[R-SIG-Finance] Rquantlib vs Bloomberg
edd at debian.org
Thu Sep 2 17:06:02 CEST 2010
On 2 September 2010 at 07:52, Gandhi, Puneet - RSCH AMRS wrote:
| 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
Maybe you need to change the different settlement conventions, and/or debug
the QL source. We merely expose it.
| Q.2. What happened to RQuantLibGUI package and why it has been removed
| from CRAN repository?
It never was on CRAN. The problem is entirely with your memory.
Dirk Eddelbuettel | edd at debian.org | http://dirk.eddelbuettel.com
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