Posted by
Luigi Ballabio on
URL: http://quantlib.414.s1.nabble.com/qunatlib-us-treasury-true-yield-tp8100p8103.html
Hi,
apologies for the delay. May you provide some code that
reproduces the problem?
Luigi
On Thu, Oct 18, 2012 at 1:29 PM, aexhg <
[hidden email]> wrote:
>
> Hi,
> I'm trying to match up the true yield calculation of us treasury (bbg) with
> quantlib. It seems to me that the cashflows::npv() does not take into
> account the coupon referencePeriodBegin & referencePeriodEnd, so for us
> treasuries with bad days, specifying a daycount convention of ISMA, I'll
> never quite match the quoted bbg yield. I was just wondering if I'm missing
> something or if there's a workaround?
>
>
> --
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>
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