Posted by
Khanh Nguyen on
URL: http://quantlib.414.s1.nabble.com/root-not-bracketed-tp7525.html
Hi all,
I am replicating this the first example from this page
http://www.mathworks.com/access/helpdesk/help/toolbox/finfixed/zeroyield.htmlMatlab:
Example 1. Compute the yield of a short-term zero-coupon instrument.
Settle = '24-Jun-1993';
Maturity = '1-Nov-1993';
Basis = 0;
Price = 95;
Yield = zeroyield(Price, Settle, Maturity, [], Basis)
Yield =
0.1490
Code code look like this
int main() {
double settlementDays = 1;
Date settleDate(24, (Month)6, 1993);
Date maturityDate(1, (Month)11, 1993);
DayCounter dc = ActualActual();
BusinessDayConvention bdc = ModifiedFollowing;
double faceAmount = 100;
double redemption = 100;
ZeroCouponBond bond1(settlementDays,
UnitedStates(UnitedStates::GovernmentBond),
faceAmount,
maturityDate,
bdc,
redemption, settleDate);
cout << bond1.yield(95, ActualActual(), Simple ,Annual);
}
it compiles, but returns "what(): root not bracketed: f[0,1] -> [nan, nan]"
Any help, please? Thanks.
-k
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