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

[Luigi B. <lui...@gm...>]

Yes, you could.

Luigi


On Tue, Jul 20, 2021 at 8:16 PM David Sansom <da...@el...> wrote:

> Hi,
>
> Could you just derive MyFixedRateBond from FixedRateBond and modify the
> constructor to remember the payment convention?
>
> Best
>
> David
>
> Sent from my iPhone
>
> > On 20 Jul 2021, at 18:33, mat...@gm... wrote:
> >
> > 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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