Posted by
Luigi Ballabio on
URL: http://quantlib.414.s1.nabble.com/How-to-calculate-bond-yield-tp786p789.html
On Thu, 2007-04-19 at 17:06 +0200, Enrico Gargiulo wrote:
> Luigi,
> my problem is that when I create the object without curve I have the
> following results:
>
> std::cout << "Underlying bond clean price: " << bot.cleanPrice() <<
> std::endl;
>
> The results are:
>
> Underlying bond clean price: no discounting term structure set
>
> Where is the mistake?
btp.cleanPrice(), without any arguments, calculates the theoretical
price on a given term structure. But I was under the impression that you
wanted to calculated the yield given a price, or viceversa. For
calculating the yield, you can use
btp.yield(price, compounding);
(where compounding is the way you compound the yield---most likely
you'll use Simple.) For calculating the price, you can use
btp.cleanPrice(yield, compounding);
Neither of them requires a term structure as far as I recall (and both
of them will take and return yields as decimal numbers, i.e., 0.05 for a
5% yield.)
Hope this helps,
Luigi
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