Dates out of range of schedule quantlib
WebWith end-of-month set to False, the schedule doesn't even try to hit the 31st; it starts from a stub on the 30th, so it uses the 30th of the month for all other dates.. Unfortunately, as you say, you can't set end-of-month to True in this case; so you'll probably have to use the Schedule constructor that takes an explicit list of dates (you can generate them by … WebOct 20, 2024 · 1. Your bond pays fixed 9.25% a year, twice a year. For most fixed-coupon bonds, the coupon is not "daycounted" - it should be exactly annual coupon / frequency = 4.625% (there are very few exceptions, like Mexican mbonos). The daycount is used if you need to calculate the accrued in the middle of the coupon period, e.g. to get a dirty price.
Dates out of range of schedule quantlib
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WebSep 6, 2024 · the new change in "actualactual.cpp" to check dates in range of schedule … WebOct 10, 2014 · @DirkEddelbuettel, replacing QuantLib::Date myQLDate (day, month, …
WebMay 2, 2024 · The text was updated successfully, but these errors were encountered: WebSep 6, 2024 · the new change in "actualactual.cpp" to check dates in range of schedule seems not corrected implemented; the portion of code is as below: QL_REQUIRE(d1 >= firstDate && d2 <= lastDate, "Dates out of range of schedule: "
WebOct 10, 2014 · Just one more layer of 'making sure it is a valid date'. With QuantLib you always have Boost around anyway. – Dirk Eddelbuettel. Oct 10, 2014 at 14:30 @DirkEddelbuettel, ... matches constructor but returns Year is out of valid range: 1400..10000. – Lisa Ann. Oct 10, 2014 at 14:41. WebJul 30, 2024 · Jul 30, 2024 at 14:35. So, basicaslly, I do: 1) create schedule 2) iterate over schedule creating SimpleCashFlow and append them to list 3) create Leg passing this list and curve handle 4) use CashFlows built-in functions Okay, I got it, it makes sense. Thank you. – egor_zhev. Jul 30, 2024 at 14:48. That sounds doable.
WebSchedule (Date effectiveDate, const Date & terminationDate, const Period & tenor, Calendar calendar, BusinessDayConvention convention, BusinessDayConvention terminationDateConvention, … how to remove green stains from sinkWebFeb 14, 2024 · Introduction to QuantLib. Part 8a: Date, Calendar, DayCounter and Schedule Class eefelix 531 subscribers Subscribe 1 251 views 1 year ago In this tutorial, I will briefly show you the folder... no receipt best buyWebNov 24, 2016 · so you can pass any missing information that the schedule is not able to figure out from the dates; for example, you can pass isRegular as vector (n, true) where n is the number of dates in the schedule (assuming the periods are regular, of course; in case you have a short or long coupon, you should put a false in the vector at … how to remove green stains from bathtubWebApr 4, 2015 · QuantLib is an open-source framework for quantitative finance written in C++. There is an active community who develop and extend the library. QuantLib covers a wide range of financial instruments and markets like IR, FX and Equities and provide pricing engines and models, optimization algorithm, a Monte-Carlo framework, business day … how to remove green spill in photoshopWebOct 1, 2024 · I am trying to make a schedule for amortizing bonds in quantlib, but have no idea how to include amortization in this schedule. I have the following bond: Maturity Date: 30.04.2024 Coupon Frequen... how to remove green stains from toiletWebNov 29, 2024 · I turn now my attention on the floating numbers F 1, F 2, …, F 4 that determine the floating payment flows according to the formulas F i (T΄ i-T΄ i-1)N, where i = 1,2, …, n.. Each F i is defined as some sort of average of the fixings of some agreed underlying overnight index over the time range between T΄ i-1 and T΄ i.. For example, in … how to remove green stuff from glassesWebFeb 13, 2024 · 1 Answer. The theory first: when pricing the coupon with a floor, you can't just take the expected LIBOR rate from your forecast curve and take the minimum between that and the floor. Instead, you need to take the expected value of the minimum between the rate and the floor, and unfortunately E [min (R,F)] is not the same as min (E [R],F). how to remove green stains from pool