Re: Fixed-rate bond pricing can yield different results compared to Excel's built-in functions

Posted by MikeD on Oct 27, 2011; 6:42pm
URL: http://quantlib.414.s1.nabble.com/Fixed-rate-bond-pricing-can-yield-different-results-compared-to-Excel-s-built-in-functions-tp6340p6341.html

If you are pricing US Treasury Notes/Bonds, you are using the wrong settings somewhere.  Copy the settings in the attached example spreadsheet, and you will see how everything matches properly.

- Mike

On Thu, Oct 27, 2011 at 1:07 PM, Gavin08 <[hidden email]> wrote:

Hi,
when I price a fixed-rate coupon bond with Quantlibxl, sometimes I get
slight differences in the clean price compared to what Excel 2010's PRICE
formula gives. For example, Quantlib returns 99.995 and PRICE returns
100.005. However, on other occasions, results look identical up to the the 6
or 7 digits I check.

Of course I use the same day count convention (30/360 US-style, for US
bonds) with both functions.
I use the NullCalendar as calendar in Quantlib, but have also tried other
calendar settings. As for the other bond settings, I keep them all at their
Quantlib default values (although tweaking around with them didn't improve
results robustly).

Any ideas as to where these calculation differences come from? Which one to
trust more - quantlibxl or Excel that's been around for decades now? ;)

Best,
Gavin

--
View this message in context: http://old.nabble.com/Fixed-rate-bond-pricing-can-yield-different-results-compared-to-Excel%27s-built-in-functions-tp32733269p32733269.html
Sent from the quantlib-users mailing list archive at Nabble.com.


------------------------------------------------------------------------------
The demand for IT networking professionals continues to grow, and the
demand for specialized networking skills is growing even more rapidly.
Take a complimentary Learning@Cisco Self-Assessment and learn
about Cisco certifications, training, and career opportunities.
http://p.sf.net/sfu/cisco-dev2dev
_______________________________________________
QuantLib-users mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-users

------------------------------------------------------------------------------
The demand for IT networking professionals continues to grow, and the
demand for specialized networking skills is growing even more rapidly.
Take a complimentary Learning@Cisco Self-Assessment and learn
about Cisco certifications, training, and career opportunities.
http://p.sf.net/sfu/cisco-dev2dev
_______________________________________________
QuantLib-users mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-users