http://quantlib.414.s1.nabble.com/Problem-within-the-Bond-YieldSolver-class-tp4278p4281.html
>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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