Can somebody provide an example of how to replicate the Excel/OpenOffice YIELD
and PRICE
functions using QuantLib?
I have a few examples but I don't quite understand all the setup yet. When I try to change some values I either get zeros out or some nonsensical values. Ideally I'd like to create the c++ equivalent to the YIELD/PRICE functions.
In my first step I don't need to replicate the defects in the Excel date modelling. I can wait until later to produce an exact duplicate. Though if you know how that is also great.
PRICE
example, in OpenOffice:
PRICE("2008-02-15","2010-11-15",5%,7%,100,2,1) = 95.068419616675
My QuantLib code is capable of getting 95.066759
which is a bit off. At least I have the basic price function, I'd like to get an exact match for the results now.
I can't easily include all the wrapping code, but the essential code is as follows.
#include <ql/time/calendar.hpp>
#include <ql/time/daycounters/actualactual.hpp>
#include <ql/time/daycounters/actual365fixed.hpp>
#include <ql/time/schedule.hpp>
#include <ql/time/calendars/unitedstates.hpp>
#include <ql/time/calendars/nullcalendar.hpp>
#include <ql/settings.hpp>
#include <ql/handle.hpp>
#include <ql/termstructures/yield/flatforward.hpp>
#include <ql/instruments/bonds/fixedratebond.hpp>
#include <ql/pricingengines/bond/discountingbondengine.hpp>
#include <ql/utilities/dataformatters.hpp>
#include <iostream>
#include <iomanip>
#include "boost/date_time/gregorian/gregorian.hpp"
using namespace QuantLib;
Date convert_date( boost::gregorian::date const & date )
{
unsigned mon = date.month();
return Date( date.day(), Month(mon), date.year() );
}
shared_ptr<Bond> create_bond( boost::gregorian::date const & settlement_, boost::gregorian::date const & maturity_,
double coupon_, double yield_, double redemption_, unsigned frequency_ )
{
// date set up
//Calendar calendar = UnitedStates(UnitedStates::GovernmentBond);
Calendar calendar = NullCalendar(); //small improvement
Date settlementDate( convert_date( settlement_ ) );
// the settlement date must be a business day
settlementDate = calendar.adjust(settlementDate);
Integer fixingDays = 0; //1;
Natural settlementDays = 0; //1
Date evalDate = calendar.advance(settlementDate, -fixingDays, Days);
// Evaluation date (TODO: What should this actually be?)
Settings::instance().evaluationDate() = evalDate;
// bond set up
Real faceAmount = 100;
Real redemption = redemption_;
Date issueDate( 1, January, 2001); //NOTE: shouldn't be relevant for price/yield calculations
Date maturity( convert_date( maturity_ ) );
Real couponRate = coupon_;
Real yield = yield_;
//ActualActual dayCounter( ActualActual::Bond );
ActualActual dayCounter;
//Actual365Fixed dayCounter;
RelinkableHandle<YieldTermStructure> discountingTermStructure;
boost::shared_ptr<YieldTermStructure> flatTermStructure(
new FlatForward(
settlementDate,
yield,
dayCounter,
Compounded,
Frequency( frequency_ ) ));
discountingTermStructure.linkTo(flatTermStructure);
boost::shared_ptr<PricingEngine> bondEngine(
new DiscountingBondEngine(discountingTermStructure));
Schedule fixedBondSchedule(
issueDate,
maturity,
Period( Frequency( frequency_ ) ),
calendar,
Unadjusted,
Unadjusted,
DateGeneration::Backward,
false /*EOM*/); //strangely makes no difference in our calculations
boost::shared_ptr<Bond> fixedRateBond( new FixedRateBond(
settlementDays,
faceAmount,
fixedBondSchedule,
std::vector<Rate>(1, couponRate),
dayCounter,
Unadjusted,
redemption) );
fixedRateBond->setPricingEngine(bondEngine);
return fixedRateBond;
}
//OpenOffice: PRICE("2008-02-15","2010-11-15",5%,7%,100,2,1)
double bond_price( boost::gregorian::date const & settlement_, boost::gregorian::date const & maturity_,
double coupon_, double yield_, double redemption_, unsigned frequency_ )
{
shared_ptr<Bond> bond( create_bond( settlement_, maturity_, coupon_, yield_, redemption_, frequency_ ) );
return bond->cleanPrice();
}
//OpenOffice: PRICE("2008-02-15","2010-11-15",5%,7%,100,2,1)
double bond_yield( boost::gregorian::date const & settlement_, boost::gregorian::date const & maturity_,
double coupon_, double price_, double redemption_, unsigned frequency_ )
{
shared_ptr<Bond> bond( create_bond( settlement_, maturity_, coupon_, 0, redemption_, frequency_ ) );
ActualActual dayCounter;
return bond->yield( price_, dayCounter, Compounded, Frequency(frequency_) );
}
If you are interested in the implementation of the PRICE
function in OpenOffice, you can see the code in the implementation of AnalysisAddIn::getPrice. This refers to the getPrice_ function in analysis helper.cxx
. Maybe you find out what's happening there.
Note, that OpenGrok seems to be misconfigured here, so clicking on functions may not work. But I suppose you find all you need in the files in the directory /OOO340_m0/scaddins/source/analysis.
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