Solved

Price and Yield calculations in QuantLib vs Bloomberg

Posted on 2013-11-05
4
839 Views
Last Modified: 2016-10-14
I am trying to use QuantLib library in order to calculate prices given the yield for US Treasury Notes and Bonds.

When calculating the present values in Bloomberg, it discounts future cash flows in compound method except when the settlement is in the last coupon period where Bloomberg discounts the cash flows using simple method instead of compounding.

However in QuantLib, I am unable to find a compounding method to support the above discounting. QuantLib has the following compounding methods.

Simple
Compounded
Continuous
SimpleThenCompounded

If I use 'Compounded', QuantLib price matches with Bloomberg  only when the settlement is before the final coupon period. On the other hand, if I use 'SimpleThenCompounded', QuantLib price matches Bloomberg only when the settlement is in the final coupon period.

I appreciate if someone can help me to resolve this.

Thanks
-James
0
Comment
Question by:James Talvy
  • 2
4 Comments
 
LVL 24

Expert Comment

by:fridom
ID: 39626486
Could you point out what is not covered in
http://quantlib.org/docs.shtml

Thanks
0
 
LVL 1

Accepted Solution

by:
James Talvy earned 0 total points
ID: 39627499
Friedrich,

I appreciate your reply but it really is not that helpful.

Of course I am aware of the documentation and if I was able to ascertain from it how to calculate US Treasury Notes/Bonds I would not be asking the question.

I am hoping to find someone with experience with this library that can shed some light on how to solve this problem.

-James
0
 
LVL 1

Author Closing Comment

by:James Talvy
ID: 39885071
self resolved
0
 

Expert Comment

by:Martin Ross
ID: 41843560
I added a pull request to support the Street convention. https://github.com/lballabio/QuantLib/pull/143  .  Still need to handle single period with special case though.
0

Featured Post

Is Your Active Directory as Secure as You Think?

More than 75% of all records are compromised because of the loss or theft of a privileged credential. Experts have been exploring Active Directory infrastructure to identify key threats and establish best practices for keeping data safe. Attend this month’s webinar to learn more.

Question has a verified solution.

If you are experiencing a similar issue, please ask a related question

Article by: SunnyDark
This article's goal is to present you with an easy to use XML wrapper for C++ and also present some interesting techniques that you might use with MS C++. The reason I built this class is to ease the pain of using XML files with C++, since there is…
Container Orchestration platforms empower organizations to scale their apps at an exceptional rate. This is the reason numerous innovation-driven companies are moving apps to an appropriated datacenter wide platform that empowers them to scale at a …
The goal of this video is to provide viewers with basic examples to understand and use switch statements in the C programming language.
The viewer will be introduced to the member functions push_back and pop_back of the vector class. The video will teach the difference between the two as well as how to use each one along with its functionality.

864 members asked questions and received personalized solutions in the past 7 days.

Join the community of 500,000 technology professionals and ask your questions.

Join & Ask a Question

Need Help in Real-Time?

Connect with top rated Experts

21 Experts available now in Live!

Get 1:1 Help Now