Re: [Quantlib-users] Mimic excel financial functions price, coupncd, couppcd, etc

[Luigi B. <lui...@gm...>]

On Wed, 2010-10-06 at 16:39 +0800, Raikage wrote:
> I have been trying out quantlib-python (0.9.9 ubuntu lucid) and was
> wondering how to mimic excel functions such as price, etc.
> My starting point was the bonds.py in the test directory and the excel
> price function PRICE(settlement,maturity,rate,yld,redemption,frequency,basis).
> Since Quantlib.Schedule needed for FixedRateBond needs an
> effectiveDate , what is the best way to handle this?

I would go backwards from the maturity with the bond frequency until I
get a date before the settlement. (For example, settlement = November
2nd 2010,  maturity = July 15th, 2012, semiannual frequency, I'd go:
2012-07-15 -> 2012-01-15 -> 2011-07-15 -> 2011-01-15 -> 2010-07-15 and
use the last one as effective date.)

Luigi



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