Posted by
Simon Ibbotson-2 on
Oct 19, 2010; 1:58pm
URL: http://quantlib.414.s1.nabble.com/Calculating-yield-to-maturity-incorrect-answer-why-tp8325p8334.html
The redemption value is the amount paid to the holder at the maturity of
the bond. The face amount is the amount on which yield calculations /
coupon rates are made.
Unless you have a strange bond, it is best to have the face value equal
to the redemption.
-----Original Message-----
From: johnacandy [mailto:
[hidden email]]
Sent: 19 October 2010 14:11
To:
[hidden email]
Subject: Re: [Quantlib-users] Calculating yield to maturity , incorrect
answer ? why ?
I think i might have the redemption value wrong , if so plz let me know
How do we calculate the redemption value in the above scenario ??
Clean Price = 30
Face Value = 60
Coupon Rate = same = 5%= 0.05
Years to Maturity = 1
johnacandy wrote:
>
> Hi i was playing around with yesterdays code to calculate Yield To
> Maturity and i came up with an issue
> i was using the same online calculator and this time
> i used the following values
> Clean Price = 30
> Face Value = 60
> Coupon Rate = same = 5%= 0.05
> Years to Maturity = 1
>
> Now the output of my program was 1.16667 or 1.16667*100=116.66%
> and the output generated by the web application was 1.1 or
1.1*100=110%
>
> There is a lot of of difference b/w 116% and 110 % ... what am i doing
> wrong??
>
> You can view my final code at
>
http://old.nabble.com/file/p29998757/code.txt code.txt
> Is my application over accurate and the entire calculators online and
on
> excel unaccurate ?? or
> is there a problem with my code ... I would appreciate any guidance i
may
> receive in this regard thanks..
>
>
>
>
>
> johnacandy wrote:
>>
>> Hi , just realized my mistake and then again i would really like to
thank
>> all of you guys in the mailing list
>> especially Luigi Ballabio , Harun Ozkan and offcourse Simon Ibotson.
I
>> really couldnt have managed without you guys. Thank You.
>>
>>
>> Luigi Ballabio wrote:
>>>
>>>
>>> On Oct 18, 2010, at 9:16 PM, johnacandy wrote:
>>>
>>>>
>>>> So i made the changes as I was told which were
>>>> Settings::instance().evaluationDate()= bondDatedDate; //which is
>>>> (15,June,2010)
>>>> and made certain the Redemption was = 100.0
>>>> and i got an output of 5.667 which unfortunately is still not
>>>> correct , its
>>>> suppose to be 16.6
>>>
>>> No, it's supposed to be 16.67% which is 0.1667. You also want to
set
>>> bondCoupon = 0.05.
>>> Input and output rates are values in base 1, not percentages.
>>>
>>> Luigi
>>>
>>>
>>>
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