R: Re: Japanese Compounded and NL/360 for Samurai bonds

hi Andrea,

I'm not at work, so I don't have any Bloomberg in front of me right now, but I think you shouldn't use settlement date 2nd July 2014, because if I remember correctly Settlement convention for bond in JPY is t+1 and not t+3, differnttly from the majority of bonds denominated in other currencies.

Hope this helps,

Chiara

----Messaggio originale----
Da: [hidden email]
Data: 27/06/2014 12.57
A: "Francois Botha"<[hidden email]>
Cc: "QuantLib users"<[hidden email]>
Ogg: Re: [Quantlib-users] Japanese Compounded and NL/360 for Samurai bonds

Hello Francois,

Thanks again for your support.

Unfortunatley I don't think this could be the solution, because Samurai bonds are not government bonds but Credits and use the Compound yield.

In the excel sheet, with a settlement date @ July 2nd, I have tried to put 2.000 as yield which leads in the Excel to a price (Compounded) of 99.736 vs a Bloomberg and Reuters price of 99.731.

Even if I use Simple Yield formula, with a price of 99.731 I get an yield of 2.189 instead of 2.000

Kind regards

Andrea

---

Da: "Francois Botha" <[hidden email]>
A: "andrea palermo" <[hidden email]>
Cc: "QuantLib users" <[hidden email]>
Inviato: Venerdì, 27 giugno 2014 11:58:30
Oggetto: Re: [Quantlib-users] Japanese Compounded and NL/360 for Samurai bonds

Is the solution not that Japanese Government Bonds use a simple interest formula as described on http://www.derivativepricing.com/blog/bid/77900/Calculating-Bond-Yields ?

If I use that formula, the price of 100 agrees with coupon of 1.805% and yield of 1.805%.

Francois Botha

On 27 June 2014 11:28, <[hidden email]> wrote:

Hello Francois,

thank you for your reply.

I attach an excel sheet of JP584046C5B1. I put an yield 1.805 equal to the coupon. Price must be 100.000, as in Bloomberg and Reuters, but I'm really not able to get 100.000 with Quantlib Formulas.

I have selected Act/365 (Fixed) as should be for this kind of bond, but anyway no other day count rule leads to 100.000

There should be something I miss for these bonds, I suppose, because for all other asset classes, YiedToPrice I do using Quantlib are perfect.

Kind regards

Andrea

---

Da: "Francois Botha" <[hidden email]>
A: "andrea palermo" <[hidden email]>
Cc: "QuantLib users" <[hidden email]>
Inviato: Venerdì, 27 giugno 2014 9:07:36
Oggetto: Re: [Quantlib-users] Japanese Compounded and NL/360 for Samurai bonds

Can you perhaps give some examples of the figures?

Francois Botha

On 26 June 2014 15:31, <[hidden email]> wrote:

Hi all,

I kindly ask you whether someone can help me on Japanese Compounded conventions.

All corporate bonds non Yen-denominated issued in Japan ("Samurai bonds") have Japanese Compounded conventions in Reuters Eikon and NL/360 in Bloomberg DES page.

Reuters says that "Interest is compounded annually using an Act/365 day count basis", and so I have tried to map this as "Actual/365 (ISMA)" in quantlib but I'm not able to get the same YieldToPrice calculation as Bloomberg and Reuters.

I've also tried other conventions, but I had no chance.

Could someone help me on this?

Thanks in advance

Andrea

--

**************************************************
Andrea Palermo
Product Manager
mailto:[hidden email]

SoftSolutions!
Via S. Francesco d'Assisi, 3b, 24121 Bergamo (BG) Italia
Tel: <a href="tel:%2B39%20035-22714-45" mce_href="tel:%2B39%20035-22714-45" target="_blank" data-mce-href="tel:%2B39%20035-22714-45">[phone]
Fax: <a href="tel:%2B39%20035%201990%206390" mce_href="tel:%2B39%20035%201990%206390" target="_blank" data-mce-href="tel:%2B39%20035%201990%206390">[phone]
http://www.softsolutions.it
**************************************************

This document is strictly confidential and is intended for use by the addressee unless otherwise indicated.
If you have received this e-mail in error we would be very grateful if you could please notify us immediately at mailto:[hidden email] and delete this e-mail from your system.

SoftSolutions! reserves the right to monitor all email communications through its internal and external networks.

SoftSolutions! S.r.l.
Please don't print this e-mail unless you really need to.

------------------------------------------------------------------------------
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Turn processes into business applications with Bonita BPM Community Edition
Quickly connect people, data, and systems into organized workflows
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_______________________________________________
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--

**************************************************
Andrea Palermo
Product Manager
mailto:[hidden email]

SoftSolutions!
Via S. Francesco d'Assisi, 3b, 24121 Bergamo (BG) Italia
Tel: <a href="tel:%2B39%20035-22714-45" mce_href="tel:%2B39%20035-22714-45" target="_blank" data-mce-href="tel:%2B39%20035-22714-45">[phone]
Fax: <a href="tel:%2B39%20035%201990%206390" mce_href="tel:%2B39%20035%201990%206390" target="_blank" data-mce-href="tel:%2B39%20035%201990%206390">[phone]
http://www.softsolutions.it
**************************************************

This document is strictly confidential and is intended for use by the addressee unless otherwise indicated.
If you have received this e-mail in error we would be very grateful if you could please notify us immediately at mailto:[hidden email] and delete this e-mail from your system.

SoftSolutions! reserves the right to monitor all email communications through its internal and external networks.

SoftSolutions! S.r.l.
Please don't print this e-mail unless you really need to.

--

**************************************************
Andrea Palermo
Product Manager
mailto:[hidden email]

SoftSolutions!
Via S. Francesco d'Assisi, 3b, 24121 Bergamo (BG) Italia
Tel: [phone]
Fax: [phone]
http://www.softsolutions.it
**************************************************

This document is strictly confidential and is intended for use by the addressee unless otherwise indicated.
If you have received this e-mail in error we would be very grateful if you could please notify us immediately at mailto:[hidden email] and delete this e-mail from your system.

SoftSolutions! reserves the right to monitor all email communications through its internal and external networks.

SoftSolutions! S.r.l.
Please don't print this e-mail unless you really need to.

------------------------------------------------------------------------------
Open source business process management suite built on Java and Eclipse
Turn processes into business applications with Bonita BPM Community Edition
Quickly connect people, data, and systems into organized workflows
Winner of BOSSIE, CODIE, OW2 and Gartner awards
http://p.sf.net/sfu/Bonitasoft
_______________________________________________
QuantLib-users mailing list
[hidden email]
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[andrea.palermo]

Hello Chiara,

Thanks to you, too!

Unfortunately I'm comparing the same settlement dates both in my Excel and in Bloomberg or Reuters. I really can't figure where is the mistake.

Anyway Samurai bonds (Credits issued in Japan by non-Japanese companies) have T+3 as settlement days.

Thanks again for your attention!

Andrea

---

Da: "chiara fornarola" <[hidden email]>
A: "andrea palermo" <[hidden email]>, "Francois Botha" <[hidden email]>
Cc: "QuantLib users" <[hidden email]>
Inviato: Venerdì, 27 giugno 2014 14:46:03
Oggetto: R: Re: [Quantlib-users] Japanese Compounded and NL/360 for Samurai bonds

hi Andrea,

I'm not at work, so I don't have any Bloomberg in front of me right now, but I think you shouldn't use settlement date 2nd July 2014, because if I remember correctly Settlement convention for bond in JPY is t+1 and not t+3, differnttly from the majority of bonds denominated in other currencies.

Hope this helps,

Chiara

----Messaggio originale----
Da: [hidden email]
Data: 27/06/2014 12.57
A: "Francois Botha"<[hidden email]>
Cc: "QuantLib users"<[hidden email]>
Ogg: Re: [Quantlib-users] Japanese Compounded and NL/360 for Samurai bonds

Hello Francois,

Thanks again for your support.

Unfortunatley I don't think this could be the solution, because Samurai bonds are not government bonds but Credits and use the Compound yield.

In the excel sheet, with a settlement date @ July 2nd, I have tried to put 2.000 as yield which leads in the Excel to a price (Compounded) of 99.736 vs a Bloomberg and Reuters price of 99.731.

Even if I use Simple Yield formula, with a price of 99.731 I get an yield of 2.189 instead of 2.000

Kind regards

Andrea

---

Da: "Francois Botha" <[hidden email]>
A: "andrea palermo" <[hidden email]>
Cc: "QuantLib users" <[hidden email]>
Inviato: Venerdì, 27 giugno 2014 11:58:30
Oggetto: Re: [Quantlib-users] Japanese Compounded and NL/360 for Samurai bonds

Is the solution not that Japanese Government Bonds use a simple interest formula as described on http://www.derivativepricing.com/blog/bid/77900/Calculating-Bond-Yields ?

If I use that formula, the price of 100 agrees with coupon of 1.805% and yield of 1.805%.

Francois Botha

On 27 June 2014 11:28, <[hidden email]> wrote:

Hello Francois,

thank you for your reply.

I attach an excel sheet of JP584046C5B1. I put an yield 1.805 equal to the coupon. Price must be 100.000, as in Bloomberg and Reuters, but I'm really not able to get 100.000 with Quantlib Formulas.

I have selected Act/365 (Fixed) as should be for this kind of bond, but anyway no other day count rule leads to 100.000

There should be something I miss for these bonds, I suppose, because for all other asset classes, YiedToPrice I do using Quantlib are perfect.

Kind regards

Andrea

---

Da: "Francois Botha" <[hidden email]>
A: "andrea palermo" <[hidden email]>
Cc: "QuantLib users" <[hidden email]>
Inviato: Venerdì, 27 giugno 2014 9:07:36
Oggetto: Re: [Quantlib-users] Japanese Compounded and NL/360 for Samurai bonds

Can you perhaps give some examples of the figures?

Francois Botha

On 26 June 2014 15:31, <[hidden email]> wrote:

Hi all,

I kindly ask you whether someone can help me on Japanese Compounded conventions.

All corporate bonds non Yen-denominated issued in Japan ("Samurai bonds") have Japanese Compounded conventions in Reuters Eikon and NL/360 in Bloomberg DES page.

Reuters says that "Interest is compounded annually using an Act/365 day count basis", and so I have tried to map this as "Actual/365 (ISMA)" in quantlib but I'm not able to get the same YieldToPrice calculation as Bloomberg and Reuters.

I've also tried other conventions, but I had no chance.

Could someone help me on this?

Thanks in advance

Andrea

--

**************************************************
Andrea Palermo
Product Manager
mailto:[hidden email]

SoftSolutions!
Via S. Francesco d'Assisi, 3b, 24121 Bergamo (BG) Italia
Tel: <a href="tel:%2B39%20035-22714-45" target="_blank" data-mce-href="tel:%2B39%20035-22714-45">[phone]
Fax: <a href="tel:%2B39%20035%201990%206390" target="_blank" data-mce-href="tel:%2B39%20035%201990%206390">[phone]
http://www.softsolutions.it
**************************************************

This document is strictly confidential and is intended for use by the addressee unless otherwise indicated.
If you have received this e-mail in error we would be very grateful if you could please notify us immediately at mailto:[hidden email] and delete this e-mail from your system.

SoftSolutions! reserves the right to monitor all email communications through its internal and external networks.

SoftSolutions! S.r.l.
Please don't print this e-mail unless you really need to.

------------------------------------------------------------------------------
Open source business process management suite built on Java and Eclipse
Turn processes into business applications with Bonita BPM Community Edition
Quickly connect people, data, and systems into organized workflows
Winner of BOSSIE, CODIE, OW2 and Gartner awards
http://p.sf.net/sfu/Bonitasoft
_______________________________________________
QuantLib-users mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-users

--

**************************************************
Andrea Palermo
Product Manager
mailto:[hidden email]

SoftSolutions!
Via S. Francesco d'Assisi, 3b, 24121 Bergamo (BG) Italia
Tel: <a href="tel:%2B39%20035-22714-45" target="_blank" data-mce-href="tel:%2B39%20035-22714-45">[phone]
Fax: <a href="tel:%2B39%20035%201990%206390" target="_blank" data-mce-href="tel:%2B39%20035%201990%206390">[phone]
http://www.softsolutions.it
**************************************************

This document is strictly confidential and is intended for use by the addressee unless otherwise indicated.
If you have received this e-mail in error we would be very grateful if you could please notify us immediately at mailto:[hidden email] and delete this e-mail from your system.

SoftSolutions! reserves the right to monitor all email communications through its internal and external networks.

SoftSolutions! S.r.l.
Please don't print this e-mail unless you really need to.

--

**************************************************
Andrea Palermo
Product Manager
mailto:[hidden email]

SoftSolutions!
Via S. Francesco d'Assisi, 3b, 24121 Bergamo (BG) Italia
Tel: [phone]
Fax: [phone]
http://www.softsolutions.it
**************************************************

This document is strictly confidential and is intended for use by the addressee unless otherwise indicated.
If you have received this e-mail in error we would be very grateful if you could please notify us immediately at mailto:[hidden email] and delete this e-mail from your system.

SoftSolutions! reserves the right to monitor all email communications through its internal and external networks.

SoftSolutions! S.r.l.
Please don't print this e-mail unless you really need to.

--

**************************************************
Andrea Palermo
Product Manager
mailto:[hidden email]

SoftSolutions!
Via S. Francesco d'Assisi, 3b, 24121 Bergamo (BG) Italia
Tel: [phone]
Fax: [phone]
http://www.softsolutions.it
**************************************************

This document is strictly confidential and is intended for use by the addressee unless otherwise indicated.
If you have received this e-mail in error we would be very grateful if you could please notify us immediately at mailto:[hidden email] and delete this e-mail from your system.

SoftSolutions! reserves the right to monitor all email communications through its internal and external networks.

SoftSolutions! S.r.l.
Please don't print this e-mail unless you really need to.

------------------------------------------------------------------------------
Open source business process management suite built on Java and Eclipse
Turn processes into business applications with Bonita BPM Community Edition
Quickly connect people, data, and systems into organized workflows
Winner of BOSSIE, CODIE, OW2 and Gartner awards
http://p.sf.net/sfu/Bonitasoft
_______________________________________________
QuantLib-users mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-users

[andrea.palermo]

Hello all!

I have created a more detailed spreadsheet of a Samurai bond, the JP584046C5B1, which has, as shown both in Bloomberg DES -> Coupons and in Eikon's Cash Flow tab a "End Coupon = short":

28/11/2014 9.205%
29/05/2015 9.025%
27/11/2015 8.927% + notional

This could explain (at least partially) the price differences.

How can I code in the Quantlib excel formulas the "End Coupon = short"?

For who could be interested, I attach the Excel spreadsheet

---

Da: "andrea palermo" <[hidden email]>
A: "chiara fornarola" <[hidden email]>
Cc: "QuantLib users" <[hidden email]>
Inviato: Venerdì, 27 giugno 2014 15:35:43
Oggetto: Re: [Quantlib-users] Japanese Compounded and NL/360 for Samurai bonds

Hello Chiara,

Thanks to you, too!

Unfortunately I'm comparing the same settlement dates both in my Excel and in Bloomberg or Reuters. I really can't figure where is the mistake.

Anyway Samurai bonds (Credits issued in Japan by non-Japanese companies) have T+3 as settlement days.

Thanks again for your attention!

Andrea

---

Da: "chiara fornarola" <[hidden email]>
A: "andrea palermo" <[hidden email]>, "Francois Botha" <[hidden email]>
Cc: "QuantLib users" <[hidden email]>
Inviato: Venerdì, 27 giugno 2014 14:46:03
Oggetto: R: Re: [Quantlib-users] Japanese Compounded and NL/360 for Samurai bonds

hi Andrea,

I'm not at work, so I don't have any Bloomberg in front of me right now, but I think you shouldn't use settlement date 2nd July 2014, because if I remember correctly Settlement convention for bond in JPY is t+1 and not t+3, differnttly from the majority of bonds denominated in other currencies.

Hope this helps,

Chiara

----Messaggio originale----
Da: [hidden email]
Data: 27/06/2014 12.57
A: "Francois Botha"<[hidden email]>
Cc: "QuantLib users"<[hidden email]>
Ogg: Re: [Quantlib-users] Japanese Compounded and NL/360 for Samurai bonds

Hello Francois,

Thanks again for your support.

Unfortunatley I don't think this could be the solution, because Samurai bonds are not government bonds but Credits and use the Compound yield.

In the excel sheet, with a settlement date @ July 2nd, I have tried to put 2.000 as yield which leads in the Excel to a price (Compounded) of 99.736 vs a Bloomberg and Reuters price of 99.731.

Even if I use Simple Yield formula, with a price of 99.731 I get an yield of 2.189 instead of 2.000

Kind regards

Andrea

---

Da: "Francois Botha" <[hidden email]>
A: "andrea palermo" <[hidden email]>
Cc: "QuantLib users" <[hidden email]>
Inviato: Venerdì, 27 giugno 2014 11:58:30
Oggetto: Re: [Quantlib-users] Japanese Compounded and NL/360 for Samurai bonds

Is the solution not that Japanese Government Bonds use a simple interest formula as described on http://www.derivativepricing.com/blog/bid/77900/Calculating-Bond-Yields ?

If I use that formula, the price of 100 agrees with coupon of 1.805% and yield of 1.805%.

Francois Botha

On 27 June 2014 11:28, <[hidden email]> wrote:

Hello Francois,

thank you for your reply.

I attach an excel sheet of JP584046C5B1. I put an yield 1.805 equal to the coupon. Price must be 100.000, as in Bloomberg and Reuters, but I'm really not able to get 100.000 with Quantlib Formulas.

I have selected Act/365 (Fixed) as should be for this kind of bond, but anyway no other day count rule leads to 100.000

There should be something I miss for these bonds, I suppose, because for all other asset classes, YiedToPrice I do using Quantlib are perfect.

Kind regards

Andrea

---

Da: "Francois Botha" <[hidden email]>
A: "andrea palermo" <[hidden email]>
Cc: "QuantLib users" <[hidden email]>
Inviato: Venerdì, 27 giugno 2014 9:07:36
Oggetto: Re: [Quantlib-users] Japanese Compounded and NL/360 for Samurai bonds

Can you perhaps give some examples of the figures?

Francois Botha

On 26 June 2014 15:31, <[hidden email]> wrote:

Hi all,

I kindly ask you whether someone can help me on Japanese Compounded conventions.

All corporate bonds non Yen-denominated issued in Japan ("Samurai bonds") have Japanese Compounded conventions in Reuters Eikon and NL/360 in Bloomberg DES page.

Reuters says that "Interest is compounded annually using an Act/365 day count basis", and so I have tried to map this as "Actual/365 (ISMA)" in quantlib but I'm not able to get the same YieldToPrice calculation as Bloomberg and Reuters.

I've also tried other conventions, but I had no chance.

Could someone help me on this?

Thanks in advance

Andrea

--

**************************************************
Andrea Palermo
Product Manager
mailto:[hidden email]

SoftSolutions!
Via S. Francesco d'Assisi, 3b, 24121 Bergamo (BG) Italia
Tel: <a href="tel:%2B39%20035-22714-45" target="_blank" data-mce-href="tel:%2B39%20035-22714-45">[phone]
Fax: <a href="tel:%2B39%20035%201990%206390" target="_blank" data-mce-href="tel:%2B39%20035%201990%206390">[phone]
http://www.softsolutions.it
**************************************************

This document is strictly confidential and is intended for use by the addressee unless otherwise indicated.
If you have received this e-mail in error we would be very grateful if you could please notify us immediately at mailto:[hidden email] and delete this e-mail from your system.

SoftSolutions! reserves the right to monitor all email communications through its internal and external networks.

SoftSolutions! S.r.l.
Please don't print this e-mail unless you really need to.

------------------------------------------------------------------------------
Open source business process management suite built on Java and Eclipse
Turn processes into business applications with Bonita BPM Community Edition
Quickly connect people, data, and systems into organized workflows
Winner of BOSSIE, CODIE, OW2 and Gartner awards
http://p.sf.net/sfu/Bonitasoft
_______________________________________________
QuantLib-users mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-users

--

**************************************************
Andrea Palermo
Product Manager
mailto:[hidden email]

SoftSolutions!
Via S. Francesco d'Assisi, 3b, 24121 Bergamo (BG) Italia
Tel: <a href="tel:%2B39%20035-22714-45" target="_blank" data-mce-href="tel:%2B39%20035-22714-45">[phone]
Fax: <a href="tel:%2B39%20035%201990%206390" target="_blank" data-mce-href="tel:%2B39%20035%201990%206390">[phone]
http://www.softsolutions.it
**************************************************

This document is strictly confidential and is intended for use by the addressee unless otherwise indicated.
If you have received this e-mail in error we would be very grateful if you could please notify us immediately at mailto:[hidden email] and delete this e-mail from your system.

SoftSolutions! reserves the right to monitor all email communications through its internal and external networks.

SoftSolutions! S.r.l.
Please don't print this e-mail unless you really need to.

--

**************************************************
Andrea Palermo
Product Manager
mailto:[hidden email]

SoftSolutions!
Via S. Francesco d'Assisi, 3b, 24121 Bergamo (BG) Italia
Tel: [phone]
Fax: [phone]
http://www.softsolutions.it
**************************************************

This document is strictly confidential and is intended for use by the addressee unless otherwise indicated.
If you have received this e-mail in error we would be very grateful if you could please notify us immediately at mailto:[hidden email] and delete this e-mail from your system.

SoftSolutions! reserves the right to monitor all email communications through its internal and external networks.

SoftSolutions! S.r.l.
Please don't print this e-mail unless you really need to.

--

**************************************************
Andrea Palermo
Product Manager
mailto:[hidden email]

SoftSolutions!
Via S. Francesco d'Assisi, 3b, 24121 Bergamo (BG) Italia
Tel: [phone]
Fax: [phone]
http://www.softsolutions.it
**************************************************

This document is strictly confidential and is intended for use by the addressee unless otherwise indicated.
If you have received this e-mail in error we would be very grateful if you could please notify us immediately at mailto:[hidden email] and delete this e-mail from your system.

SoftSolutions! reserves the right to monitor all email communications through its internal and external networks.

SoftSolutions! S.r.l.
Please don't print this e-mail unless you really need to.

------------------------------------------------------------------------------
Open source business process management suite built on Java and Eclipse
Turn processes into business applications with Bonita BPM Community Edition
Quickly connect people, data, and systems into organized workflows
Winner of BOSSIE, CODIE, OW2 and Gartner awards
http://p.sf.net/sfu/Bonitasoft
_______________________________________________
QuantLib-users mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-users

--

**************************************************
Andrea Palermo
Product Manager
mailto:[hidden email]

SoftSolutions!
Via S. Francesco d'Assisi, 3b, 24121 Bergamo (BG) Italia
Tel: [phone]
Fax: [phone]
http://www.softsolutions.it
**************************************************

This document is strictly confidential and is intended for use by the addressee unless otherwise indicated.
If you have received this e-mail in error we would be very grateful if you could please notify us immediately at mailto:[hidden email] and delete this e-mail from your system.

SoftSolutions! reserves the right to monitor all email communications through its internal and external networks.

SoftSolutions! S.r.l.
Please don't print this e-mail unless you really need to.

------------------------------------------------------------------------------
Open source business process management suite built on Java and Eclipse
Turn processes into business applications with Bonita BPM Community Edition
Quickly connect people, data, and systems into organized workflows
Winner of BOSSIE, CODIE, OW2 and Gartner awards
http://p.sf.net/sfu/Bonitasoft
_______________________________________________
QuantLib-users mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-users

[andrea.palermo]

I re-send the same message without attachment waiting for moderator's approval :)

Thanks in advance

Andrea

---

Da: "andrea palermo" <[hidden email]>
A: "chiara fornarola" <[hidden email]>
Cc: "QuantLib users" <[hidden email]>
Inviato: Lunedì, 30 giugno 2014 16:46:52
Oggetto: Re: [Quantlib-users] Japanese Compounded and NL/360 for Samurai bonds

Hello all!

I have created a more detailed spreadsheet of a Samurai bond, the JP584046C5B1, which has, as shown both in Bloomberg DES -> Coupons and in Eikon's Cash Flow tab a "End Coupon = short":

28/11/2014 9.205%
29/05/2015 9.025%
27/11/2015 8.927% + notional

This could explain (at least partially) the price differences.

How can I code in the Quantlib excel formulas the "End Coupon = short"?

For who could be interested, I attach the Excel spreadsheet

---

Da: "andrea palermo" <[hidden email]>
A: "chiara fornarola" <[hidden email]>
Cc: "QuantLib users" <[hidden email]>
Inviato: Venerdì, 27 giugno 2014 15:35:43
Oggetto: Re: [Quantlib-users] Japanese Compounded and NL/360 for Samurai bonds

Hello Chiara,

Thanks to you, too!

Unfortunately I'm comparing the same settlement dates both in my Excel and in Bloomberg or Reuters. I really can't figure where is the mistake.

Anyway Samurai bonds (Credits issued in Japan by non-Japanese companies) have T+3 as settlement days.

Thanks again for your attention!

Andrea

---

Da: "chiara fornarola" <[hidden email]>
A: "andrea palermo" <[hidden email]>, "Francois Botha" <[hidden email]>
Cc: "QuantLib users" <[hidden email]>
Inviato: Venerdì, 27 giugno 2014 14:46:03
Oggetto: R: Re: [Quantlib-users] Japanese Compounded and NL/360 for Samurai bonds

hi Andrea,

I'm not at work, so I don't have any Bloomberg in front of me right now, but I think you shouldn't use settlement date 2nd July 2014, because if I remember correctly Settlement convention for bond in JPY is t+1 and not t+3, differnttly from the majority of bonds denominated in other currencies.

Hope this helps,

Chiara

----Messaggio originale----
Da: [hidden email]
Data: 27/06/2014 12.57
A: "Francois Botha"<[hidden email]>
Cc: "QuantLib users"<[hidden email]>
Ogg: Re: [Quantlib-users] Japanese Compounded and NL/360 for Samurai bonds

Hello Francois,

Thanks again for your support.

Unfortunatley I don't think this could be the solution, because Samurai bonds are not government bonds but Credits and use the Compound yield.

In the excel sheet, with a settlement date @ July 2nd, I have tried to put 2.000 as yield which leads in the Excel to a price (Compounded) of 99.736 vs a Bloomberg and Reuters price of 99.731.

Even if I use Simple Yield formula, with a price of 99.731 I get an yield of 2.189 instead of 2.000

Kind regards

Andrea

---

Da: "Francois Botha" <[hidden email]>
A: "andrea palermo" <[hidden email]>
Cc: "QuantLib users" <[hidden email]>
Inviato: Venerdì, 27 giugno 2014 11:58:30
Oggetto: Re: [Quantlib-users] Japanese Compounded and NL/360 for Samurai bonds

Is the solution not that Japanese Government Bonds use a simple interest formula as described on http://www.derivativepricing.com/blog/bid/77900/Calculating-Bond-Yields ?

If I use that formula, the price of 100 agrees with coupon of 1.805% and yield of 1.805%.

Francois Botha

On 27 June 2014 11:28, <[hidden email]> wrote:

Hello Francois,

thank you for your reply.

I attach an excel sheet of JP584046C5B1. I put an yield 1.805 equal to the coupon. Price must be 100.000, as in Bloomberg and Reuters, but I'm really not able to get 100.000 with Quantlib Formulas.

I have selected Act/365 (Fixed) as should be for this kind of bond, but anyway no other day count rule leads to 100.000

There should be something I miss for these bonds, I suppose, because for all other asset classes, YiedToPrice I do using Quantlib are perfect.

Kind regards

Andrea

---

Da: "Francois Botha" <[hidden email]>
A: "andrea palermo" <[hidden email]>
Cc: "QuantLib users" <[hidden email]>
Inviato: Venerdì, 27 giugno 2014 9:07:36
Oggetto: Re: [Quantlib-users] Japanese Compounded and NL/360 for Samurai bonds

Can you perhaps give some examples of the figures?

Francois Botha

On 26 June 2014 15:31, <[hidden email]> wrote:

Hi all,

I kindly ask you whether someone can help me on Japanese Compounded conventions.

All corporate bonds non Yen-denominated issued in Japan ("Samurai bonds") have Japanese Compounded conventions in Reuters Eikon and NL/360 in Bloomberg DES page.

Reuters says that "Interest is compounded annually using an Act/365 day count basis", and so I have tried to map this as "Actual/365 (ISMA)" in quantlib but I'm not able to get the same YieldToPrice calculation as Bloomberg and Reuters.

I've also tried other conventions, but I had no chance.

Could someone help me on this?

Thanks in advance

Andrea

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SoftSolutions!
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[andrea.palermo]

Hello all!

I moved few steps forward in my investigation about Japanese bonds.

I have verified that actually my problems are only on bonds with currency Yen, Bloomberg Calculation Type STREET CONVENTION and Bloomberg day count ACT/365.

What changes among Euro or USD ACT/365 (ok for me) and Yen ACT/365 is the Bloomberg code of the two day counts: even if the name is ACT/365 for both, Euro or USD ones have code 3, whilst Yen ones have code 103.

Do some of you knows the difference and knows how to map this ACT/365(103) with a quantlib code?

Thanks in advance!

Andrea

---

Da: "andrea palermo" <[hidden email]>
A: "chiara fornarola" <[hidden email]>
Cc: "QuantLib users" <[hidden email]>
Inviato: Lunedì, 30 giugno 2014 16:46:52
Oggetto: Re: [Quantlib-users] Japanese Compounded and NL/360 for Samurai bonds

Hello all!

I have created a more detailed spreadsheet of a Samurai bond, the JP584046C5B1, which has, as shown both in Bloomberg DES -> Coupons and in Eikon's Cash Flow tab a "End Coupon = short":

28/11/2014 9.205%
29/05/2015 9.025%
27/11/2015 8.927% + notional

This could explain (at least partially) the price differences.

How can I code in the Quantlib excel formulas the "End Coupon = short"?

For who could be interested, I attach the Excel spreadsheet

---

Da: "andrea palermo" <[hidden email]>
A: "chiara fornarola" <[hidden email]>
Cc: "QuantLib users" <[hidden email]>
Inviato: Venerdì, 27 giugno 2014 15:35:43
Oggetto: Re: [Quantlib-users] Japanese Compounded and NL/360 for Samurai bonds

Hello Chiara,

Thanks to you, too!

Unfortunately I'm comparing the same settlement dates both in my Excel and in Bloomberg or Reuters. I really can't figure where is the mistake.

Anyway Samurai bonds (Credits issued in Japan by non-Japanese companies) have T+3 as settlement days.

Thanks again for your attention!

Andrea

---

Da: "chiara fornarola" <[hidden email]>
A: "andrea palermo" <[hidden email]>, "Francois Botha" <[hidden email]>
Cc: "QuantLib users" <[hidden email]>
Inviato: Venerdì, 27 giugno 2014 14:46:03
Oggetto: R: Re: [Quantlib-users] Japanese Compounded and NL/360 for Samurai bonds

hi Andrea,

I'm not at work, so I don't have any Bloomberg in front of me right now, but I think you shouldn't use settlement date 2nd July 2014, because if I remember correctly Settlement convention for bond in JPY is t+1 and not t+3, differnttly from the majority of bonds denominated in other currencies.

Hope this helps,

Chiara

----Messaggio originale----
Da: [hidden email]
Data: 27/06/2014 12.57
A: "Francois Botha"<[hidden email]>
Cc: "QuantLib users"<[hidden email]>
Ogg: Re: [Quantlib-users] Japanese Compounded and NL/360 for Samurai bonds

Hello Francois,

Thanks again for your support.

Unfortunatley I don't think this could be the solution, because Samurai bonds are not government bonds but Credits and use the Compound yield.

In the excel sheet, with a settlement date @ July 2nd, I have tried to put 2.000 as yield which leads in the Excel to a price (Compounded) of 99.736 vs a Bloomberg and Reuters price of 99.731.

Even if I use Simple Yield formula, with a price of 99.731 I get an yield of 2.189 instead of 2.000

Kind regards

Andrea

---

Da: "Francois Botha" <[hidden email]>
A: "andrea palermo" <[hidden email]>
Cc: "QuantLib users" <[hidden email]>
Inviato: Venerdì, 27 giugno 2014 11:58:30
Oggetto: Re: [Quantlib-users] Japanese Compounded and NL/360 for Samurai bonds

Is the solution not that Japanese Government Bonds use a simple interest formula as described on http://www.derivativepricing.com/blog/bid/77900/Calculating-Bond-Yields ?

If I use that formula, the price of 100 agrees with coupon of 1.805% and yield of 1.805%.

Francois Botha

On 27 June 2014 11:28, <[hidden email]> wrote:

Hello Francois,

thank you for your reply.

I attach an excel sheet of JP584046C5B1. I put an yield 1.805 equal to the coupon. Price must be 100.000, as in Bloomberg and Reuters, but I'm really not able to get 100.000 with Quantlib Formulas.

I have selected Act/365 (Fixed) as should be for this kind of bond, but anyway no other day count rule leads to 100.000

There should be something I miss for these bonds, I suppose, because for all other asset classes, YiedToPrice I do using Quantlib are perfect.

Kind regards

Andrea

---

Da: "Francois Botha" <[hidden email]>
A: "andrea palermo" <[hidden email]>
Cc: "QuantLib users" <[hidden email]>
Inviato: Venerdì, 27 giugno 2014 9:07:36
Oggetto: Re: [Quantlib-users] Japanese Compounded and NL/360 for Samurai bonds

Can you perhaps give some examples of the figures?

Francois Botha

On 26 June 2014 15:31, <[hidden email]> wrote:

Hi all,

I kindly ask you whether someone can help me on Japanese Compounded conventions.

All corporate bonds non Yen-denominated issued in Japan ("Samurai bonds") have Japanese Compounded conventions in Reuters Eikon and NL/360 in Bloomberg DES page.

Reuters says that "Interest is compounded annually using an Act/365 day count basis", and so I have tried to map this as "Actual/365 (ISMA)" in quantlib but I'm not able to get the same YieldToPrice calculation as Bloomberg and Reuters.

I've also tried other conventions, but I had no chance.

Could someone help me on this?

Thanks in advance

Andrea

--

**************************************************
Andrea Palermo
Product Manager
mailto:[hidden email]

SoftSolutions!
Via S. Francesco d'Assisi, 3b, 24121 Bergamo (BG) Italia
Tel: <a href="tel:%2B39%20035-22714-45" target="_blank" data-mce-href="tel:%2B39%20035-22714-45">[phone]
Fax: <a href="tel:%2B39%20035%201990%206390" target="_blank" data-mce-href="tel:%2B39%20035%201990%206390">[phone]
http://www.softsolutions.it
**************************************************

This document is strictly confidential and is intended for use by the addressee unless otherwise indicated.
If you have received this e-mail in error we would be very grateful if you could please notify us immediately at mailto:[hidden email] and delete this e-mail from your system.

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Please don't print this e-mail unless you really need to.

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**************************************************
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SoftSolutions!
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Tel: <a href="tel:%2B39%20035-22714-45" target="_blank" data-mce-href="tel:%2B39%20035-22714-45">[phone]
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**************************************************
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SoftSolutions!
Via S. Francesco d'Assisi, 3b, 24121 Bergamo (BG) Italia
Tel: [phone]
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