Calculation Type

Posted by miriam.remondini on Nov 23, 2007; 5:39pm
URL: http://quantlib.414.s1.nabble.com/Calculation-Type-tp5261.html


Hello,

I would like to know if QuantLib can calculate correctly prices for bonds that have as Calculation Type in Bloomberg 523, that is:

"Italian BTPs - Used for the Italian government BTPS issues. Triggers a T+3 settlement period. Accomodates long last coupon. It is calculated as:
((coupon/100)/2 * (days held/days period) * 100 ROUND to 5 decimal places and then multiple face/100 * factor using settle of 11/19/07 and face of 100000 = (.0525/2) * (182/184) * 100 = 2.596467 rounded to 2.59647 times 1000000/100 * .375"

A bond that have the Calculation Type 523 is, for example, MILANO  5.25 04/14/10          IT0001452470.


Thanks

Miriam Remondini

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