Comments (2)
domokane
commented on July 20, 2024
Hi Dominic - you are right. This looks wrong. However if we change this then we need to make sure that the coupon schedule means that there is a full coupon payment on the settlement date if the coupon is on a settlement date. Can you check ?
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DominicHong
commented on July 20, 2024
@domokane 'make sure there is a full coupon payment on the settlement date if the coupon is on a settlement date'
What do you mean?
I checked the code. The coupon payment dates and cashflow should be correct.
Anything else I missed out?
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Related Issues (20)
- Support for Zero-Coupon Bond HOT 4
- CDSCurve class does not depend on recovery rate HOT 2
- Issue of Bond payment dates HOT 2
- "bond.full_price_from_ytm" is always computed by "face=100" right? HOT 2
- Add Equity Swap Product HOT 3
- Refactor barrier option code to extract core model code from products into model folder. HOT 11
- Alternative Interpolation Schemes for Longstaff Schwarz HOT 1
- Some swap suggestions
- argument type issue - FXVanillaOption with SABR model HOT 3
- Re-generate manual when master is updated HOT 5
- Date Schedule._generate issue HOT 2
- Example of SOFR curve
- Potential issues for CDS pricing HOT 4
- Major implementation change for ibor_swap? A notebook example doesn't tie out anymore. HOT 12
- Bond Curve Fitting HOT 1
- Inconsistency in Day Count in Index Curve? HOT 3
- CDSOption insensitive to vol for Receiver HOT 4
- Division with wrong day count convention causes incorrect forward rates HOT 1
- Bond OAS and accrued interest HOT 2
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