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Price and Yield calculations in QuantLib vs Bloomberg

Posted on 2013-11-05
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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
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Question by:James Talvy
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by:fridom
ID: 39626486
Could you point out what is not covered in
http://quantlib.org/docs.shtml

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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
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by:James Talvy
ID: 39885071
self resolved
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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.
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