CD Yield Calculations

Posted by Martin Ross on Oct 22, 2016; 2:02pm
URL: http://quantlib.414.s1.nabble.com/CD-Yield-Calculations-tp17822.html

Hi Luigi,

We would like to add an implement functionality similar to BondFunctions.yield to correctly calculate Certificate of Deposit yields - which are not the same as standard yield calcs.  Can you give us any guidelines as to how you would like this functionality added so that we can get this integrated into the QuantLib distribution.  The below image is from ISMA/ICMA Bond Markets: Structures and Yield Calculations.  We are happy to do the coding but aren't so familiar with the framework and best way to implement this.

Thanks,

Martin

http://www.icmagroup.org/assets/documents/Media/Bondmarketsbook/Bond%20markets_structures%20and%20yield%20calculations.pdf

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