OG-Analytics has support defining a FRN security (BondIborSecurity) but it doesn’t seem to have support for pricing them.
I couldn’t find a class under com.opengamma.analytics.financial.interestrate.bond.method that calculates the price, duration, convexity, discount margin etc for a FRN. Is this something that’s been worked on?
Thanks
Hi Craig,
You’re looking in the right place. See, for example, visitBondIborSecurity in com.opengamma.analytics.financial.interestrate.PresentValueCalculator.
This Calculator is a good example of one that extends AbstractInstrumentDerivativeVisitor. See the Type Hierarchy of this class for others. See also visitBondIborTransaction.
Cheers, Casey
Hi,
Although we have some of the other analytics that you need available for coupon bonds (e.g. MacaulayDurationFromCurvesCalculator), we don’t have them for FRNs. We are planning to support FRNs fully, but not in the immediate future.
Elaine