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Market Yield in Risky Bonds

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Daniel Garcia

Market Yield in Risky Bonds

Dear,

I'm using the class for risky bonds:

...\QuantLib-1.7.1\ql\experimental\credit\riskybond.cpp

But I don't know how could I get the Yield for one of these bonds.

Many thanks in advance

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Daniel Garcia

Re: Market Yield in Risky Bonds

Alternatively Iwould like to find something similar to this within quantlib

http://quantlib.org/quantlibxl/func_bonds.html#qlBondYieldFromCleanPrice

Many thanks

2016-03-25 18:51 GMT+01:00 Daniel Garcia <[hidden email]>:

Dear,

I'm using the class for risky bonds:

...\QuantLib-1.7.1\ql\experimental\credit\riskybond.cpp

But I don't know how could I get the Yield for one of these bonds.

Many thanks in advance

Daniel Garcia

Re: Market Yield in Risky Bonds

Dear,

I've just found this re-implementation of the market yield method:

Rate yield(Real cleanPrice,

const DayCounter& dc,

Compounding comp,

Frequency freq,

Date settlementDate = Date(),

Real accuracy = 1.0e-8,

Size maxEvaluations = 100) const;

Thank you very much

2016-03-25 19:05 GMT+01:00 Daniel Garcia <[hidden email]>:

Alternatively Iwould like to find something similar to this within quantlib
http://quantlib.org/quantlibxl/func_bonds.html#qlBondYieldFromCleanPrice
Many thanks

2016-03-25 18:51 GMT+01:00 Daniel Garcia <[hidden email]>:
Dear,

I'm using the class for risky bonds:

...\QuantLib-1.7.1\ql\experimental\credit\riskybond.cpp

But I don't know how could I get the Yield for one of these bonds.

Many thanks in advance

Peter Caspers-4

Re: Market Yield in Risky Bonds

Hi Daniel,

apart form that in the Bond class (i.e. in instruments/bond.hpp) there is

//! yield given a (clean) price and settlement date
/*! The default bond settlement is used if no date is given. */
Rate yield(Real cleanPrice,
const DayCounter& dc,
Compounding comp,
Frequency freq,
Date settlementDate = Date(),
Real accuracy = 1.0e-8,
Size maxEvaluations = 100) const;

which I think is corresponding to the qlxl function you quoted.

Regards
Peter

On 25 March 2016 at 19:31, Daniel Garcia <[hidden email]> wrote:

> Dear,
>
> I've just found this re-implementation of the market yield method:
>
> Rate yield(Real cleanPrice,
> const DayCounter& dc,
> Compounding comp,
> Frequency freq,
> Date settlementDate = Date(),
> Real accuracy = 1.0e-8,
> Size maxEvaluations = 100) const;
>
>
> Thank you very much
>
> 2016-03-25 19:05 GMT+01:00 Daniel Garcia <[hidden email]>:
>>
>> Alternatively Iwould like to find something similar to this within
>> quantlib
>>
>> http://quantlib.org/quantlibxl/func_bonds.html#qlBondYieldFromCleanPrice
>>
>>
>> Many thanks
>>
>>
>> 2016-03-25 18:51 GMT+01:00 Daniel Garcia <[hidden email]>:
>>>
>>> Dear,
>>>
>>> I'm using the class for risky bonds:
>>>
>>> ...\QuantLib-1.7.1\ql\experimental\credit\riskybond.cpp
>>>
>>> But I don't know how could I get the Yield for one of these bonds.
>>>
>>> Many thanks in advance
>>
>>
>
>
> ------------------------------------------------------------------------------
> Transform Data into Opportunity.
> Accelerate data analysis in your applications with
> Intel Data Analytics Acceleration Library.
> Click to learn more.
> http://pubads.g.doubleclick.net/gampad/clk?id=278785351&iu=/4140
> _______________________________________________
> QuantLib-users mailing list
> [hidden email]
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>