QuantLib Schedules for Bonds with Short or Long Coupons
Summary
The document explains how to build a QuantLib bond schedule when the first or last coupon period is irregular. A standard schedule constructor can generate regular dates from an effective date, maturity, tenor, calendar, conventions, generation rule, and end-of-month setting. To specify a nonstandard first coupon, pass its end date as the optional first-date argument. To specify an irregular final coupon, pass its start date as the optional next-to-last-date argument. These dates give the schedule generator the boundary needed to form the short or long stub period while retaining the regular tenor for the rest of the schedule.
The answer is a focused API explanation with no pricing comparison or numerical validation. It identifies the relevant constructor parameters but does not discuss day-count conventions, coupon accrual calculations, or the choice of date-generation rule. Users still need to ensure that the specified stub dates and business-day conventions match the bond’s terms.
Key ideas
- QuantLib’s Schedule constructor accepts optional first-date and next-to-last-date boundaries.
- Pass the end of an irregular first coupon as the first-date argument.
- Pass the start of an irregular final coupon as the next-to-last-date argument.
- The tenor and schedule conventions continue to define the regular periods between stub boundaries.
- The explanation does not cover accrual conventions or validate a complete bond pricing setup.
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Full text
# Constructing a Custom Schedule in QuantLib for Long/Short Coupons
# Constructing a Custom Schedule in QuantLib for Long/Short Coupons
I am currently using QuantLib for some bond pricing tasks and I have run into a problem which I hope someone here can help me with.
In my current project, I am required to model bond schedules that include both short and long coupons. However, my understanding is that the Schedule class in QuantLib is designed to handle bonds that have normal coupons only. This has led to inaccuracies in my output due to the inability of the Schedule class to account for the different coupon durations.
Here's an example of how I currently build the schedule:
```
schedule = ql.Schedule(self.issue_date,
self.maturity_date,
self.coupon_frequency,
self.calendar,
ql.Unadjusted,
ql.Unadjusted,
self.date_generation,
False )
```
This generates a schedule with regular semiannual dates, which works fine for bonds with normal coupons. However, I'm not sure how to modify this to accommodate bonds with short or long coupons.
So, my question is: How can I build a custom schedule in QuantLib to account for short and long coupons?
```
print(list(schedule))
[Date(18,8,2021), Date(18,2,2022), Date(18,8,2022), Date(18,2,2023), Date(18,8,2023), Date(18,2,2024), Date(18,8,2024), Date(18,2,2025), Date(18,8,2025), Date(15,1,2026)]
```
## Answer by Luigi Ballabio (score 2, accepted)
https://quant.stackexchange.com/a/76031
The complete declaration of the Schedule constructor is
```
Schedule(const Date& effectiveDate,
const Date& terminationDate,
const Period& tenor,
const Calendar& calendar,
BusinessDayConvention convention,
BusinessDayConvention terminationDateConvention,
DateGeneration::Rule rule,
bool endOfMonth,
const Date& firstDate = Date(),
const Date& nextToLastDate = Date());
```
where the last two optional parameters can be used for your case. For a short or long first coupon, pass the end of the coupon as `firstDate`. For a short or long last coupon, pass the start of the coupon as `nextToLastDate`.Shown in full with attribution under the source's licence. Licence: CC BY-SA 4.0 (Stack Exchange)
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.