Bugs item #3116601, was opened at 2010-11-23 14:01
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Category: None
Group: None
Status: Open
Resolution: None
Priority: 5
Private: No
Submitted By:
https://www.google.com/accounts ()
Assigned to: Nobody/Anonymous (nobody)
Summary: Bond Yield calculation for short maturity bonds
Initial Comment:
Source file: bond.cpp
----------------------------------------------------------------------
>Comment By:
https://www.google.com/accounts ()
Date: 2010-11-23 14:03
Message:
Rate Bond::yield(const DayCounter& dc,
Compounding comp,
Frequency freq,
Real accuracy,
Size maxEvaluations) const {
Real currentNotional = notional(settlementDate());
if (currentNotional == 0.0)
return 0.0;
return BondFunctions::yield(*this, cleanPrice(), dc, comp, freq,
settlementDate(),
accuracy, maxEvaluations);
}
In the above function:
Real currentNotional = notional(settlementDate());
should be
Real currentNotional = notional(settlementDate(settlement));
else it will always return yield=0 if settlement < maturity date. this is
observed for short maturity bonds.
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https://sourceforge.net/tracker/?func=detail&atid=112740&aid=3116601&group_id=12740------------------------------------------------------------------------------
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