in the program flow.


HTH
Matthias


-----Original Message-----
From: jian Xu <jia...@gm...> 
Sent: Friday, 16 July, 2021 23:01
To: QuantLib users <qua...@li...>
Subject: [Quantlib-users] How to get the payment convention given a FixedRateBond?

Hi,

I'm using the Python interface of the QuantLib.  The FixedRateBond constructor can take in a payment convention (Unadjusted, ModifiedFollowing, etc).  And inside the C++ code, I can see the paymentConvention is used to construct the cashflows.  My question is, given a FixedRateBond object in Python (or more generally a Bond object), how do I get the paymentConvention out of it?  Thanks a lot.

Jian


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