Coupon type Interest on Maturity example


#1

Hi, I’m trying to use strata for calculating Bond price in Interest on Maturity as coupon type scenario. Can someone guide with sample code? maturity yield, allotment date, coupon rate, maturity date, face value and compounding frequency is available. Thanks.


#2

Hi,

Could you expand on what you are trying to achieve? Are you trying to price a special type of bond that pays all interest at maturity? If not what do you mean by ‘Interest on Maturity as coupon type’?

For the moment Strata support fixed coupon bonds and different measures (like PV, price, yield, duration, convexity) for the most used yield conventions.

Regards,

Marc