[R-SIG-Finance] Rquantlib vs Bloomberg

[Dirk Eddelbuettel]

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

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

-- 
Dirk Eddelbuettel | edd at debian.org | http://dirk.eddelbuettel.com