On the accuracy of quantlib addins

Hi Vittorio,

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Regards

Mandy

 
 
Toyin Akin <[hidden email]> writes
>
>Hi Vittorio,
>
>Currently, QuantLib's Bond calculation fails to calculate correctly
because
>of the way unadjusted coupon dates are calculated.
>
>Basically, given an array of coupon objects that represent a bond
schedule
>and given a DayCounter (ie - act365, 30360, actact), when a
yearfraction()
>is requested for any coupon period within a Bond object, the
unadjusted
>dates underlying the coupon object are initially incorrect.
>
>Even though the logic within the DayCounter class is correct, many of
the
>dayCounter classes make use of the unadjusted dates within the
>yearFraction() logic and thus you arrive at inaccurate results.
>
>You also have the problem of short/long first/last coupon periods that
are

>not treated correctly either.
>
>Best Regards,
>Toyin Akin.
>CapeTools QuantTools,
>www.QuantTools.com
>
>>From: [hidden email]
>>To: [hidden email]
>>Subject: [Quantlib-users] On the accuracy of quantlib addins
>>Date: Tue, 9 Jan 2007 09:59:24 +0100
>>
>>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.
>>
>>
>>Vittorio di Stefano
>>mailto:[hidden email]
>>
>>SoftSolutions!
>>Via S. Francesco d'Assisi, 3b, 24121 Bergamo (BG) Italia
>>Tel:    [phone]
>>Fax:    [phone]
>>http://www.softsolutions.it
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