Guys,
I would like to share a spreadsheet that I am working on. It models the most liquid Brazilian Domestic Government Bonds using QuantLibXL and you can find it at http://www.piterdias.com/wp-content/uploads/2011/11/Brazilian-Government-Bonds.xlsm and there is some explanation at http://www.piterdias.com/2011/11/15/modelando-titulos-publicos-no-excel-com-quantlibxl/ (there is translator button at left).
It includes yield curve bootstrapping and some yield/prices checks. The data source publishes truncated yields and prices so there are some divergences, but for didactical purposes the spreadsheet works very well (I would not trade with it L).
You need “#define QL_NEGATIVE_RATES” for LFT due to negatives rates (it is a spread, not nominal rate). I want to change LFT model in the future using a real floating rate bond, although the way it is shows how the bond is traded in our market.
NTNB and NTNC are inflation linked, priced using real rate, so the easy way (market practice as well) is just adjust the face amount by the inflation index. QuantLib will probably need some coding to include local inflation rules, but it will take a while before I submit a patch for appreciation.
Brazilian market is all about dirty prices (NPV actually) and the spreadsheet deal with it using QuantLibXL standard functions.
All these bonds are domestic, but you may be able to find TRS’ on them in your institutions.
I hope you enjoy.
Regards,
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