Posted by
Kim Kuen Tang on
URL: http://quantlib.414.s1.nabble.com/root-not-bracketed-tp7525p7526.html
Hi Khanh,
now it works:
int main()
{
try{
Date settleDate(24, (Month)6, 1993);
Integer fixingDays = 2;
Calendar calendar=UnitedStates(UnitedStates::GovernmentBond);
Date todaysDate = calendar.advance(settleDate, -fixingDays, Days);
Settings::instance().evaluationDate() = todaysDate;
Natural settlementDays = 1;
Date maturityDate(1, (Month)11, 1993);
DayCounter dc = ActualActual();
BusinessDayConvention bdc = ModifiedFollowing;
double faceAmount = 100;
double redemption = 100;
ZeroCouponBond bond1(settlementDays,
calendar,
faceAmount,
maturityDate,
bdc,
redemption, settleDate);
std::cout << bond1.yield(95, ActualActual(), Simple ,Annual);
}
catch(std::exception& e)
{
std::cout<<e.what()<<'\n';
return 1;
};
return 0;
}
Best regards,
Kim
Khanh Nguyen schrieb:
> Hi all,
>
> I am replicating this the first example from this page
>
http://www.mathworks.com/access/helpdesk/help/toolbox/finfixed/zeroyield.html>
> Matlab:
> 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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