Can you replicate the BESA market prices exactly or don't you need that accuracy? I needed accuracy to the 5th decimal in order to bootstrap a yield curve that matches our own internal curve. But I found some discrepancies in the inflation index interpolation that threw out the bond valuation, just slightly, but enough to distort my yield curve enough.
On 24 Dec 2015 10:49, "Charles Allderman" <[hidden email]> wrote:Hi Francois
I got official version working thanks to John Orford on this forum.
The issue it seems was that the inflationIndex object needed one date
instead of multiple index points. My assumption was it would pull out the
latest valid point.
The way the pricer works is that the real coupons are increased by the
inflation rate curve term structure, zciisData. The result therefore becomes
a nominal future cash flow. To price then the bondpricer simply discounts
these by the nominal term structure. I added some additional code to print
the determined cash flows and the "growth factor" and then the discount
rate.
Doing it this way I think is fine for my purposes at present.
Thanks
Charles
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