Loading...
Home / Features for Callable Bonds, Zero Bonds, Convertible Bonds

Home Forums Features Features for Callable Bonds, Zero Bonds, Convertible Bonds

This topic contains 0 replies, has 1 voice, and was last updated by  pascalmangang 4 months, 3 weeks ago.

Viewing 1 post (of 1 total)
  • Author
    Posts
  • #6533

    pascalmangang
    Participant

    Dear all,
    I am going to implement Callable Bonds and Convertible Bonds into ORE. I’ve seen that the Zero Flag is missing for the XML files.
    I suggest the following xml-structure for the above features:

    <Bond>

    …..

    <Zero>
    <Redemption></Redemption>
    </Zero>

    <CallPutScheduleData>
    <Type>SoftCall</Type> // call, put, softcall
    <CallPutSchedule>
    <CallPutData>
    <Date></Date>
    <Strike></Strike>
    <StrikeType></StrikeType> // clean or dirty
    <Trigger></Trigger> // optional für softcall
    </CallPutData>
    </CallPutSchedule>
    </CallPutScheduleData>

    <ConvertibleData>

    <Start></Start>
    <End></End>
    <Ratio></Ratio>
    <Name></Name>
    <Currency></Currency>

    </ConvertibleData>

    </Bond>

    Any objections ?
    Please let me know if you feel that this complies with your strategy.

    Best Regards

    Pascal

Viewing 1 post (of 1 total)

You must be logged in to reply to this topic.