problem to get the yield to maturity for a zero coupon bond

Posted by Adjriou Belak on
URL: http://quantlib.414.s1.nabble.com/problem-to-get-the-yield-to-maturity-for-a-zero-coupon-bond-tp10796.html

Hi,

 

there is a problem when quantlib is trying to get the yield from the price for zero coupon bond.

 

In the dirtyPriceFromYield() method, quantlib sets time t2 to ( CouponDate - LastCouponDate) but in Once frequency lastCouponDate is the issue Date so the t2 time is wrong in this case :

 

   Real price = 0.0;
            DiscountFactor discount = 1.0;
            Date lastDate = Date();

            for (Size i=0; i<cashflows.size(); ++i) {
                // discard expired coupons
                #if QL_TODAYS_PAYMENTS
                if (cashflows[i]->date() < settlement)
                #else
                if (cashflows[i]->date() <= settlement)
                #endif
                    continue;

                Date nextDate = cashflows[i]->date();
                Real amount = cashflows[i]->amount();
                if (i == cashflows.size()-1)
                    amount += redemption;

                Time t1, t2;
                if (lastDate == Date()) {
                    // first not-expired coupon
                    if (i > 0) {
                        lastDate = cashflows[i-1]->date();
                    } else {
                        boost::shared_ptr<Coupon> coupon =
                            boost::dynamic_pointer_cast<Coupon>(cashflows[i]);
                        if (coupon)
                            lastDate = coupon->accrualStartDate();
                        else
                            lastDate = nextDate - 1*Years;
                    }
                    t1 = dayCounter.yearFraction(settlement, nextDate,
                                                 lastDate, nextDate);
                    t2 = dayCounter.yearFraction(lastDate, nextDate);
                } else  {
                    t1 = dayCounter.yearFraction(lastDate, nextDate);
                    t2 = t1;
                }

                discount /= QL_POW(1 + yield*t2, t1/t2);
                price += amount * discount;
                lastDate = nextDate;
            }

            return price;
        }

 

regards.

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