Hi Irakli,
In the next release of QuantLib, bond class will have:
dirtyPriceFromZSpread and cleanPriceFromZSpread,
which calculate bond’s dirty and clean prices given: Z-spread, Daycounter, compounding, and frequency.
The function which calculates Z-spread given bond’s market price has not been implemented yet.
Chiara
-----Original Message-----
From:
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[mailto:[hidden email]] On Behalf Of Allen Kuo
Sent: Saturday,
August 25, 2007 4:36
AM
To: Irakli Machabeli;
[hidden email]
Subject: Re: [Quantlib-users]
Z-Spread of bond
for the latter, try:
ZeroSpreadedTermStructure (const <a href="file:///D:\cygwin\usr\local\src\QuantLib-docs-0.8.1-html\class_quant_lib_1_1_handle.html">Handle< <a href="file:///D:\cygwin\usr\local\src\QuantLib-docs-0.8.1-html\class_quant_lib_1_1_yield_term_structure.html">YieldTermStructure > &, const <a href="file:///D:\cygwin\usr\local\src\QuantLib-docs-0.8.1-html\class_quant_lib_1_1_handle.html">Handle< <a href="file:///D:\cygwin\usr\local\src\QuantLib-docs-0.8.1-html\class_quant_lib_1_1_quote.html">Quote > &spread, Compounding comp=Continuous, <a href="file:///D:\cygwin\usr\local\src\QuantLib-docs-0.8.1-html\group__datetime.html#g6d41db8ba0ea90d22df35889df452ada">Frequency freq=NoFrequency, const <a href="file:///D:\cygwin\usr\local\src\QuantLib-docs-0.8.1-html\class_quant_lib_1_1_day_counter.html">DayCounter &dc=<a href="file:///D:\cygwin\usr\local\src\QuantLib-docs-0.8.1-html\class_quant_lib_1_1_day_counter.html">DayCounter())
in the constructor of the bond, then calculate NPV() as usual.
For the former (calc z-spread from price and term structure), I think it comes out in the next release of QuantLib.
Irakli Machabeli
<[hidden email]> wrote:
Is there a method in quantlib that can calculate Z-SPREAD of bond given
price and term structure or calculate price given Z-SPREAD and term
structure? (Z-Spread is the amount of basis points one has to add to forward
rates implied by zero curve to equate discounted NPV of bond to the given
price of bond)
I'm absolute beginner to quantlib, quick grep in source code does not give
any result so before reinventing the wheel I decided to ask community help.
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