All Questions
24
questions
5
votes
1
answer
277
views
Recommended Setup for QuantLib-Python AmortizingFloatingRateBond
I am trying to model a term loan in QuantLib-Python that makes quarterly interest payments at CME Term SOFR 3M + 10bps + 525bps paid in arrears with a 2 business ...
- 64
1
vote
0
answers
81
views
Setting up QuantLib to get correct yield for bond with long first payment period
I am dealing with fixed rate bonds. There is one particular bond, 34659UAC0, that caught my eye. This bond has a first coupon period of a whopping 5 years, followed by regular periods of 6 months. My ...
- 11
1
vote
1
answer
290
views
GBP OIS Curve - Zero Rate Curve Calculation in Quantlib
I am new to Quantlib and I am looking to create a Zero Rate Curve from GBP OIS to then use to calculate the present value of fixed rate bonds.
I have Looked at the documentation:
https://quantlib-...
3
votes
2
answers
273
views
QuantLib calculations for a Canadian corporate fixed rate bond differ from BBG YAS
I am pricing a non-callable, fixed-rate, Canadian corporate bond with the following parameters:
Name
Value
CUSIP
12657ZAT0
Evaluation Date
2/14/2024
Settlement Date
2/16/2024
Bond Issue Date
3/6/...
- 31
0
votes
1
answer
131
views
QuantLib FittedBondDiscountCurve does not produce expected rates
I am using the QuantLib library to fit yield curves. For a $\\\$100$ face bond, with price equal to $\\\$100$, and coupon equal to $\\\$0$, I would expect it to provide a zeroRate of $0.0\%$.
However, ...
1
vote
1
answer
125
views
PV different from Dirty Price in QuantLib
As far as I understand, dirty price is the sum of clean price and accrued amount and should be equal to the Present Value (PV) of a bond at a certain yield rate. However, I can't replicate this ...
0
votes
1
answer
272
views
3
votes
2
answers
621
views
How to minimize Nelson-Siegel parametric form
Problem
I am given the following function to minimize (w.r.t. $\theta$)
$$f= \sum_{k=1}^5 \Big [ \sum_{i=1}^{N_k} CF_{k, i} \cdot e^{-r(t_{k, i}, \theta)\cdot t_{k, i}} - P_k^* \Big]^2$$
where $\...
1
vote
0
answers
270
views
Replicate an fixed income index in python
I am trying to replicate an fixed income index in python through linear programming. Data for all bonds in the index are available as well as index values. I intend to first create a free portfolio ...
- 11
0
votes
1
answer
159
views
Which curve is better to approximate bond yields (python)
I would like to approximate bond yields in python. But the question arose which curve describes this better?
...
- 195
1
vote
0
answers
338
views
Convertible bonds pricer - implementation
Where I can find numerical implementation (in any programming language) of convertible bonds pricer based on the following article:
E. Ayache, P. A. Forsyth, K. R. Vetzal, "The Valuation of ...
- 83
1
vote
1
answer
2k
views
Using DayCounter ActualActual.ISMA in QuantLib
Suppose we have a semiannual coupon bond. The calculation date is 5/8 2017. The ex-coupon date is 4/20 2017 and next coupon date is 10/20 2017.
...
- 33
3
votes
0
answers
685
views
Modified duration and convexity of a bond in R
A soft question:
Are there any existing packages in R that allows one to compute the modified duration and convexity of bonds in R? If there isn't, how can one go about doing so (with formulas) with ...
- 205
0
votes
1
answer
941
views
Convexity for historical bond data
I'm trying to write a program to calculate the convexity of a bond. The bigger idea is, that if I have access to the actual price for each point in time, I should be able to calculate various features ...
- 174
1
vote
0
answers
235
views
Daily yield to maturity using `uniroot` in R: error
So, I'm trying to compute the daily yielt to maturity on basis of data retrieved from Datastream. The data comprises EMU Treasury bonds with Prices, Coupon and Maturity date. In R the matrices are ...
- 11