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Copyright (C) 2011-18 Édouard Tallent

[last revision: Feb 6st, 2018]


2 pensamientos en “Blablabla

  1. bill

    Best of luck with your new endeavours, perhaps you can assist with mine.
    Yes – this is a copy of the post on Wilmott… but The Guru has not yet seen fit to grace me with an answer.
    If you would be so kind, I would appreciate it – and – offer whatever assistance a trader-consultant from the midsection of Illinois can reasonably provide.
    To date, I’ve been unable to make QuantLib (in C#) match the ‘standard’ yield-to-maturity for United State Treasury Notes.
    Assume Excel and Bloomberg reconcile to each other (they do). Assume this value is; therefore, the ‘standard’. What code / values for proper variables will allow QL to match the ‘standard’?

    Given the following: UST-note: UST 3.625% of August 31, 2020
    Trade Date: January 27, 2011
    Settlement Date: January 28, 2011
    Yield to Maturity (standard convention, unadjusted, semi-annual): 3.4921%
    Day Count: US Actual / Actual (semi-annual)
    Redemption value: 100%

    For comparison: MS Excel
    Formula: =PRICE(settlementDate,maturityDate,couponRateDecimal,yieldToMaturity,100,2,1)
    Formula: =Price( date(2011,1,28), date(2020,8,31), 0.03625, 0.034921, 100,2,1)
    Answer: 101.0725306417



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