Hi Miriam
Calculation Type is a specific field of Bloomberg, but it really makes the difference if you’re trying to price a bond given the yield. However, provided that you can replicate correctly Bloomberg yield curve for discounting and forecasting, you can replicate Bloomberg market prices given asset swap spread and z-spread. This is the standard market practice for Euro bonds.
Chiara
-----Original Message-----
From: [hidden email]
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Sent: 23 November 2007 18:39
To:
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Cc: [hidden email]
Subject: [Quantlib-users]
Calculation Type
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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