Q: Gilt calculations

[Sergey.Andreyev]

Hello,

 

Does anybody knows how to calculate UK Gilt prices correctly based on the yield?

 

The problem is that the official schema of calculations treats ex-Dividend days differently. (if settlement is in 7 days before quasi-coupon date).

QuantLib makes close results, but not precise for my purpose. I need about 8 significant digits. Looks like Bloomberg has it right though.

 

 

I found the UK recommended formula here (http://www.dmo.gov.uk/documentview.aspx?docname=/giltsmarket/formulae/yldeqns.pdf&page=Gilts/Formulae)

 

Thanks in advance,

Sergey Andreyev

 

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