[R-SIG-Finance] Rquantlib vs Bloomberg

[Gandhi, Puneet - RSCH AMRS]

 Dirk,
I love the presentations on your site. I am an R newbie so I apologize
for any stupid questions.
I saw RQuantLibGUI at the end of one of your presentations where you had
a snapshot of the screens. I was curious how to use it.

Apologies again for any stupid questions I asked.
Puneet



-----Original Message-----
From: Dirk Eddelbuettel [mailto:edd at debian.org] 
Sent: Thursday, September 02, 2010 11:06 AM
To: Gandhi, Puneet - RSCH AMRS
Cc: r-sig-finance at stat.math.ethz.ch
Subject: Re: [R-SIG-Finance] Rquantlib vs Bloomberg


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

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