Features for Callable Bonds, Zero Bonds, Convertible Bonds

[Anonymous]

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

[Author]

Posts