Re: (no subject)

[Luigi Ballabio]

On Thu, Nov 24, 2011 at 4:40 PM, barba dos <[hidden email]> wrote:
> For callable bonds, what does the following error message mean:
>
> Error in calculation. the given cash flows cannot result in the given market
> price due to their sign.
>
>
> What is the idea behind this message.

Hello,
    I just tried to read the relevant code, and my head hurt.  The
logic is kind of obfuscated, but I think it means that you have
negative cash flows and you asked to find a yield that gives a
positive NPV, or the other way around.

Luigi

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[Guowen Han]

Callable bond usually has an advanced notice for the call. Once the notice is out, the bond price will drop. If there is no announcement in certain time period before the call schedule, it implies that the bond will not be called. So you need to put some logic there, otherwise you cannot match the market price otherwise. I saw the maturity of the US treasury bond  was changed because the call notice. For corporate bond seems different.

Hope this help.

Thanks,

-----Original Message-----
From: Luigi Ballabio [mailto:[hidden email]]
Sent: Thursday, December 01, 2011 4:03 AM
To: barba dos
Cc: [hidden email]
Subject: Re: [Quantlib-users] (no subject)

On Thu, Nov 24, 2011 at 4:40 PM, barba dos <[hidden email]> wrote:
> For callable bonds, what does the following error message mean:
>
> Error in calculation. the given cash flows cannot result in the given
> market price due to their sign.
>
>
> What is the idea behind this message.

Hello,
    I just tried to read the relevant code, and my head hurt.  The logic is kind of obfuscated, but I think it means that you have negative cash flows and you asked to find a yield that gives a positive NPV, or the other way around.

Luigi

------------------------------------------------------------------------------
All the data continuously generated in your IT infrastructure contains a definitive record of customers, application performance, security threats, fraudulent activity, and more. Splunk takes this data and makes sense of it. IT sense. And common sense.
http://p.sf.net/sfu/splunk-novd2d
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QuantLib-users mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-users
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------------------------------------------------------------------------------
All the data continuously generated in your IT infrastructure
contains a definitive record of customers, application performance,
security threats, fraudulent activity, and more. Splunk takes this
data and makes sense of it. IT sense. And common sense.
http://p.sf.net/sfu/splunk-novd2d
_______________________________________________
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