Re: QuantLib::Bond::cleanPriceFromZSpread
Posted by Guowen Han on
URL: http://quantlib.414.s1.nabble.com/QuantLib-Bond-cleanPriceFromZSpread-tp7310p7323.html
The rollback function is essentially discounting the cashflow using the underling term structure, right? If we can apply the discount with spread, the current value will be spread adjusted.
Thanks,
On Tue, Mar 3, 2009 at 7:36 PM, Guowen Han <[hidden email]> wrote:
> It would be
> much easier and efficient if the rollback function can accept a spread
> parameter.
what do you mean by rollback function?
ciao -- Nando
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-OSBC tackles the biggest issue in open source: Open Sourcing the Enterprise
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URL: http://quantlib.414.s1.nabble.com/QuantLib-Bond-cleanPriceFromZSpread-tp7310p7323.html
The rollback function is essentially discounting the cashflow using the underling term structure, right? If we can apply the discount with spread, the current value will be spread adjusted.
Thanks,
| Ferdinando Ametrano <[hidden email]>
03/04/2009 05:09 AM |
|
On Tue, Mar 3, 2009 at 7:36 PM, Guowen Han <[hidden email]> wrote:
> It would be
> much easier and efficient if the rollback function can accept a spread
> parameter.
what do you mean by rollback function?
ciao -- Nando
------------------------------------------------------------------------------
Open Source Business Conference (OSBC), March 24-25, 2009, San Francisco, CA
-OSBC tackles the biggest issue in open source: Open Sourcing the Enterprise
-Strategies to boost innovation and cut costs with open source participation
-Receive a $600 discount off the registration fee with the source code: SFAD
http://p.sf.net/sfu/XcvMzF8H
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