QuantLib › quantlib-users

Difference between Bloomberg and Quantlib

Classic

List

Threaded

7 messages Options

Antonio, Cipolletti

Difference between Bloomberg and Quantlib

Hi,

My name is Antonio Cipolletti,

I am IT systems development manager in EuroTLX Sim spa, a company leader in Italian financial markets .

We are trying to develop an internal system in order to compute yield for Fixed Rate Bond.

For a lot of instrument the result using QuantLib is different from Bloomberg result, for example:

Isin IT0003934657 with following parameters

Day Count Convention=Actual/Actual (ISDA)

Frequency=Semiannual

Coupon=0.040000

Face=100.000000

Price=87.990000

Settlement Date=2010-08-02

Maturity Date=2037-02-01

Issue Date=2005-08-01

Calendar=TARGET

yield calculated by QuantLib=4.80616856 for Settlement Date 2010-08-02

yield calculated by Bloomberg terminal is 4.863525 for Settlement Date 2010-08-02

Why this difference, can you help me?

Many thanks in advance.

Antonio.

Antonio Cipolletti

IT Systems development

EuroTLX SIM S.p.A.

Via Cavriana, 20

20134 Milan - I

Tel. +39.02.30301434 - Mob. +39.335.7885795

Fax +39.02.30301499

www.eurotlx.com

The information in this email and in any attachments is confidential and intended solely for the attention and use of the named addressee(s). This information may be subject to legal professional or other privilege or may otherwise be protected by work product immunity or other legal rules. It must not be disclosed to any person without our authority. If you are not the intended recipient, or a person responsible for delivering it to the intended recipient, you are not authorized to and must not disclose, copy, distribute, or retain this message or any part of it. Thank you.

------------------------------------------------------------------------------
The Palm PDK Hot Apps Program offers developers who use the
Plug-In Development Kit to bring their C/C++ apps to Palm for a share
of $1 Million in cash or HP Products. Visit us here for more details:
http://p.sf.net/sfu/dev2dev-palm
_______________________________________________
QuantLib-users mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-users

LordByron

Re: Difference between Bloomberg and Quantlib

Could it be due to a difference in compounding choices? You haven't noted the compunding choices (simple, compounded, or exponential) in both calculations.

----- Original Message -----

From: [hidden email]

To: [hidden email]

Sent: Wednesday, July 28, 2010 11:18 AM

Subject: [Quantlib-users] Difference between Bloomberg and Quantlib

Hi,

My name is Antonio Cipolletti,

I am IT systems development manager in EuroTLX Sim spa, a company leader in Italian financial markets .

We are trying to develop an internal system in order to compute yield for Fixed Rate Bond.

For a lot of instrument the result using QuantLib is different from Bloomberg result, for example:

Isin IT0003934657 with following parameters

Day Count Convention=Actual/Actual (ISDA)

Frequency=Semiannual

Coupon=0.040000

Face=100.000000

Price=87.990000

Settlement Date=2010-08-02

Maturity Date=2037-02-01

Issue Date=2005-08-01

Calendar=TARGET

yield calculated by QuantLib=4.80616856 for Settlement Date 2010-08-02

yield calculated by Bloomberg terminal is 4.863525 for Settlement Date 2010-08-02

Why this difference, can you help me?

Many thanks in advance.

Antonio.

Antonio Cipolletti

IT Systems development

EuroTLX SIM S.p.A.

Via Cavriana, 20

20134 Milan - I

Tel. +39.02.30301434 - Mob. +39.335.7885795

Fax +39.02.30301499

www.eurotlx.com

The information in this email and in any attachments is confidential and intended solely for the attention and use of the named addressee(s). This information may be subject to legal professional or other privilege or may otherwise be protected by work product immunity or other legal rules. It must not be disclosed to any person without our authority. If you are not the intended recipient, or a person responsible for delivering it to the intended recipient, you are not authorized to and must not disclose, copy, distribute, or retain this message or any part of it. Thank you.

------------------------------------------------------------------------------
The Palm PDK Hot Apps Program offers developers who use the
Plug-In Development Kit to bring their C/C++ apps to Palm for a share
of $1 Million in cash or HP Products. Visit us here for more details:
http://p.sf.net/sfu/dev2dev-palm

_______________________________________________
QuantLib-users mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-users

Antonio, Cipolletti

Re: Difference between Bloomberg and Quantlib

Hi,

Thanks for answer.

I don’t think the difference is due to compounding choices

because both ,Bloomberg and us, are using Compounded choice.

Many Thanks for your interest.

Antonio.

From: Harun Özkan [mailto:[hidden email]]
Sent: Tuesday, August 03, 2010 16:33
To: Antonio, Cipolletti; [hidden email]
Subject: Re: [Quantlib-users] Difference between Bloomberg and Quantlib

Could it be due to a difference in compounding choices? You haven't noted the compunding choices (simple, compounded, or exponential) in both calculations.

----- Original Message -----

From: [hidden email]

To: [hidden email]

Sent: Wednesday, July 28, 2010 11:18 AM

Subject: [Quantlib-users] Difference between Bloomberg and Quantlib

Hi,

My name is Antonio Cipolletti,

I am IT systems development manager in EuroTLX Sim spa, a company leader in Italian financial markets .

We are trying to develop an internal system in order to compute yield for Fixed Rate Bond.

For a lot of instrument the result using QuantLib is different from Bloomberg result, for example:

Isin IT0003934657 with following parameters

Day Count Convention=Actual/Actual (ISDA)

Frequency=Semiannual

Coupon=0.040000

Face=100.000000

Price=87.990000

Settlement Date=2010-08-02

Maturity Date=2037-02-01

Issue Date=2005-08-01

Calendar=TARGET

yield calculated by QuantLib=4.80616856 for Settlement Date 2010-08-02

yield calculated by Bloomberg terminal is 4.863525 for Settlement Date 2010-08-02

Why this difference, can you help me?

Many thanks in advance.

Antonio.

Antonio Cipolletti

IT Systems development

EuroTLX SIM S.p.A.

Via Cavriana, 20

20134 Milan - I

Tel. +39.02.30301434 - Mob. +39.335.7885795

Fax +39.02.30301499

www.eurotlx.com

The information in this email and in any attachments is confidential and intended solely for the attention and use of the named addressee(s). This information may be subject to legal professional or other privilege or may otherwise be protected by work product immunity or other legal rules. It must not be disclosed to any person without our authority. If you are not the intended recipient, or a person responsible for delivering it to the intended recipient, you are not authorized to and must not disclose, copy, distribute, or retain this message or any part of it. Thank you.

------------------------------------------------------------------------------
The Palm PDK Hot Apps Program offers developers who use the
Plug-In Development Kit to bring their C/C++ apps to Palm for a share
of $1 Million in cash or HP Products. Visit us here for more details:
http://p.sf.net/sfu/dev2dev-palm

_______________________________________________
QuantLib-users mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-users

Bojan Nikolic

Re: Difference between Bloomberg and Quantlib

In reply to this post by LordByron

The difference indeed looks to be close to what one'd expect from
continuous vs annual compounding.

But the best way to get help is to post the code or spreadsheet which
actually shows the calculation you are trying to do...

Best,
Bojan

--
Bojan Nikolic || http://www.bnikolic.co.uk

------------------------------------------------------------------------------
The Palm PDK Hot Apps Program offers developers who use the
Plug-In Development Kit to bring their C/C++ apps to Palm for a share
of $1 Million in cash or HP Products. Visit us here for more details:
http://p.sf.net/sfu/dev2dev-palm
_______________________________________________
QuantLib-users mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-users

Antonio, Cipolletti

Re: Difference between Bloomberg and Quantlib

Many Thanks.

-----Original Message-----
From: Bojan Nikolic [mailto:[hidden email]]
Sent: Tuesday, August 03, 2010 20:38
To: Harun Özkan
Cc: Antonio, Cipolletti; [hidden email]
Subject: Re: [Quantlib-users] Difference between Bloomberg and Quantlib

The difference indeed looks to be close to what one'd expect from
continuous vs annual compounding.

But the best way to get help is to post the code or spreadsheet which
actually shows the calculation you are trying to do...

Best,
Bojan

--
Bojan Nikolic || http://www.bnikolic.co.uk

------------------------------------------------------------------------------
The Palm PDK Hot Apps Program offers developers who use the
Plug-In Development Kit to bring their C/C++ apps to Palm for a share
of $1 Million in cash or HP Products. Visit us here for more details:
http://p.sf.net/sfu/dev2dev-palm
_______________________________________________
QuantLib-users mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-users

Dominick Samperi

Re: Difference between Bloomberg and Quantlib

In reply to this post by Antonio, Cipolletti

Antonio, Cipolletti wrote:

>
> Hi,
>
> My name is Antonio Cipolletti,
>
> I am IT systems development manager in EuroTLX Sim spa, a company
> leader in Italian financial markets .
>
> We are trying to develop an internal system in order to compute yield
> for Fixed Rate Bond.
>
> For a lot of instrument the result using QuantLib is different from
> Bloomberg result, for example:
>
> Isin IT0003934657 with following parameters
>
> Day Count Convention=Actual/Actual (ISDA)
>
> Frequency=Semiannual
>
> Coupon=0.040000
>
> Face=100.000000
>
> Price=87.990000
>
> Settlement Date=2010-08-02
>
> Maturity Date=2037-02-01
>
> Issue Date=2005-08-01
>
> Calendar=TARGET
>
>
>
> yield calculated by QuantLib=4.80616856 for Settlement Date 2010-08-02
>
> yield calculated by Bloomberg terminal is 4.863525 for Settlement
> Date 2010-08-02
>
>
>
> Why this difference, can you help me?
>

Using a different calculator (not Bloomberg or QuantLib) I get a number
close to
what QuantLib gets. Using the same calculator, I get I number close to
4.86 if
I select the Braess-Fangmeyer convention.

Note that Bloomberg takes into account local conventions that apply to
different countries, but may not document what conventions apply in
particular cases.

Cheers,
Dominick

------------------------------------------------------------------------------
This SF.net email is sponsored by

Make an app they can't live without
Enter the BlackBerry Developer Challenge
http://p.sf.net/sfu/RIM-dev2dev
_______________________________________________
QuantLib-users mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-users

Antonio, Cipolletti

Re: Difference between Bloomberg and Quantlib

Many...Many thanks for your interest.
Antonio

-----Original Message-----
From: Dominick Samperi [mailto:[hidden email]]
Sent: Monday, August 09, 2010 19:15
To: Antonio, Cipolletti
Cc: [hidden email]
Subject: Re: [Quantlib-users] Difference between Bloomberg and Quantlib

Antonio, Cipolletti wrote: