[R-SIG-Finance] Rquantlib vs Bloomberg

[Gandhi, Puneet - RSCH AMRS]

http://127.0.0.1:20898/library/RQuantLib/html/FixedRateBondYield.html
Function help here is very unclear. What is effective Date really and
are settlement days from this effective date.

Samuel, Your suggestion also doesn't work I think.

The example in the help uses Price = 90 not .9 as below
FixedRateBondYield(,90, 100000, as.Date("2004-11-30"),
as.Date("2008-11-30"), 3, , c(0.02875), , , , ,as.Date("2004-11-30"))

Puneet

-----Original Message-----
From: Samuel Le [mailto:Samuel.Le at srlglobal.com] 
Sent: Thursday, September 02, 2010 7:58 AM
To: Gandhi, Puneet - RSCH AMRS; r-sig-finance at stat.math.ethz.ch
Subject: RE: Rquantlib vs Bloomberg

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

----------------------------------------------------------------------
This message w/attachments (message) is intended solely ...{{dropped:7}}

_______________________________________________
R-SIG-Finance at stat.math.ethz.ch mailing list
https://stat.ethz.ch/mailman/listinfo/r-sig-finance
-- Subscriber-posting only. If you want to post, subscribe first.
-- Also note that this is not the r-help list where general R questions
should go.


__________ Information from ESET NOD32 Antivirus, version of virus
signature database 5417 (20100902) __________

The message was checked by ESET NOD32 Antivirus.

http://www.eset.com



__________ Information from ESET NOD32 Antivirus, version of virus
signature database 5417 (20100902) __________

The message was checked by ESET NOD32 Antivirus.

http://www.eset.com

----------------------------------------------------------------------
This message w/attachments (message) is intended solely ...{{dropped:7}}