Hi,
I'm using quantlib to build a spread strategy for pricing corporates
bonds. At the moment I have a problem with some bond types because the
yields and the prices achieved with quantlib are different from those of
bloomberg.
I'm looking for an user with a good knowledge of Quantlib financial
functions [mainly qlFixedCouponBond(); qlBondYield() e
qlBondCleanPrice()], available some days to assessing togheter the
accuracy of the library.
In particular,
I priced a BTPS 9 11/01/23 with ISIN: IT0000366655 where the benchmark is
DBR 6 1/4 01/24.
First of all, I computed the benchmark yields with the qlbondyield
function: the values achieved are the same of bloomberg.
Then, from the benchmark yields (summing the spread in bp) I computed the
price for the BTP using qlbondcleanprice function: but, the difference
among our price and the bloomberg's one is about of 80 cent.
Can someone help me to understand where i'm making a mistake?
Thanks.
Vittorio di Stefano
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