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Re: Difference between Bloomberg and

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Marcelo Piza

Re: Difference between Bloomberg and

If you look at the YA or YAS page on Bloomberg you will see that there are several yield conventions. It seems that the one you are quoting from Bloomberg is an Annual yield while quantlib is consistent with a semi-annual yield.

On Tue, Aug 3, 2010 at 10:43 AM, MARCELO PIZA, BLOOMBERG/ 731 LEXIN <[hidden email]> wrote:

----- Original Message -----
From: [hidden email]
To: [hidden email], [hidden email]
At: 8/03 10:33:48

Could it be due to a difference in compounding choices? You haven't noted the compunding choices (simple, compounded, or exponential) in both calculations.

----- Original Message -----
From: Antonio, Cipolletti
To: [hidden email]
Sent: Wednesday, July 28, 2010 11:18 AM
Subject: [Quantlib-users] Difference between Bloomberg and Quantlib

Hi,

My name is Antonio Cipolletti,

I am IT systems development manager in EuroTLX Sim spa, a company leader in Italian financial markets .

We are trying to develop an internal system in order to compute yield for Fixed Rate Bond.

For a lot of instrument the result using QuantLib is different from Bloomberg result, for example:

Isin IT0003934657 with following parameters

Day Count Convention=Actual/Actual (ISDA)

Frequency=Semiannual

Coupon=0.040000

Face=100.000000

Price=87.990000

Settlement Date=2010-08-02

Maturity Date=2037-02-01

Issue Date=2005-08-01

Calendar=TARGET

yield calculated by QuantLib=4.80616856 for Settlement Date 2010-08-02

yield calculated by Bloomberg terminal is 4.863525 for Settlement Date 2010-08-02

Why this difference, can you help me?

Many thanks in advance.

Antonio.

Antonio Cipolletti

IT Systems development

EuroTLX SIM S.p.A.

Via Cavriana, 20

20134 Milan - I

Tel. +39.02.30301434 - Mob. +39.335.7885795

Fax +39.02.30301499

www.eurotlx.com

The information in this email and in any attachments is confidential and intended solely for the attention and use of the named addressee(s). This information may be subject to legal professional or other privilege or may otherwise be protected by work product immunity or other legal rules. It must not be disclosed to any person without our authority. If you are not the intended recipient, or a person responsible for delivering it to the intended recipient, you are not authorized to and must not disclose, copy, distribute, or retain this message or any part of it. Thank you.

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Antonio, Cipolletti

Re: Difference between Bloomberg and

Yes..you are right…Many,Many thanks!!!

From: Marcelo Piza [mailto:[hidden email]]
Sent: Tuesday, August 03, 2010 16:52
To: Antonio, Cipolletti; [hidden email]
Subject: Re: Re: [Quantlib-users] Difference between Bloomberg and

On Tue, Aug 3, 2010 at 10:43 AM, MARCELO PIZA, BLOOMBERG/ 731 LEXIN <[hidden email]> wrote:

----- Original Message -----
From: [hidden email]
To: [hidden email], [hidden email]
At: 8/03 10:33:48

Could it be due to a difference in compounding choices? You haven't noted the compunding choices (simple, compounded, or exponential) in both calculations.

----- Original Message -----
From: Antonio, Cipolletti
To: [hidden email]
Sent: Wednesday, July 28, 2010 11:18 AM
Subject: [Quantlib-users] Difference between Bloomberg and Quantlib

Hi,

My name is Antonio Cipolletti,

I am IT systems development manager in EuroTLX Sim spa, a company leader in Italian financial markets .

We are trying to develop an internal system in order to compute yield for Fixed Rate Bond.

For a lot of instrument the result using QuantLib is different from Bloomberg result, for example:

Isin IT0003934657 with following parameters

Day Count Convention=Actual/Actual (ISDA)

Frequency=Semiannual

Coupon=0.040000

Face=100.000000

Price=87.990000

Settlement Date=2010-08-02

Maturity Date=2037-02-01

Issue Date=2005-08-01

Calendar=TARGET

yield calculated by QuantLib=4.80616856 for Settlement Date 2010-08-02

yield calculated by Bloomberg terminal is 4.863525 for Settlement Date 2010-08-02

Why this difference, can you help me?

Many thanks in advance.

Antonio.

Antonio Cipolletti

IT Systems development

EuroTLX SIM S.p.A.

Via Cavriana, 20

20134 Milan - I

Tel. +39.02.30301434 - Mob. +39.335.7885795

Fax +39.02.30301499

www.eurotlx.com

The information in this email and in any attachments is confidential and intended solely for the attention and use of the named addressee(s). This information may be subject to legal professional or other privilege or may otherwise be protected by work product immunity or other legal rules. It must not be disclosed to any person without our authority. If you are not the intended recipient, or a person responsible for delivering it to the intended recipient, you are not authorized to and must not disclose, copy, distribute, or retain this message or any part of it. Thank you.

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Plug-In Development Kit to bring their C/C++ apps to Palm for a share
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http://p.sf.net/sfu/dev2dev-palm

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LordByron

Re: Difference between Bloomberg and

In reply to this post by Marcelo Piza

Antonio, why don't you set the coupon rate to zero temporarily, for tentative purposes, if it is possible, and let us see if there is still difference?

----- Original Message -----

From: [hidden email]

To: [hidden email] ; [hidden email]

Sent: Tuesday, August 03, 2010 5:52 PM

Subject: Re: [Quantlib-users] Difference between Bloomberg and

If you look at the YA or YAS page on Bloomberg you will see that there are several yield conventions. It seems that the one you are quoting from Bloomberg is an Annual yield while quantlib is consistent with a semi-annual yield.

On Tue, Aug 3, 2010 at 10:43 AM, MARCELO PIZA, BLOOMBERG/ 731 LEXIN <[hidden email]> wrote:

----- Original Message -----
From: [hidden email]
To: [hidden email], [hidden email]
At: 8/03 10:33:48

Could it be due to a difference in compounding choices? You haven't noted the compunding choices (simple, compounded, or exponential) in both calculations.

----- Original Message -----
From: Antonio, Cipolletti
To: [hidden email]
Sent: Wednesday, July 28, 2010 11:18 AM
Subject: [Quantlib-users] Difference between Bloomberg and Quantlib

Hi,

My name is Antonio Cipolletti,

I am IT systems development manager in EuroTLX Sim spa, a company leader in Italian financial markets .

We are trying to develop an internal system in order to compute yield for Fixed Rate Bond.

For a lot of instrument the result using QuantLib is different from Bloomberg result, for example:

Isin IT0003934657 with following parameters

Day Count Convention=Actual/Actual (ISDA)

Frequency=Semiannual

Coupon=0.040000

Face=100.000000

Price=87.990000

Settlement Date=2010-08-02

Maturity Date=2037-02-01

Issue Date=2005-08-01

Calendar=TARGET

yield calculated by QuantLib=4.80616856 for Settlement Date 2010-08-02

yield calculated by Bloomberg terminal is 4.863525 for Settlement Date 2010-08-02

Why this difference, can you help me?

Many thanks in advance.

Antonio.

Antonio Cipolletti

IT Systems development

EuroTLX SIM S.p.A.

Via Cavriana, 20

20134 Milan - I

Tel. +39.02.30301434 - Mob. +39.335.7885795

Fax +39.02.30301499

www.eurotlx.com

The information in this email and in any attachments is confidential and intended solely for the attention and use of the named addressee(s). This information may be subject to legal professional or other privilege or may otherwise be protected by work product immunity or other legal rules. It must not be disclosed to any person without our authority. If you are not the intended recipient, or a person responsible for delivering it to the intended recipient, you are not authorized to and must not disclose, copy, distribute, or retain this message or any part of it. Thank you.

------------------------------------------------------------------------------

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Plug-In Development Kit to bring their C/C++ apps to Palm for a share
of $1 Million in cash or HP Products. Visit us here for more details:
http://p.sf.net/sfu/dev2dev-palm

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Antonio, Cipolletti

Re: Difference between Bloomberg and

Hi Harun, thanks for your interest.

Regarding Annual or Semi - annual yield , following your suggestion , if i change the frequency input parameter from semi-annual to annual

In the yield calculus, the value returned by the quantlib seem to be equal to the Bloomberg result.

But i found that Bloomberg is not using the annual yield as default calculus for all instrument, for example for the US36962GY402

The default setting is semi-annual why?

Antonio.

From: Harun Özkan [mailto:[hidden email]]
Sent: Wednesday, August 04, 2010 11:04
To: Antonio, Cipolletti; [hidden email]
Subject: Re: [Quantlib-users] Difference between Bloomberg and

Antonio, why don't you set the coupon rate to zero temporarily, for tentative purposes, if it is possible, and let us see if there is still difference?

----- Original Message -----

From: [hidden email]

To: [hidden email] ; [hidden email]

Sent: Tuesday, August 03, 2010 5:52 PM

Subject: Re: [Quantlib-users] Difference between Bloomberg and

If you look at the YA or YAS page on Bloomberg you will see that there are several yield conventions. It seems that the one you are quoting from Bloomberg is an Annual yield while quantlib is consistent with a semi-annual yield.

On Tue, Aug 3, 2010 at 10:43 AM, MARCELO PIZA, BLOOMBERG/ 731 LEXIN <[hidden email]> wrote:

----- Original Message -----
From: [hidden email]
To: [hidden email], [hidden email]
At: 8/03 10:33:48

Could it be due to a difference in compounding choices? You haven't noted the compunding choices (simple, compounded, or exponential) in both calculations.

----- Original Message -----
From: Antonio, Cipolletti
To: [hidden email]
Sent: Wednesday, July 28, 2010 11:18 AM
Subject: [Quantlib-users] Difference between Bloomberg and Quantlib

Hi,

My name is Antonio Cipolletti,

I am IT systems development manager in EuroTLX Sim spa, a company leader in Italian financial markets .

We are trying to develop an internal system in order to compute yield for Fixed Rate Bond.

For a lot of instrument the result using QuantLib is different from Bloomberg result, for example:

Isin IT0003934657 with following parameters

Day Count Convention=Actual/Actual (ISDA)

Frequency=Semiannual

Coupon=0.040000

Face=100.000000

Price=87.990000

Settlement Date=2010-08-02

Maturity Date=2037-02-01

Issue Date=2005-08-01

Calendar=TARGET

yield calculated by QuantLib=4.80616856 for Settlement Date 2010-08-02

yield calculated by Bloomberg terminal is 4.863525 for Settlement Date 2010-08-02

Why this difference, can you help me?

Many thanks in advance.

Antonio.

Antonio Cipolletti

IT Systems development

EuroTLX SIM S.p.A.

Via Cavriana, 20

20134 Milan - I

Tel. +39.02.30301434 - Mob. +39.335.7885795

Fax +39.02.30301499

www.eurotlx.com

The information in this email and in any attachments is confidential and intended solely for the attention and use of the named addressee(s). This information may be subject to legal professional or other privilege or may otherwise be protected by work product immunity or other legal rules. It must not be disclosed to any person without our authority. If you are not the intended recipient, or a person responsible for delivering it to the intended recipient, you are not authorized to and must not disclose, copy, distribute, or retain this message or any part of it. Thank you.

------------------------------------------------------------------------------

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The Palm PDK Hot Apps Program offers developers who use the
Plug-In Development Kit to bring their C/C++ apps to Palm for a share
of $1 Million in cash or HP Products. Visit us here for more details:
http://p.sf.net/sfu/dev2dev-palm

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http://p.sf.net/sfu/dev2dev-palm

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