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

Posted by Gavin08 on Oct 27, 2011; 6:45pm
URL: http://quantlib.414.s1.nabble.com/Fixed-rate-bond-pricing-can-yield-different-results-compared-to-Excel-s-built-in-functions-tp6340p6342.html

I was pricing U.S. corporate bonds. If it helps I can compile a sheet where the problem manifests.

Mike DelMedico wrote

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 <[e-mail]> 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
>
> --
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> Sent from the quantlib-users mailing list archive at Nabble.com.
>
>
>
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