bond price engine using term structure

[Florent Makanda]

 Dear all ,

 

I'm new member in this list.

I am trying to manage a yield term structure using QuantLibXL.xla

 

I tried to price a zero-coupon bond using a variety of term structures available in Quantlib, I have no problem when I use a  piecewice yield curve and flatforward as BondEngine input.

 

Using other term structure  like zero -yield term structure , I am able to built the  curve object, but when I try to use this object with the BondEngine I experienced an issue on the BondCleanPrice(#NUM!).

 

Does anyone know something about it?

 

Futhermore,  when I try to use the Bond.xls sheet under standalone woorkbook with default value, I'm not able to calcute the BondCleanPrice for floating rate bond and Cms bond

 

Does anyone know something about it?

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[Eric Ehlers-2]

Hello,

> Using other term structure  like zero -yield term structure , I
> am able to built the  curve object, but when I try to use this object
> with the BondEngine I experienced an issue on the BondCleanPrice(#NUM!).

What message is returned by ohRetrieveError()?

> Futhermore,  when I try to use the Bond.xls sheet under standalone
> woorkbook with default value, I'm not able to calcute the
> BondCleanPrice for floating rate bond and Cms bond

I'm not sure that workbook is up to date.

Regards,
Eric

-------------------------
Eric Ehlers
nazcatech sprl | Brussels | http://www.nazcatech.be
Distributed computing for pricing analytics - Use Microsoft Excel as a
client to the Grid


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