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Japanese Compounded and NL/360 for Samurai bonds

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andrea.palermo

Japanese Compounded and NL/360 for Samurai bonds

Hi all,

I kindly ask you whether someone can help me on Japanese Compounded conventions.

All corporate bonds non Yen-denominated issued in Japan ("Samurai bonds") have Japanese Compounded conventions in Reuters Eikon and NL/360 in Bloomberg DES page.

Reuters says that "Interest is compounded annually using an Act/365 day count basis", and so I have tried to map this as "Actual/365 (ISMA)" in quantlib but I'm not able to get the same YieldToPrice calculation as Bloomberg and Reuters.

I've also tried other conventions, but I had no chance.

Could someone help me on this?

Thanks in advance

Andrea

**************************************************
Andrea Palermo
Product Manager
mailto:[hidden email]

SoftSolutions!
Via S. Francesco d'Assisi, 3b, 24121 Bergamo (BG) Italia
Tel: +39 035-22714-45
Fax: +39 035 1990 6390
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.
Please don't print this e-mail unless you really need to.

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Turn processes into business applications with Bonita BPM Community Edition
Quickly connect people, data, and systems into organized workflows
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igitur

Re: Japanese Compounded and NL/360 for Samurai bonds

Can you perhaps give some examples of the figures?

Francois Botha

On 26 June 2014 15:31, <[hidden email]> wrote:

Hi all,

I kindly ask you whether someone can help me on Japanese Compounded conventions.

All corporate bonds non Yen-denominated issued in Japan ("Samurai bonds") have Japanese Compounded conventions in Reuters Eikon and NL/360 in Bloomberg DES page.

Reuters says that "Interest is compounded annually using an Act/365 day count basis", and so I have tried to map this as "Actual/365 (ISMA)" in quantlib but I'm not able to get the same YieldToPrice calculation as Bloomberg and Reuters.

I've also tried other conventions, but I had no chance.

Could someone help me on this?

Thanks in advance
Andrea

--
**************************************************
Andrea Palermo
Product Manager
mailto:[hidden email]

SoftSolutions!
Via S. Francesco d'Assisi, 3b, 24121 Bergamo (BG) Italia
Tel: <a href="tel:%2B39%20035-22714-45" value="+390352271445" target="_blank">+39 035-22714-45
Fax: <a href="tel:%2B39%20035%201990%206390" value="+3903519906390" target="_blank">+39 035 1990 6390
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.
Please don't print this e-mail unless you really need to.

------------------------------------------------------------------------------
Open source business process management suite built on Java and Eclipse
Turn processes into business applications with Bonita BPM Community Edition
Quickly connect people, data, and systems into organized workflows
Winner of BOSSIE, CODIE, OW2 and Gartner awards
http://p.sf.net/sfu/Bonitasoft
_______________________________________________
QuantLib-users mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-users

andrea.palermo

Re: Japanese Compounded and NL/360 for Samurai bonds

Hello Francois,

thank you for your reply.

I attach an excel sheet of JP584046C5B1. I put an yield 1.805 equal to the coupon. Price must be 100.000, as in Bloomberg and Reuters, but I'm really not able to get 100.000 with Quantlib Formulas.

I have selected Act/365 (Fixed) as should be for this kind of bond, but anyway no other day count rule leads to 100.000

There should be something I miss for these bonds, I suppose, because for all other asset classes, YiedToPrice I do using Quantlib are perfect.

Kind regards

Andrea

Da: "Francois Botha" <[hidden email]>
A: "andrea palermo" <[hidden email]>
Cc: "QuantLib users" <[hidden email]>
Inviato: Venerdì, 27 giugno 2014 9:07:36
Oggetto: Re: [Quantlib-users] Japanese Compounded and NL/360 for Samurai bonds

Can you perhaps give some examples of the figures?

Francois Botha

On 26 June 2014 15:31, <[hidden email]> wrote:

Hi all,

I kindly ask you whether someone can help me on Japanese Compounded conventions.

All corporate bonds non Yen-denominated issued in Japan ("Samurai bonds") have Japanese Compounded conventions in Reuters Eikon and NL/360 in Bloomberg DES page.

Reuters says that "Interest is compounded annually using an Act/365 day count basis", and so I have tried to map this as "Actual/365 (ISMA)" in quantlib but I'm not able to get the same YieldToPrice calculation as Bloomberg and Reuters.
I've also tried other conventions, but I had no chance.

Could someone help me on this?

Thanks in advance
Andrea

--
**************************************************
Andrea Palermo
Product Manager
mailto:[hidden email]

SoftSolutions!
Via S. Francesco d'Assisi, 3b, 24121 Bergamo (BG) Italia
Tel: <a href="tel:%2B39%20035-22714-45" target="_blank" data-mce-href="tel:%2B39%20035-22714-45">+39 035-22714-45
Fax: <a href="tel:%2B39%20035%201990%206390" target="_blank" data-mce-href="tel:%2B39%20035%201990%206390">+39 035 1990 6390
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.
Please don't print this e-mail unless you really need to.

------------------------------------------------------------------------------
Open source business process management suite built on Java and Eclipse
Turn processes into business applications with Bonita BPM Community Edition
Quickly connect people, data, and systems into organized workflows
Winner of BOSSIE, CODIE, OW2 and Gartner awards
http://p.sf.net/sfu/Bonitasoft
_______________________________________________
QuantLib-users mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-users

**************************************************
Andrea Palermo
Product Manager
mailto:[hidden email]

SoftSolutions!
Via S. Francesco d'Assisi, 3b, 24121 Bergamo (BG) Italia
Tel: +39 035-22714-45
Fax: +39 035 1990 6390
http://www.softsolutions.it
**************************************************

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

SoftSolutions! S.r.l.
Please don't print this e-mail unless you really need to.

JP584046C5B1.xls (66K) Download Attachment

igitur

Re: Japanese Compounded and NL/360 for Samurai bonds

Is the solution not that Japanese Government Bonds use a simple interest formula as described on http://www.derivativepricing.com/blog/bid/77900/Calculating-Bond-Yields ?

If I use that formula, the price of 100 agrees with coupon of 1.805% and yield of 1.805%.

Francois Botha

On 27 June 2014 11:28, <[hidden email]> wrote:

Hello Francois,

thank you for your reply.

I attach an excel sheet of JP584046C5B1. I put an yield 1.805 equal to the coupon. Price must be 100.000, as in Bloomberg and Reuters, but I'm really not able to get 100.000 with Quantlib Formulas.

I have selected Act/365 (Fixed) as should be for this kind of bond, but anyway no other day count rule leads to 100.000

There should be something I miss for these bonds, I suppose, because for all other asset classes, YiedToPrice I do using Quantlib are perfect.

Kind regards
Andrea

Da: "Francois Botha" <[hidden email]>
A: "andrea palermo" <[hidden email]>
Cc: "QuantLib users" <[hidden email]>
Inviato: Venerdì, 27 giugno 2014 9:07:36
Oggetto: Re: [Quantlib-users] Japanese Compounded and NL/360 for Samurai bonds

Can you perhaps give some examples of the figures?

Francois Botha

On 26 June 2014 15:31, <[hidden email]> wrote:

Hi all,

I kindly ask you whether someone can help me on Japanese Compounded conventions.

All corporate bonds non Yen-denominated issued in Japan ("Samurai bonds") have Japanese Compounded conventions in Reuters Eikon and NL/360 in Bloomberg DES page.

Reuters says that "Interest is compounded annually using an Act/365 day count basis", and so I have tried to map this as "Actual/365 (ISMA)" in quantlib but I'm not able to get the same YieldToPrice calculation as Bloomberg and Reuters.

I've also tried other conventions, but I had no chance.

Could someone help me on this?

Thanks in advance
Andrea

--
**************************************************
Andrea Palermo
Product Manager
mailto:[hidden email]

SoftSolutions!
Via S. Francesco d'Assisi, 3b, 24121 Bergamo (BG) Italia
Tel: <a href="tel:%2B39%20035-22714-45" target="_blank">+39 035-22714-45
Fax: <a href="tel:%2B39%20035%201990%206390" target="_blank">+39 035 1990 6390
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.
Please don't print this e-mail unless you really need to.

------------------------------------------------------------------------------
Open source business process management suite built on Java and Eclipse
Turn processes into business applications with Bonita BPM Community Edition
Quickly connect people, data, and systems into organized workflows
Winner of BOSSIE, CODIE, OW2 and Gartner awards
http://p.sf.net/sfu/Bonitasoft
_______________________________________________
QuantLib-users mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-users

--
**************************************************
Andrea Palermo
Product Manager
mailto:[hidden email]

SoftSolutions!
Via S. Francesco d'Assisi, 3b, 24121 Bergamo (BG) Italia
Tel: <a href="tel:%2B39%20035-22714-45" value="+390352271445" target="_blank">+39 035-22714-45
Fax: <a href="tel:%2B39%20035%201990%206390" value="+3903519906390" target="_blank">+39 035 1990 6390
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.
Please don't print this e-mail unless you really need to.

andrea.palermo

Re: Japanese Compounded and NL/360 for Samurai bonds

Hello Francois,

Thanks again for your support.

Unfortunatley I don't think this could be the solution, because Samurai bonds are not government bonds but Credits and use the Compound yield.

In the excel sheet, with a settlement date @ July 2nd, I have tried to put 2.000 as yield which leads in the Excel to a price (Compounded) of 99.736 vs a Bloomberg and Reuters price of 99.731.

Even if I use Simple Yield formula, with a price of 99.731 I get an yield of 2.189 instead of 2.000

Kind regards

Andrea

Da: "Francois Botha" <[hidden email]>
A: "andrea palermo" <[hidden email]>
Cc: "QuantLib users" <[hidden email]>
Inviato: Venerdì, 27 giugno 2014 11:58:30
Oggetto: Re: [Quantlib-users] Japanese Compounded and NL/360 for Samurai bonds

Is the solution not that Japanese Government Bonds use a simple interest formula as described on http://www.derivativepricing.com/blog/bid/77900/Calculating-Bond-Yields ?

If I use that formula, the price of 100 agrees with coupon of 1.805% and yield of 1.805%.

Francois Botha

On 27 June 2014 11:28, <[hidden email]> wrote:

Hello Francois,

thank you for your reply.

I attach an excel sheet of JP584046C5B1. I put an yield 1.805 equal to the coupon. Price must be 100.000, as in Bloomberg and Reuters, but I'm really not able to get 100.000 with Quantlib Formulas.
I have selected Act/365 (Fixed) as should be for this kind of bond, but anyway no other day count rule leads to 100.000

There should be something I miss for these bonds, I suppose, because for all other asset classes, YiedToPrice I do using Quantlib are perfect.

Kind regards
Andrea

Da: "Francois Botha" <[hidden email]>
A: "andrea palermo" <[hidden email]>
Cc: "QuantLib users" <[hidden email]>
Inviato: Venerdì, 27 giugno 2014 9:07:36
Oggetto: Re: [Quantlib-users] Japanese Compounded and NL/360 for Samurai bonds

Can you perhaps give some examples of the figures?

Francois Botha

On 26 June 2014 15:31, <[hidden email]> wrote:
Hi all,

I kindly ask you whether someone can help me on Japanese Compounded conventions.

All corporate bonds non Yen-denominated issued in Japan ("Samurai bonds") have Japanese Compounded conventions in Reuters Eikon and NL/360 in Bloomberg DES page.

Reuters says that "Interest is compounded annually using an Act/365 day count basis", and so I have tried to map this as "Actual/365 (ISMA)" in quantlib but I'm not able to get the same YieldToPrice calculation as Bloomberg and Reuters.
I've also tried other conventions, but I had no chance.

Could someone help me on this?

Thanks in advance
Andrea

--
**************************************************
Andrea Palermo
Product Manager
mailto:[hidden email]

SoftSolutions!
Via S. Francesco d'Assisi, 3b, 24121 Bergamo (BG) Italia
Tel: <a href="tel:%2B39%20035-22714-45" target="_blank" data-mce-href="tel:%2B39%20035-22714-45">+39 035-22714-45
Fax: <a href="tel:%2B39%20035%201990%206390" target="_blank" data-mce-href="tel:%2B39%20035%201990%206390">+39 035 1990 6390
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.
Please don't print this e-mail unless you really need to.

------------------------------------------------------------------------------
Open source business process management suite built on Java and Eclipse
Turn processes into business applications with Bonita BPM Community Edition
Quickly connect people, data, and systems into organized workflows
Winner of BOSSIE, CODIE, OW2 and Gartner awards
http://p.sf.net/sfu/Bonitasoft
_______________________________________________
QuantLib-users mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-users

--
**************************************************
Andrea Palermo
Product Manager
mailto:[hidden email]

SoftSolutions!
Via S. Francesco d'Assisi, 3b, 24121 Bergamo (BG) Italia
Tel: <a href="tel:%2B39%20035-22714-45" target="_blank" data-mce-href="tel:%2B39%20035-22714-45">+39 035-22714-45
Fax: <a href="tel:%2B39%20035%201990%206390" target="_blank" data-mce-href="tel:%2B39%20035%201990%206390">+39 035 1990 6390
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.
Please don't print this e-mail unless you really need to.

**************************************************
Andrea Palermo
Product Manager
mailto:[hidden email]

SoftSolutions!
Via S. Francesco d'Assisi, 3b, 24121 Bergamo (BG) Italia
Tel: +39 035-22714-45
Fax: +39 035 1990 6390
http://www.softsolutions.it
**************************************************

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

SoftSolutions! S.r.l.
Please don't print this e-mail unless you really need to.