[R-SIG-Finance] Ques abt RQuantlib

Gandhi, Puneet - RSCH AMRS p.gandhi at baml.com
Thu Sep 2 16:53:42 CEST 2010


I have been struggling with the results I get from RQuantLib, Please
help me out. My Questions are

1) I had an old QuantLib library which gave correct result but I
upgraded to latest library and it started giving wrong result.

With my old library

FixedRateBondYield(settlementDays=1,price =  28.0117835780355000000,
faceAmount = 100,
effectiveDate=as.Date("2010-08-31") , maturityDate =
as.Date("2017-05-15"), period = 3, calendar ="us" , rates=c(.045),
businessDayConvention =0 , dayCounter=2,  compound = 1 ,redemption = 100
,issueDate =  as.Date("2010-08-16"))

Had a result of 0.3000 which was corrct result, ayield of 30%

Now I upgraded to new version and my result has changed to

[1] 0.2960355
attr(,"class")
[1] "FixedRateBondYield"


2) What is the "effective date" in this function and why is there no
Settlement date?

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