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bond clean price at the sett date knowing the price at a future sett Date

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pascal roca

bond clean price at the sett date knowing the price at a future sett Date

Hi,

I am new joiner and user of the QuantLib which a very great achievement !

Using the Swig Java, java quantlib API (windows) generated from the master trunk,

i was wondering if knowing the repo rate between 2 dates [settlementDate , futureSettlementDate] and the bond price at Future Settlement date P(t = future_settlement_date), i could workout the bond price at settlementDate ? , P(t= Settlement_date) ?

because it looks like FixedRateBondForward, is not exposed in the Java API

Cheers,

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Luigi Ballabio

Re: bond clean price at the sett date knowing the price at a future sett Date

Hello,

apologies for the delay. You can probably use the formulas in FixedRateBondForward directly in your calculations. Otherwise, it shouldn't be that difficult to export FixedRateBondForward to Java; any of the other instruments in SWIG/bonds.i can serve as an example.

Luigi

On Mon, Dec 8, 2014 at 9:34 PM, pascal roca <[hidden email]> wrote:

Hi,
I am new joiner and user of the QuantLib which a very great achievement !
Using the Swig Java, java quantlib API (windows) generated from the master trunk,
i was wondering if knowing the repo rate between 2 dates [settlementDate , futureSettlementDate] and the bond price at Future Settlement date P(t = future_settlement_date), i could workout the bond price at settlementDate ? , P(t= Settlement_date) ?
because it looks like FixedRateBondForward, is not exposed in the Java API
Cheers,
P

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pascal roca

Re: bond clean price at the sett date knowing the price at a future sett Date

In reply to this post by pascal roca

Thanks Luigi, I used the formula for time being , next time I'll export the class as you suggested
Pascal

On Dec 24, 2014 3:40 PM, Luigi Ballabio <[hidden email]> wrote:

Hello,
apologies for the delay. You can probably use the formulas in FixedRateBondForward directly in your calculations. Otherwise, it shouldn't be that difficult to export FixedRateBondForward to Java; any of the other instruments in SWIG/bonds.i can serve as an example.

Luigi

On Mon, Dec 8, 2014 at 9:34 PM, pascal roca <[hidden email]> wrote:

Hi,
I am new joiner and user of the QuantLib which a very great achievement !
Using the Swig Java, java quantlib API (windows) generated from the master trunk,
i was wondering if knowing the repo rate between 2 dates [settlementDate , futureSettlementDate] and the bond price at Future Settlement date P(t = future_settlement_date), i could workout the bond price at settlementDate ? , P(t= Settlement_date) ?
because it looks like FixedRateBondForward, is not exposed in the Java API
Cheers,
P

------------------------------------------------------------------------------
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from Actuate! Instantly Supercharge Your Business Reports and Dashboards
with Interactivity, Sharing, Native Excel Exports, App Integration & more
Get technology previously reserved for billion-dollar corporations, FREE
<a href="http://pubads.g.doubleclick.net/gampad/clk?id=164703151&iu=/4140/ostg.clktrk">http://pubads.g.doubleclick.net/gampad/clk?id=164703151&iu=/4140/ostg.clktrk
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