Re: Bond Credit Spread Calibration

Posted by John Orford on
URL: http://quantlib.414.s1.nabble.com/Bond-Credit-Spread-Calibration-tp16237p16240.html

Previous file was wrong - this is the one to look at.

On Fri Feb 06 2015 at 6:23:46 PM John Orford <[hidden email]> wrote:

I attached an example.

Suspect this isn't a stupid mistake, but a fundamental misunderstanding of mine, which is a little worrying.

Any help'll be appreciated.

John

On Fri Feb 06 2015 at 1:06:50 PM John Orford <[hidden email]> wrote:

Hey Guys,

Long time no questions - looking forward to getting back into QL again! Spending too much time ensconced in Javascript.

In any case, I can't figure out what I am doing wrong.

I create a FixedRateBond object with all the requisite accoutrements.

Then call a zSpread function reusing everything from the FixedRateBond object.

For the NPV which'll be calibrated to, I take a quoted clean market price and add the accrued amount from the bond object.

For example, MV = 135, Accrued Amt = 9.99, and NPV ~= 145.

However, when I take the output of the zSpread function and create a new object, the NPV turns out to be ~144.

I tried increasing accuracy and iterations but to no avail.

Are there any common gotchas while using the zSpread function?

As I write this I realise, a code example would be very helpful. I will do that now.

John

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