Re: [Quantlib-users] Bond With Custom Cashflows

[Ben W. <ben...@ma...>]

  

You can build bonds from cashflows. I use it to price extendable bonds

 

def make_frb(self):

        self.freq = ql.Period(qq.Frequency.get(self.tenor))

        self.fixedDayCount=qq.DayCountBasis.get(self.paymentConvention)

        self.bond_cashflows,self.reset_spread,self.reset_index=self.get_coupon_cashflows()

        bond=ql.Bond(int(self.settlementDays), self.local_calendar, self.start_date,self.bond_cashflows)

        self.accrual_start_date = ql.BondFunctions.accrualStartDate(bond)

        return bond

 

self.start_date,self.bond_cashflows() is a internal function that returns the cashflows

 

 

 

From: Michael (DataDriven portal) <mi...@da...> 
Sent: Saturday, August 19, 2023 8:05 PM
To: QuantLib users <qua...@li...>
Subject: [Quantlib-users] Bond With Custom Cashflows

 

Hi All,

 

I have a bond with a standard schedule but not standard cash flow dollar amounts that I can define (that doesn't fit any Quantlib standard bond types). Is it possible to create a bond object in Quantlib with these cashflows? For example, start with a fixed rate bond, and then overwrite the cashflow amounts. Or create it any other way?

 

Thanks!

 

Michael