ReportRunnerTool seems not supporting FixedCouponBond pricing


#1

ReportRunnerTool seems not supporting FixedCouponBond pricing, can you confirm? is that because of of existing one only support RatesMarketData, but FixedCouponBond need LegalEntityMarketData? is it even possible to pricing FixedCouponBond and other Rates depends products (like TermDeposit/FxSingle) at the same time ? thanks


#2

ReportRunnerTool was only designed for rates products as an initial demonstration of the system. Further use beyond the tool involves writing real Java code.

It is possible to price a mixed portfolio of bonds and rates however. If the MarketData passed into the CalculationRunner contains both rates and bond pricing information, the calculation runner can select the correct data and produce analytics.

Hope that helps
Stephen


#3

Thanks Stephen, it’s really helpful. I think I know now what to do. thanks