Re: [Quantlib-users] Difference between Bloomberg and Quantlib

[Dominick S. <dsa...@De...>]

Antonio, Cipolletti wrote:
>
> Hi,
>
> My name is Antonio Cipolletti,
>
> I am IT systems development manager in EuroTLX Sim spa, a company 
> leader in Italian financial markets .
>
> We are trying to develop an internal system in order to compute yield 
> for Fixed Rate Bond.
>
> For a lot of instrument the result using QuantLib is different from 
> Bloomberg result, for example:
>
> Isin IT0003934657 with following parameters
>
> Day Count Convention=Actual/Actual (ISDA)
>
> Frequency=Semiannual
>
> Coupon=0.040000
>
> Face=100.000000
>
> Price=87.990000
>
> Settlement Date=2010-08-02
>
> Maturity Date=2037-02-01
>
> Issue Date=2005-08-01
>
> Calendar=TARGET
>
>  
>
> yield calculated by QuantLib=4.80616856 for Settlement Date 2010-08-02
>
> yield calculated by Bloomberg terminal is  4.863525 for Settlement 
> Date 2010-08-02
>
>  
>
> Why this difference, can you help me?
>

Using a different calculator (not Bloomberg or QuantLib) I get a number 
close to
what QuantLib gets. Using the same calculator, I get I number close to 
4.86 if
I select the Braess-Fangmeyer convention.

Note that Bloomberg takes into account local conventions that apply to
different countries, but may not document what conventions apply in
particular cases.

Cheers,
Dominick