Bonds interests calculations

Forward Contracts mimic the cash-flow of the underlying instruments. Therefore KODIAK Derivatives needs to generate the correct cash-flows for all forward contracts. For contracts with underlying bonds, the system needs to generate and attach all interest payments to the correct forward contracts. 

Interest Payments

The Interest payment schedule for bonds is calculated by Kóði based on information published by the NOMXI Stock Exchange. Kóði also calculates the size of each payment (principal + interests + index adjustment). The KODIAK Derivatives system uses these calculations to attach those interest payments to each bond forward contract.

Batch job

Bonds calculation job is triggered in Kodiak Derivatives Batch console application by passing "-bond" as an argument.

Attaching interest payments

The job goes through all underlying bonds that have open forward contracts. For each interest payment that has occurred in the bond's cash flow it attaches a payment to each open forward contract 

rightsDate <= x.ExpiryDate && !x.IsClosed && !x.IsCancelled && ((x.ExtensionCount == 0 && x.TradeDate < rightsDate) || (x.ExtensionCount > 0 && x.SettlementDate < rightsDate)) 

where rightsDate is the previous bank day of the interest date of the interest payment. Contracts that have been rolled are compared by SettlementDate rather than TradeDate.