On 04/18/05 21:00:18, tambul fake wrote:
> Hi,
> What is the difference between settlement date and calculationdate in
> fixedcoupon function?
The calculation date is what you assume as today's date. It shouldn't
matter for fixed-coupon bonds, but I might be wrong. The settlement date is
the date at which the bond is traded advanced by the settlement days.
> When i input,
> Coupon rate 0.08
> Yield 0.07681
> Settlement date 07/01/2005
> Maturity Date 14/02/2034
> Calculation Date 07/01/2005
> Daycount act360
> settlementdays 0,
>
> Quantlib calculates 103.6639601, but it should be 103.677.
May you provide me some more data so that I can reproduce the calculation?
Namely, I'll need the bond calendar and rolling convention, the issue date,
and the coupon frequency. Also, is the price above the dirty or the clean
price?
Later,
Luigi
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