[R-SIG-Finance] Rquantlib vs Bloomberg

[Samuel Le]

Q1:Try with redemption=1 instead (and maybe price=1.01)

-----Original Message-----
From: r-sig-finance-bounces at stat.math.ethz.ch [mailto:r-sig-finance-bounces at stat.math.ethz.ch] On Behalf Of Gandhi, Puneet - RSCH AMRS
Sent: 02 September 2010 12:52
To: r-sig-finance at stat.math.ethz.ch
Subject: [R-SIG-Finance] Rquantlib vs Bloomberg

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
discussion
http://www.wilmott.com/messageview.cfm?catid=10&threadid=33749



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


Thanks in advance for your help.
Puneet

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