Re: Z-Spread of bond
Posted by
Allen Kuo-2 on
URL: http://quantlib.414.s1.nabble.com/Z-Spread-of-bond-tp1281p1283.html
for the latter, try:
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.
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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