Calculation Type

[miriam.remondini]

Hello,

I would like to know if QuantLib can calculate correctly prices for bonds that have as Calculation Type in Bloomberg 523, that is:

"Italian BTPs - Used for the Italian government BTPS issues. Triggers a T+3 settlement period. Accomodates long last coupon. It is calculated as:
((coupon/100)/2 * (days held/days period) * 100 ROUND to 5 decimal places and then multiple face/100 * factor using settle of 11/19/07 and face of 100000 = (.0525/2) * (182/184) * 100 = 2.596467 rounded to 2.59647 times 1000000/100 * .375"

A bond that have the Calculation Type 523 is, for example, MILANO  5.25 04/14/10          IT0001452470.


Thanks

Miriam Remondini

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[FORNAROLA CHIARA-2]

Hi Miriam

Calculation Type is a specific field of Bloomberg, but it really makes the difference if you’re trying to price a bond given the yield. However, provided that you can replicate correctly Bloomberg yield curve for discounting and forecasting, you can replicate Bloomberg market prices given asset swap spread and z-spread. This is the standard market practice for Euro bonds.

 

Chiara

 

-----Original Message-----
From: [hidden email] [mailto:[hidden email]] On Behalf Of [hidden email]
Sent: 23 November 2007 18:39
To: [hidden email]
Cc: [hidden email]
Subject: [Quantlib-users] Calculation Type

 

Hello,

I would like to know if QuantLib can calculate correctly prices for bonds that have as Calculation Type in Bloomberg 523, that is:

"Italian BTPs - Used for the Italian government BTPS issues. Triggers a T+3 settlement period. Accomodates long last coupon. It is calculated as:
((coupon/100)/2 * (days held/days period) * 100 ROUND to 5 decimal places and then multiple face/100 * factor using settle of 11/19/07 and face of 100000 = (.0525/2) * (182/184) * 100 = 2.596467 rounded to 2.59647 times 1000000/100 * .375"

A bond that have the Calculation Type 523 is, for example, MILANO  5.25 04/14/10          IT0001452470.


Thanks

Miriam Remondini

mailto:[hidden email]
**************************************************
SoftSolutions!
Via S. Francesco d'Assisi, 3b, 24121 Bergamo (BG) Italia
Tel:    [phone]
Fax:    [phone]
http://www.softsolutions.it
**************************************************

This document is strictly confidential and is intended for use by the addressee
unless otherwise indicated. If you have received this e-mail in error we would
be very grateful if you could please notify us immediately at
mailto:[hidden email] and delete this e-mail from your system.

SoftSolutions! reserves the right to monitor all email communications through
its internal and external networks.

SoftSolutions! s.r.l.

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