RE: Re: Problem within the Bond YieldSolver class...

Posted by Toyin Akin on
URL: http://quantlib.414.s1.nabble.com/Problem-within-the-Bond-YieldSolver-class-tp4278p4280.html

Hi,

Maybe you could add an IsFlat() method to the YieldCurve class. (Internally
testing to see if the array size is 1). Then you could switch between the
two implementations (within the BOND's performCalculation() function)
depending on the value of this IsFlat() function.

Although one implementation regardless of how the yieldCurve is structured
is obviously a good thing.

Just an idea...

Toy out.

>From: Luigi Ballabio <[hidden email]>
>To: Toyin Akin <[hidden email]>
>CC: [hidden email]
>Subject: [Quantlib-users] Re: Problem within the Bond YieldSolver class...
>Date: Fri, 09 Dec 2005 13:34:50 +0000
>
>
>On 12/06/2005 07:27:50 PM, Toyin Akin wrote:
>>Okay, after playing around a bit within the Bond classes, there can  be
>>situations where the implied Yield will not reprice the bond  exactly
>>(yield() function of the Bond class). This is because there  is a minor
>>difference between the implementation between the  computation of the
>>dirty price within the YieldSolver  (dirtyPriceFromYield() function) and
>>the performCalculation class of  the Bond class.
>>
>>[...]
>>
>>In my local copy, I thought about changing the code within the  
>>performCalculation() function so that for the first accrual period, I  
>>compute a 'Time' variable instead of using the 'Date' variable and  then
>>passing this to the discount() function.
>
>Maybe, but this can give an incorrect discount when the yield term  
>structure is not constant (as you're basically passing a time  
>corresponding to a different date.)
>
>I'm not sure of how to go about this one. We might ask the term  structure
>for the rates over the coupon and compound them to get the  discount...
>
>Luigi
>
>
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