Welcome to Experts Exchange

Add your voice to the tech community where 5M+ people, just like you, are talking about what matters.

  • Help others & share knowledge
  • Earn cash & points
  • Learn & ask questions
Solved

Price and Yield calculations in QuantLib vs Bloomberg

Posted on 2013-11-05
4
867 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

Free Tool: Postgres Monitoring System

A PHP and Perl based system to collect and display usage statistics from PostgreSQL databases.

One of a set of tools we are providing to everyone as a way of saying thank you for being a part of the community.

Question has a verified solution.

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

Suggested Solutions

This article shows you how to optimize memory allocations in C++ using placement new. Applicable especially to usecases dealing with creation of large number of objects. A brief on problem: Lets take example problem for simplicity: - I have a G…
How to Win a Jar of Candy Corn: A Scientific Approach! I love mathematics. If you love mathematics also, you may enjoy this tip on how to use math to win your own jar of candy corn and to impress your friends. As I said, I love math, but I gu…
The goal of this video is to provide viewers with basic examples to understand opening and reading files in the C programming language.
The goal of this video is to provide viewers with basic examples to understand and use switch statements in the C programming language.

790 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