[R-SIG-Finance] Rquantlib vs Bloomberg

Gandhi, Puneet - RSCH AMRS p.gandhi at baml.com
Thu Sep 2 13:52:12 CEST 2010

Dear All

Q.1. Has anyone worked with Rquantlib FixedRateBondYield function ?
For some reason the yield output from this function doesn't match the
Bloomberg output using YA screen.

This works
FixedRateBondYield(settlementDays=1,price = 101, faceAmount = 100,
effectiveDate=as.Date("2010-08-15") , maturityDate =
as.Date("2020-08-15"), period = 3, calendar ="us" , rates=c(.0265),
businessDayConvention =0 , dayCounter=2,  compound = 1 ,redemption = 100
,issueDate =  as.Date("2010-08-16"))

But the yield I get using this code doesn't match yield I get from YA
screen in Bloomberg.Someone else faced this problem and here is the

Q.2. What happened to RQuantLibGUI package and why it has been removed
from CRAN repository?

Thanks in advance for your help.

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