Comentarios en: Blablabla https://quantcorner.wordpress.com Sun, 19 Jan 2020 20:45:04 +0000 hourly 1 http://wordpress.com/ Por: édouard https://quantcorner.wordpress.com/about/#comment-975 Sat, 12 Apr 2014 11:08:48 +0000 http://quantcorner.wordpress.com/?page_id=2#comment-975 Sorry, for the delay. I didn’t remember your message. I think you were replied at wilmott.com.

]]> Por: bill https://quantcorner.wordpress.com/about/#comment-9 Fri, 28 Jan 2011 23:43:48 +0000 http://quantcorner.wordpress.com/?page_id=2#comment-9 Best of luck with your new endeavours, perhaps you can assist with mine.
Yes – this is a copy of the post on Wilmott… but The Guru has not yet seen fit to grace me with an answer.
If you would be so kind, I would appreciate it – and – offer whatever assistance a trader-consultant from the midsection of Illinois can reasonably provide.
To date, I’ve been unable to make QuantLib (in C#) match the ‘standard’ yield-to-maturity for United State Treasury Notes.
Assume Excel and Bloomberg reconcile to each other (they do). Assume this value is; therefore, the ‘standard’. What code / values for proper variables will allow QL to match the ‘standard’?

Given the following: UST-note: UST 3.625% of August 31, 2020
Trade Date: January 27, 2011
Settlement Date: January 28, 2011
Yield to Maturity (standard convention, unadjusted, semi-annual): 3.4921%
Day Count: US Actual / Actual (semi-annual)
Redemption value: 100%

For comparison: MS Excel
Formula: =PRICE(settlementDate,maturityDate,couponRateDecimal,yieldToMaturity,100,2,1)
Formula: =Price( date(2011,1,28), date(2020,8,31), 0.03625, 0.034921, 100,2,1)
Answer: 101.0725306417

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