Re: QuantLib::Bond::cleanPriceFromZSpread
Posted by Guowen Han on
URL: http://quantlib.414.s1.nabble.com/QuantLib-Bond-cleanPriceFromZSpread-tp7310p7324.html
I don't think there is such a thing implemented in QuantLib. This may be also a good candidate for the ToDo list.
Thanks,
right, I understand that. I suppose .npv() gives us a present value by discounting the *adjusted* cash flows with treausre term structure plus OAS.
But if my evaluation day is on the same day as the callable day, the .npv() result should be capped to the strike price, isn't it?
Or as you mentioned, there was something I have missed to specify the callable notification so the pricing engine takes that into account....?
From: Guowen Han [mailto:[hidden email]]
Sent: Wednesday, March 04, 2009 10:15 AM
To: Ferdinando Ametrano
Cc: [hidden email]; Chen, Xin
Subject: Re: [Quantlib-users] QuantLib::Bond::cleanPriceFromZSpread
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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URL: http://quantlib.414.s1.nabble.com/QuantLib-Bond-cleanPriceFromZSpread-tp7310p7324.html
I don't think there is such a thing implemented in QuantLib. This may be also a good candidate for the ToDo list.
Thanks,
| "Chen, Xin" <[hidden email]>
03/04/2009 10:21 AM |
|
right, I understand that. I suppose .npv() gives us a present value by discounting the *adjusted* cash flows with treausre term structure plus OAS.
But if my evaluation day is on the same day as the callable day, the .npv() result should be capped to the strike price, isn't it?
Or as you mentioned, there was something I have missed to specify the callable notification so the pricing engine takes that into account....?
From: Guowen Han [mailto:[hidden email]]
Sent: Wednesday, March 04, 2009 10:15 AM
To: Ferdinando Ametrano
Cc: [hidden email]; Chen, Xin
Subject: Re: [Quantlib-users] QuantLib::Bond::cleanPriceFromZSpread
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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