QuantLib::Bond::cleanPriceFrom
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QuantLib::Bond::cleanPriceFrom
 
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Re: QuantLib::Bond::cleanPriceFrom
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Re: QuantLib::Bond::cleanPriceFrom
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Re: QuantLib::Bond::cleanPriceFrom
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Re: QuantLib::Bond::cleanPriceFrom
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Re: QuantLib::Bond::cleanPriceFrom
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Re: QuantLib::Bond::cleanPriceFrom
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Re: QuantLib::Bond::cleanPriceFrom
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Conceptually, Z-Spread is calculated from one interest rate scenario, for example zero curve. Why Hull-White model is used? Look at the implementation, the dirtyPriceFromZSpreadFunction() only use the cashflow (coupons) and discount with the spreadedCurve as the discount curve. There is no option involved at all. I have been thinking of how to implement a member function to calculate the OAS (option adjusted spread) and price from OAS. In fact, such a function will be much useful than Yield practically and Z-Spread should be only its simple case. However, with currently design, for each iteration for OAS finding, a new curve has to be initialized and is not efficient. It would be much easier and efficient if the rollback function can accept a spread parameter. I may be wrong about it. Thanks,
If the call date equals the evaluation date, the engine might consider it as expired. What happens if you try a bond that will be called one day after the evaluation date? Luigi ***** Thanks Luigi. Isn't that though, if the engine( I am using Hull-White) considers it as expired, the price should be very close to strike? Yes I tried using the evaluation date just before the next call date, the calculated price still not capped to strike as I would expect. Am I missing anything here? Thx, Xinc ***** gigifaye29 wrote: > > Can anyone help clarify my question? > > In the CallableBonds Class, does the member function > "cleanPriceFromZSpread(...)" calculate a clean price by discounting the > *unadjusted* cash flows, OR *adjusted* cash flows(prices on each note > revised to strike if option in the money), by interest tree note rates > plus z-spread? > > I got confused because the terminology z-spread(zero volatility spread) is > used in non-option setting but if this function simply just discounts all > unadjusted cashflows then it is not special to this callable bond class > anymore. > > If it does discount adjusted cashflows, then shouldn't the spread called > OAS instead of z-spread? > > Appreciate your correction on my misunderstanding, > Xinc > -- View this message in context: http://www.nabble.com/QuantLib%3A%3ABond%3A%3AcleanPriceFromZSpread-tp22183771p22291035.html Sent from the quantlib-users mailing list archive at Nabble.com. ------------------------------------------------------------------------------ Open Source Business Conference (OSBC), March 24-25, 2009, San Francisco, CA -OSBC tackles the biggest issue in open source: Open Sourcing the Enterprise -Strategies to boost innovation and cut costs with open source participation -Receive a $600 discount off the registration fee with the source code: SFAD http://p.sf.net/sfu/XcvMzF8H _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users ________________________________________________________ DTCC DISCLAIMER: This email and any files transmitted with it are confidential and intended solely for the use of the individual or entity to whom they are addressed. If you have received this email in error, please notify us immediately and delete the email and any attachments from your system. The recipient should check this email and any attachments for the presence of viruses. The company accepts no liability for any damage caused by any virus transmitted by this email. ------------------------------------------------------------------------------ Open Source Business Conference (OSBC), March 24-25, 2009, San Francisco, CA -OSBC tackles the biggest issue in open source: Open Sourcing the Enterprise -Strategies to boost innovation and cut costs with open source participation -Receive a $600 discount off the registration fee with the source code: SFAD http://p.sf.net/sfu/XcvMzF8H _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users |
Re: QuantLib::Bond::cleanPriceFrom
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Re: QuantLib::Bond::cleanPriceFrom
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Re: QuantLib::Bond::cleanPriceFrom
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The rollback function is essentially discounting the cashflow using the underling term structure, right? If we can apply the discount with spread, the current value will be spread adjusted. Thanks,
On Tue, Mar 3, 2009 at 7:36 PM, Guowen Han <[hidden email]> wrote: > It would be > much easier and efficient if the rollback function can accept a spread > parameter. what do you mean by rollback function? ciao -- Nando ------------------------------------------------------------------------------ Open Source Business Conference (OSBC), March 24-25, 2009, San Francisco, CA -OSBC tackles the biggest issue in open source: Open Sourcing the Enterprise -Strategies to boost innovation and cut costs with open source participation -Receive a $600 discount off the registration fee with the source code: SFAD http://p.sf.net/sfu/XcvMzF8H _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users ________________________________________________________ DTCC DISCLAIMER: This email and any files transmitted with it are confidential and intended solely for the use of the individual or entity to whom they are addressed. If you have received this email in error, please notify us immediately and delete the email and any attachments from your system. The recipient should check this email and any attachments for the presence of viruses. The company accepts no liability for any damage caused by any virus transmitted by this email. ------------------------------------------------------------------------------ Open Source Business Conference (OSBC), March 24-25, 2009, San Francisco, CA -OSBC tackles the biggest issue in open source: Open Sourcing the Enterprise -Strategies to boost innovation and cut costs with open source participation -Receive a $600 discount off the registration fee with the source code: SFAD http://p.sf.net/sfu/XcvMzF8H _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users |
Re: QuantLib::Bond::cleanPriceFrom
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In reply to this post by gigifaye29
I don't think there is such a thing implemented in QuantLib. This may be also a good candidate for the ToDo list. Thanks,
right, I understand that. I suppose .npv() gives us a present value by discounting the *adjusted* cash flows with treausre term structure plus OAS. But if my evaluation day is on the same day as the callable day, the .npv() result should be capped to the strike price, isn't it? Or as you mentioned, there was something I have missed to specify the callable notification so the pricing engine takes that into account....? From: Guowen Han [mailto:[hidden email]] Sent: Wednesday, March 04, 2009 10:15 AM To: Ferdinando Ametrano Cc: [hidden email]; Chen, Xin Subject: Re: [Quantlib-users] QuantLib::Bond::cleanPriceFromZSpread The rollback function is essentially discounting the cashflow using the underling term structure, right? If we can apply the discount with spread, the current value will be spread adjusted. Thanks,
On Tue, Mar 3, 2009 at 7:36 PM, Guowen Han <[hidden email]> wrote: > It would be > much easier and efficient if the rollback function can accept a spread > parameter. what do you mean by rollback function? ciao -- Nando ------------------------------------------------------------------------------ Open Source Business Conference (OSBC), March 24-25, 2009, San Francisco, CA -OSBC tackles the biggest issue in open source: Open Sourcing the Enterprise -Strategies to boost innovation and cut costs with open source participation -Receive a $600 discount off the registration fee with the source code: SFAD http://p.sf.net/sfu/XcvMzF8H _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users ________________________________________________________ DTCC DISCLAIMER: This email and any files transmitted with it are confidential and intended solely for the use of the individual or entity to whom they are addressed. If you have received this email in error, please notify us immediately and delete the email and any attachments from your system. The recipient should check this email and any attachments for the presence of viruses. The company accepts no liability for any damage caused by any virus transmitted by this email. ********************* NOTICE OF CONFIDENTIALITY This communication including any information transmitted with it is intended only for the use of the addressees and is confidential. If you are not an intended recipient or responsible for delivering the message to an intended recipient, any review, disclosure, conversion to hard copy, dissemination, reproduction or other use of any part of this communication is strictly prohibited, as is the taking or omitting of any action in reliance upon this communication. If you receive this communication in error or without authorization please notify us immediately by return e-mail or otherwise and permanently delete the entire communication from any computer, disk drive, or other storage medium. If the above disclaimer is not properly readable, it can be found at www.td.com/legal AVERTISSEMENT DE CONFIDENTIALITE Ce courriel, ainsi que tout renseignement ci-inclus, destiné uniquement aux destinataires susmentionnés, est confidentiel. Si vous n'êtes pas le destinataire prévu ou un agent responsable de la livraison de ce courriel, tout examen, divulgation, copie, impression, reproduction, distribution, ou autre utilisation d'une partie de ce courriel est strictement interdit de même que toute intervention ou abstraction à cet égard. Si vous avez reçu ce message par erreur ou sans autorisation, veuillez en aviser immédiatement l'expéditeur par retour de courriel ou par un autre moyen et supprimer immédiatement cette communication entière de tout système électronique. Si l'avis de non-responsabilité ci-dessus n'est pas lisible, vous pouvez le consulter à www.td.com/francais/legale ------------------------------------------------------------------------------ Open Source Business Conference (OSBC), March 24-25, 2009, San Francisco, CA -OSBC tackles the biggest issue in open source: Open Sourcing the Enterprise -Strategies to boost innovation and cut costs with open source participation -Receive a $600 discount off the registration fee with the source code: SFAD http://p.sf.net/sfu/XcvMzF8H _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users |
Re: QuantLib::Bond::cleanPriceFrom
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Re: QuantLib::Bond::cleanPriceFrom
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Re: QuantLib::Bond::cleanPriceFrom
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Re: QuantLib::Bond::cleanPriceFrom
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Re: QuantLib::Bond::cleanPriceFrom
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Re: QuantLib::Bond::cleanPriceFrom
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Re: QuantLib::Bond::cleanPriceFrom
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Re: QuantLib::Bond::cleanPriceFrom
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