Callable bond further implementation

[kbjcap4]

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It would be great to implement ability for American optionality (looking online this issue has been raised before) but another feature that would be great to have implemented would be to add a notice period such that if you need to give 30 days notice prior to calling a bond that this could be priced in rather than manually having to shift the call schedule back 30 days if youre in the callable period.

[boring-cyborg[bot]]

Thanks for posting! It might take a while before we look at your issue, so don't worry if there seems to be no feedback. We'll get to it.

[lballabio]

Moving this to https://github.com/lballabio/QuantLib because the features would need to be implemented in the underlying C++ library.

[boring-cyborg[bot]]

Thanks for posting! It might take a while before we look at your issue, so don't worry if there seems to be no feedback. We'll get to it.

[w31ha0]

For the notice period, is this simply a matter of pushing back all dates in the callabilityDates variable of CallableBond class by the number of days in the notice period? And therefore let the prices be adjusted by the notice period automatically since the pricing engines will be picking up these adjusted callability dates?

[lballabio]

No, unfortunately it's not that simple. This way, the payment of the callability premium would happen at notification time, 30 days earlier than the actual payment time. We would also miss the accrued amount for the 30 days between the notice and the actual call date.

[FahdElXD]

Hi @lballabio, is there any updates about the implementation of these finctionalities?

[lballabio]

No, nobody is working on this as far as I know.