Re: [QuantLib-svn] SF.net SVN: quantlib:[16177] trunk/QuantLib

[Luigi Ballabio]

On Thu, 2009-04-16 at 17:40 +0000, nando@... wrote:
> Revision: 16177
>           http://quantlib.svn.sourceforge.net/quantlib/?rev=16177&view=rev
> Author:   nando
> Date:     2009-04-16 17:40:01 +0000 (Thu, 16 Apr 2009)
>
> Log Message:
> -----------
> - removed Bond::faceAmount, as it is now ambiguous for amortizing bonds

We could disambiguate instead (initialFaceAmount/currentFaceAmount?)

> - a warning might be added in ConvertibleBond documentation stating
> that its behavior is unspecified in the case of amortizing bonds

Right. Or we could check constant notional as a precondition.

Luigi


--

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-- Mark Twain



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[Ferdinando Ametrano-4]

On Mon, Apr 20, 2009 at 5:21 PM, Luigi Ballabio
<luigi.ballabio@...> wrote:
>> - removed Bond::faceAmount, as it is now ambiguous for amortizing bonds
>
> We could disambiguate instead (initialFaceAmount/currentFaceAmount?)

what would be the difference with notional() ? Aren't notionals() and
notional(Date d = Date()) that should be renamed faceAmounts() and
faceAmount(Date d = Date()) respectively?

ciao -- Nando

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[Ferdinando Ametrano-4]

On Mon, Apr 20, 2009 at 5:21 PM, Luigi Ballabio
<luigi.ballabio@...> wrote:
>> - removed Bond::faceAmount, as it is now ambiguous for amortizing bonds
>
> We could disambiguate instead (initialFaceAmount/currentFaceAmount?)

what would be the difference with notional() ? Aren't notionals() and
notional(Date d = Date()) that should be renamed faceAmounts() and
faceAmount(Date d = Date()) respectively?

If I have a notional of 1M of a given bond whose face amount is 100, I
actually own 10,000 bonds, isn't it?

ciao -- Nando

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[Luigi Ballabio]

On Mon, 2009-04-20 at 17:33 +0200, Ferdinando Ametrano wrote:
> On Mon, Apr 20, 2009 at 5:21 PM, Luigi Ballabio
> <luigi.ballabio@...> wrote:
> >> - removed Bond::faceAmount, as it is now ambiguous for amortizing bonds
> >
> > We could disambiguate instead (initialFaceAmount/currentFaceAmount?)
>
> what would be the difference with notional() ?

No difference really, just idly wondering whether we could save the old
convenience method as a shortcut to notionals().front() or whatever.
initialNotional() was just as fine.  But it's no big deal.


> If I have a notional of 1M of a given bond whose face amount is 100, I
> actually own 10,000 bonds, isn't it?

Now if your strategy was to confuse me, you succeeded.  Are you telling
me we're using the wrong term and we should use faceAmount instead of
notional? Or are you telling me that the face amount should be in the
same basis as the price (you aren't, are you?)

Luigi


--

fix, n.,v.
What one does when a problem has been reported too many times
to be ignored.
-- the Jargon file



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[Ferdinando Ametrano-4]

On Mon, Apr 20, 2009 at 6:00 PM, Luigi Ballabio
<luigi.ballabio@...> wrote:
> Are you telling me we're using the wrong term and we should use
> faceAmount instead of notional?

yes I am.

Here's my 0.02€: the face amount is the bond's nominal outstanding
debt which will be redeemed at maturity (or during bond's life for
amortizing bonds). The notional of a bond is the face amount times
number of bonds.

ciao -- Nando

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