Posted by
alihassani on
Jun 29, 2017; 12:20am
URL: http://quantlib.414.s1.nabble.com/YTC-for-all-call-dates-given-price-tp18367p18368.html
Looked at this very quickly but I think the date generation rule should be
backward. Check the dates of the schedule they should pay every March 1st and
Sep 1st. Seems like you might be counting forward from the issue date.
On Wednesday, June 28, 2017 6:58:34 PM EDT Prescott Nasser wrote:
> Hey all -
>
> I'm struggling with something I think should be pretty basic. I'm actually
> using QLNet (the dotnet port), so the code is C# below, but hopefully that
> doesn't slow anyone down. Given a price, I'm attempting to calculate the
> Yield for each call date (and add maturity date as the final call date)
>
> I have the following GetFixedRateBond method (taken from the docs):
>
> public static FixedRateBond GetFixedRateBond(double redemption, double
> coupon, Date datedDate, Date maturityDate, Date settlementDate, DayCounter
> dayCounter, Frequency frequency)
> {
>
> Settings.setEvaluationDate(new TARGET().adjust(settlementDate));
>
> var schedule = new Schedule(
> datedDate,
> maturityDate,
> new Period(frequency),
> new UnitedStates(UnitedStates.Market.GovernmentBond),
> BusinessDayConvention.Unadjusted,
> BusinessDayConvention.Unadjusted,
> DateGeneration.Rule.Forward,
> false);
>
> var bondHelper = new FixedRateBondHelper(
> new RelinkableHandle<Quote>(),
> 0,
> _bondFaceAmount,
> schedule,
> new List<double>() { coupon / 100.0 },
> dayCounter,
> BusinessDayConvention.Unadjusted,
> redemption);
>
> var curve = new PiecewiseYieldCurve<Discount, LogLinear>(
> settlementDate,
> new List<RateHelper>() { bondHelper },
> dayCounter);
>
> var termStructure = new
> RelinkableHandle<YieldTermStructure>(curve); var engine = new
> DiscountingBondEngine(termStructure);
>
> var fixedRateBond = bondHelper.fixedRateBond();
> fixedRateBond.setPricingEngine(engine);
>
> return fixedRateBond;
> }
>
> Given above, I loop through a collection of call events ( Date, Call
> Redemption):
>
> var e = new List<CalcEvent>();
> foreach (var callEvent in _callEvents)
> {
>
> var bond = GetFixedRateBond((double)callEvent.Price, Coupon,
> IssueDate, callEvent.Date, SettlementDate, DayCounter, Frequency);
>
>
> var transform = new CalcEvent
> {
> Date = callEvent.Date,
> RedemptionPrice = callEvent.Price,
> };
>
> //Here price is the given price we contemplate buying the
> bond for. transform.Yield = bond.yield(price, DayCounter, _compounding,
> Frequency, SettlementDate, _precision) * 100; e.Add(transform);
> }
>
> From the list of all the call events, I take the last call event (maturity)
> and put that yield as YTM - which seems to work consistently well. The YTW
> however (selecting the call with the lowest yield), fails when compared to
> Bloomberg, off by .03 or so.
>
> Give the following:
> Cusip: 24880ACS9
> Price: 100.652
> Expected YTW: .803 C2017@100
> YTM: 4.792
> SettlementDate: 2017-07-03
>
> Maturity: 2027-09-01
> Issue: 2008-06-25
> DayCount: Thirty360
> Frequency: SemiAnnually
>
> Test Case:
> YTW Expected 0.803, was 0.815686458817721, diff: 0.0126864588177211
>
> I'm not really sure where to look at this point, any help would be
> appreciated
>
> Thanks for your time,
> ~Prescott
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