Hi,
I am attempting to use QuantLib library in order to calculate yield, Macaulay duration and convexity for US Treasury Notes and Bonds.
This is how the values compare in Bloomberg and QuantLib for one example where the price is 99.8984375.
Bloomberg QuantLib
Yield 0.302775 0.3027679582
Macaulay Duration 1.928 1.9129221698
Convexity 0.047 0.0460608896
Can you please let me know what I need to change in my code in order to get the results matching with Bloomberg?
This is a snippet of my code.
double ql_price = 99.8984375;
Date settlementDate = Date(25, Oct, 2013);
Date firstCouponDate = Date(31, Mar, 2014);
Date datedDate = Date(30, Sep, 2013);
Date maturityDate = Date(30, Sep, 2015);
//
// Parameters required to define the bond
//
Natural settlementDays = 0;
Real faceAmount = 100;
DayCounter bondDayCount = ActualActual(ActualActual::Bond);
BusinessDayConvention paymentConvention = ModifiedFollowing;
Real redemption = 100.0;
Compounding compoundingMethod = SimpleThenCompounded;
DateGeneration::Rule dateGeneration = DateGeneration::Forward;
Frequency frequency = Semiannual;
Real accuracy = 1.0e-11;
Size maxEvaluations = 100;
//
// Create the Schedule
//
Schedule fixedBondSchedule(
datedDate, // Dated Date
maturityDate, // Maturity Date
Period(Semiannual), // Period
UnitedStates(UnitedStates::GovernmentBond), // Calendar
Unadjusted, // BusinessDayConvention - convention
Unadjusted, // BusinessDayConvention - terminationDateConvention
dateGeneration, // DateGeneration::Rule rule
false, // endOfMonth
firstCouponDate); // First Date
//
// Create the Fixed Rate Bond
//
FixedRateBond bond(
settlementDays, // Settlement Days
faceAmount, // Face Amount
fixedBondSchedule, // Schedule
std::vector<Rate>(1, ql_coupon), // Coupons
bondDayCount, // DayCounter
paymentConvention, // BusinessDayConvention
redemption); // Redemption
Real ql_yield = BondFunctions::yield( bond, ql_price, bondDayCount, compoundingMethod, frequency, settlementDate, accuracy, maxEvaluations);
InterestRate interestRate(ql_yield, bondDayCount, compoundingMethod, frequency );
Real ql_convexity = BondFunctions::convexity( bond, interestRate, settlementDate );
Compounding compoundingMethod4Duration = Compounded;
Time ql_duration = BondFunctions::duration( bond, ql_yield, bondDayCount, compoundingMethod4Duration, frequency, Duration::Macaulay, settlementDate );
Thanks
-Senevi
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