How to calculate a btp yield

[Enrico Gargiulo]

Hi all,

 

I' ve to calculate the yield of the bond BTP IT0001132098. I writed a c++ function to do this:

 

 

        Date bondIssueDate(1, July, 1997);
        Date bondDatedDate(1, July, 1997);
        Date bondMaturityDate(1, July, 2007);
        Real bondCoupon = 0.03375;
        Frequency bondCouponFrequency = Semiannual;
        Calendar bondCalendar = TARGET();
        DayCounter bondDayCountConvention = ActualActual();
        Integer bondSettlementDays = 2;
        BusinessDayConvention accrual = Unadjusted;
        BusinessDayConvention payment = Following;
        Real bondRedemption = 100.0;
        Real faceAmount = 100.0;
...

        boost::shared_ptr<FixedCouponBond> bond(
                     new FixedCouponBond(faceAmount,
                                         bondIssueDate,
                                         bondDatedDate,
                                         bondMaturityDate,
                                         bondSettlementDays,
                                         std::vector<Rate>(1, bondCoupon),
                                         bondCouponFrequency,
                                         bondCalendar,
                                         bondDayCountConvention,
                                         accrual,
                                         payment,
                                         bondRedemption));
...

        Date sd1(21, June, 2007);
        Real r1 = 100.103;
...

        Compounding compounding = Compounded;
        //Compounding compounding = Simple;
...        
        std::cout << "yield: " << std::endl
            << sd1 << " lorda : " << bond->yield(r1, compounding, sd1) << " (3,758%)" <<std::endl;

 

 

Why, with this r1 parameter (100.103) I got the following error?

 

 

root not bracketed: f[0,1] -> [1.053425e-02,2.465218e+00]

 

 

Is not possible calculate a bond yield with a price > 100.0?

 

Thanks

Enrico

 

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[Luigi Ballabio]

On Thu, 2007-06-21 at 14:46 +0200, Enrico Gargiulo wrote:

>         Date bondMaturityDate(1, July, 2007);
>         Real bondCoupon = 0.03375;
>         Frequency bondCouponFrequency = Semiannual;
>         DayCounter bondDayCountConvention = ActualActual();
>         BusinessDayConvention accrual = Unadjusted;
>         Real bondRedemption = 100.0;
> ...
>         Date sd1(21, June, 2007);
>         Real r1 = 100.103;
> ...
>         std::cout << "yield: " << std::endl
>             << sd1 << " lorda : " << bond->yield(r1, compounding, sd1)
> << " (3,758%)" <<std::endl;
>  
> Why, with this r1 parameter (100.103) I got the following error?
>  
> root not bracketed: f[0,1] -> [1.053425e-02,2.465218e+00]

Ciao Enrico,
        with the parameters you chose, it's not possible to obtain that price,
no matter the yield.

At maturity, you're going to receive 100 + 1.67363. The discounted value
is 101.67363 or less. Subtract the accrued amount (1.58116) and you get
100.09247 or less. Your price is above that figure.

Later,
        Luigi


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