Re: [Quantlib-users] FixedRateBond (BulletLoan)

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

Hello Dagur,
    you probably need a more recent version of QuantLib; that check was
removed in version 1.29.  In the meantime, I wrote some actual code in
Python and I published it at <
https://www.implementingquantlib.com/2023/05/pik-bonds.html>.

Luigi


On Fri, May 19, 2023 at 4:00 PM Dagur Gunnarsson <da...@ko...> wrote:

> Thank you for your reply,
>
> I still get an error due to the increasing notionals
>
> terminate called after throwing an instance of 'QuantLib::Error'
>   what():  increasing coupon notionals
> Aborted (core dumped)
>
> I use the  bond = new Bond(0, calendar_, interestFromDate_, coupons);
> Where coupons is QuantLib::Leg coupons; and the coupons added as in the
> pseudo-code example.
>
> regards
> Dagur G
>
> On Thu, Apr 27, 2023 at 3:42 PM Luigi Ballabio <lui...@gm...>
> wrote:
>
>> For a fixed-rate bullet bond, I'd try building the coupons manually, as
>> in (pseudo-code, not tested, take with a grain of salt):
>>
>>     Leg coupons;
>>     coupons.push_back(ext::make_shared<FixedRateCoupon>(date[0], 100,
>> ...));
>>     for (each other coupon) {
>>         const auto& last = coupons.back();
>>         coupons.push_back(ext::make_shared<FixedRateCoupon>(date[1],
>> last->nominal() + last->amount(), ...)
>>     }
>>
>> once you have all of them, you can pass them to the proper Bond
>> constructor:
>>
>>     auto bond = ext::make_shared<Bond>(settlementDays, calendar,
>> issueDate, coupons);
>>
>> Due to the increasing notionals, the constructor will add negative
>> payments at each coupon date that represent adding amount to the notional
>> and will cancel out the coupon payments.
>>
>> Let me know if this works for you.
>>
>> Luigi
>>
>>
>>
>> On Mon, Apr 17, 2023 at 5:20 PM Dagur Gunnarsson <da...@ko...> wrote:
>>
>>> Hello,
>>>
>>> Is there any way to define a BulletLoan, Bond in QuantLib such that the
>>> coupon payments add to the notional each period?
>>>
>>> First the notional is 100.0
>>> then 103.5 .etc. until maturity.
>>>
>>> -Dagur
>>> _______________________________________________
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>>> https://lists.sourceforge.net/lists/listinfo/quantlib-users
>>>
>>