Re: Redemption vs. Face Value

Posted by Luigi Ballabio on Nov 16, 2007; 2:15pm
URL: http://quantlib.414.s1.nabble.com/Redemption-vs-Face-Value-tp5218p5222.html

On Fri, 2007-11-16 at 13:58 +0000, John Maiden wrote:

> Don't know what you mean by fixed settlement date. As far as I know, I set
> the settlement date to today. The code looks a little confusing because it's
> been parsed from a longer version, but it's a working version that returns the
> values I've been talking about. Either the code is wacky (which I fully admit is
> highly likely), or something is hard coded that I'm not accounting for. I tried
> four different combinations of values for face value and redemption yesterday,
> and I received the following four values:
>
> Face          Redemption        Present Value
> 50            50                62.328
> 50            100               65.308
> 100           50                62.328
> 100           100               65.306

What method are you using to retrieve the values above? I haven't looked
at the bonds in a while, but I think that NPV() returns the dollar value
while the several xyzPrice() returns the price in base 100.

This said, the above is puzzling anyway. Can you attach the code you're
using?

Luigi


--

Zawinski's Law:
Every program attempts to expand until it can read mail. Those
programs which cannot so expand are replaced by ones which can.



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